What methods do others use with regarding position sizing and volatility? I have some systems that that look pretty good on paper, but if the profits/loses from the more volatile periods were brought more in line with the profits/loses in the less volatile period, it would look much better. 1-3 day holding periods. I don't use stops so I can't control it that way. I don't really like the idea of using the vix due to its directionality. Any other ideas/theories that people could suggest would be greatly appreciated. Thanks
Money Management of TradersStudio is a good option to look at. In fact, among TradersStudio's strong and unique points is "Money Management". Please have a look at this thread to know more: http://www.elitetrader.com/vb/showthread.php?s=&threadid=119308 Also, Gyles gave a good writeup of the same. Please have a look here: http://www.elitetrader.com/vb/showthread.php?s=&postid=1789227#post1789227 You can download the complete PDF review of TraderStudio here: http://www.elitetrader.com/vb/showthread.php?s=&postid=1846347#post1846347