Hi, I had the understanding that any kind of position sizing alone cannot give consistent profit without using any directional edge in the market. However, one of my experimental intraday strategy has proved me wrong. It has been trading live since last one month, total 400+ trades, and overall profitable. (87%winners, Avg W/L ratio 0.26) Anyone else worked on large combinations of scale-ins and scale-outs?
maybe using something around VaR ? where you estimate the min % a position could lose within a given probability by sampling from a distribution of returns. (technically not a forecast)