position sizing and volatility.

Discussion in 'Strategy Development' started by minmike, Nov 5, 2009.

  1. minmike

    minmike

    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
     
  2. 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