Welcome to my online repository of research and insights on automated trading system development
I recently spent more time doing “reading research” rather than “testing research”. As result, this post resembles a collection of links on ideas seen on the web of how to trade futures with a small account – one of the topics I have been interested in. The Issue: Diversification with Small Account A small account [...]
Entries Tagged as 'Money Management'
Futures Trading and Small Account
July 12th, 2011 · 17 Comments · Futures, Money Management, Strategies
Tags: diversification
Drawdown Reduction
March 30th, 2011 · 13 Comments · Money Management
I was recently reading a blog post discussing “trading the equity curve” of a system. This usually entails adapting trading size based on whether the equity curve of the system is below or above its equity curve. A similar concept is described in The Way of the Turtle, by ex-Turtle Curtis Faith: The Turtles were [...]
Tags: drawdown
Practical Leverage Space Model – a More Realistic Test
December 21st, 2010 · 18 Comments · Money Management
How can you apply the Leverage Space Model in real-life trading? The last study on the Leverage Space Portfolio Model was interesting from a theoretical point of view. Its main value was in illustrating the concepts of the framework with real-life data, but it did not have much practical application: on top of some “unpractical” [...]
Tags: lspm·ralph vince
Low Winning Percentage = more Robust Systems?
December 9th, 2010 · 17 Comments · Money Management
One of the characteristics that deter traders from using Trend Following is the typical lower winning percentage rate (i.e. ratio of winning trades vs. losing trades) of such systems. It goes against the natural instinct of “wanting to be right most of the time” as trades end up in a loss more often than [...]
Tags: ralph vince·tiger
Vince's Optimal f and the Leverage Space Model – Take 1
December 2nd, 2010 · 19 Comments · Money Management
Following the Risk-Opportunity Analysis conference I attended earlier this month, I decided to test the model and the software used to implement it (Vince‘s java app and Joshua Ulrich’s R implementation). Most of the mathematical formulas supporting the model are in the book Leverage Space Trading Model. I will not paraphrase the book and reproduce [...]
Tags: lspm·ralph vince
Risk-Opportunity Analysis
November 25th, 2010 · 11 Comments · Money Management
I have been travelling in the last three weeks. One of my destinations was Tampa, Florida, where I attended Ralph Vince‘s Risk-Opportunity Analysis course, over a weekend (check here for a presentation of the course). My main objective for attending was to strengthen my knowledge of Money Management/Position Sizing and my understanding of the concepts [...]
Tags: ralph vince
