If you have small pot of money (say 20k) and you don't care if you loose it all. You decided that you will maintain maximum possible leverage (let's say ES mini futures) all the time. The strategy is simple... maintain maximum possible leverage all the time.. if you make profit by more contracts... if you loose don't sell until you receive margin call. If you receive merging call... stay quiet and wait until you can buy more. I'm not sure how to backtest this to see what would be the result of this silly strategy. Any help?
there's a website where a guy did what I think you're talking about doing. Let me see if I can find it.
edit - found it: http://www.elitetrader.com/vb/showthread.php?s=&threadid=218001 http://www.tradingfutures.biz/page1.html edit 2 - different from what you're talking about