Welcome to my online repository of research and insights on automated trading system development
There are two simple options that can be used to leverage a strategy: position sizing notional funding These were discussed more in detail in a “how to apply leverage?“. Today, I just want to revisit this concept with a classic system: the Donchian Channel. As Ralph Vince’s Optimal f tells us: there is an optimal [...]
Entries Tagged as 'leverage'
Snapshot on Money Management and Leverage – Corrected
October 8th, 2010 · 5 Comments · Money Management
Tags: leverage
How to apply Leverage?
April 20th, 2010 · 13 Comments · Money Management
Several CTAs or fund managers offer a standard version of their fund, along with a leveraged version (called enhanced risk, 2x or 3x fund, etc.). However a simple performance comparison of the leveraged option against the standard option usually makes it obvious that the former does not offer a simple performance multiplier of latter. I [...]
