Pondering my future after working on an intraday trading strategy lately, I realized that I have absolutely zero idea about how to handle scaling. The majority of the systems I have designed before were multiday/week/month positions, so scaling was not as much of a factor -- I could build positions over time. Slippage didn't factor in. Time was on my side. However, when designing an intra-day equity or futures system, I have run into a wall, wondering if scaling truly becomes a major factor -- all of a sudden, I wonder if I can capitalize on the amount of capital I have available. So my question to all of you is this: how do you handle scaling? Is it a factor you take into consideration on system design? Do you run multiple, non-correlated strategies? Do you work in multiple markets at once? How is it possible to take advantage of large amounts of capital with small time-frame trades? Also, at what point does 'scaling' generally become an issue? I understand that this question is loaded, given that it depends on the strategy being traded -- but I would love some insight. Let's say I was doing simple linear scaling -- buying an extra contract for every X amount of dollars extra I had. At what point does the cost of this scaling outweigh my position benefit? Is it as simple as estimating cost versus benefit and finding the maximum contracts the system is capable of trading (ceteris paribus, of course -- let us assume our risk management strategy minimizes draw downs as a constant factor of capital)? I realize that it isn't really applicable to most small-time traders (so please, no 'if you have to ask, you don't need to know' type answers) -- but I am wondering how large funds tend to deal with this issue. Thanks so much!