Increasing Size During Drawdown

Discussion in 'Risk Management' started by oldtime, Oct 1, 2011.

  1. Therein lies the problem with your logic. You say the traders do (and, yes they do) but only the traders do ... not the coin, not the wheel nor the market.

     
    #71     Feb 8, 2013
  2. yes well, It's like betting on a coin toss

    but you are not betting on heads or tails

    you are betting on how most traders will bet
     
    #72     Feb 8, 2013
  3. The logic escapes me but I wish you luck in your approach.

     
    #73     Feb 8, 2013
  4. well thanks

    because that is exactly the way I always try to set things up

    "Protect yourself from bad luck, but keep the door open for good luck."
     
    #74     Feb 8, 2013
  5. kut2k2

    kut2k2

    There is no logic. The guy is a gambler. He's looking for action, "juice", whatever. Real traders just don't do crazy shit like averaging down.
     
    #75     Feb 8, 2013
  6. Agreed.

     
    #76     Feb 8, 2013
  7. Epic

    Epic

    Not true at all. There are tons of real traders who scale (average down), knowing that it is pointless for them to attempt to pick absolute tops and bottoms.

    Iow, they begin taking a position as soon as their model tells them they have an edge. The difference is that they don't take a full position. The full positions might be 4-10 steps later when the model tells them that they have significant edge.

    What separates "real traders" from the rest is what they do once a position is fully funded and it keeps moving against them. Also, what methodology they use to close for a profit. Real traders adjust profit targets to reflect current views, and real traders don't exceed predetermined risk limits.

    In short, real traders don't Martingale in any form, but scaling can be very useful to the skilled trader.
     
    #77     Feb 8, 2013
    Johno1 likes this.
  8. I wasn't really trying to start an argument between "real" and "imaginary"

    other than

    in my imagination, I have no dry powder left to increase size

    because I am so good

    I go all in at the bottom
     
    #78     Feb 8, 2013
  9. Epic

    Epic

    It's all a question of being able to quantify an edge. If you can't define an edge, then who cares? But if you can, then you must be able to quantify the variables that give you that edge. If the edge relies on being able to pick absolute tops and bottoms, then the equity curve is gonna be more choppy. Lower Sharpe and a smaller ratio of profitable trades. Typically, such a strat gets stopped out a lot because the position size usually dictates tighter stops.

    In contrast, if the edge of the strat is found elsewhere, and a steady scaling execution method can be used, typical equity curves will be more smooth, with higher Sharpe and a greater percentage of profitable trades.

    You must determine which style belongs to you. What is your edge? If you can't describe your edge, then quit worrying about trade management. A negative edge system, by definition, is a losing system. Good trade management will simply slow the losses but cannot turn it into a winning system. But the opposite doesn't hold. Bad trade management absolutely can turn a positive edge system into a loser.
     
    #79     Feb 8, 2013
    Johno1 likes this.
  10. Daring

    Daring

    Fooltime ? :)
     
    #80     Feb 8, 2013