Reversal systems

Discussion in 'Automated Trading' started by promagma, May 4, 2007.

  1. Paccc

    Paccc

    I would suggest adding a position sizing component to your system that decreases position size as your system experiences losses (or a decreasing win percentage) and increases position size when it makes more profitable trades. By doing this, your system will minimize the total loss in unfavorable market conditions, and it will amplify gains in market conditions where your system performs well.

    This method of position sizing works well when you have many systems trading simultaneously. The systems that dont do well in the current market will minimize their losses and the ones that perform well will maximize their gains.
     
    #11     May 13, 2007
  2. promagma

    promagma

    Reversal system is making a comeback .... more typical performance now with the market off the highs.
     
    #12     May 29, 2007