very complicated subject. no "one" answer cause some systems will benefit
and some will not. the more hap hazard your entries the more likely it will
work in your favor. the more accurate your entries "read counter trend
entry" the less it will help you. my proof is all my blown up accounts
which i care not to dig out the statements to share with anyone right now
they are long boxed up. ;)
see if you have a good entry and high probability then it is best to trade
flip to flip. the more random your entries the more scaling will help you
cause at that point your just trading luck anyway. and - i would add trying
to conserve capital is part of that luck - which scaling might help.
the variables to consider are the following:
1.) frequency of the trades
2.) probability of trade success
3.) length of time in trade to p or l
4.) quartile profitability targets 75% is a good bench mark from experience
5.) volatility size of trades captured by system
6.) maybe some more but i am tired now. mb
----- Original Message -----
From: "Timothy Morge" <timothymorge@xxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, July 28, 2007 8:47 PM
Subject: Bet sizing question: Scaling
Good evening.
On my forum [http://www.marketgeometry.com], the
question was asked if scaling out of positions makes
more money than setting a fixed target and exiting all
of a position at the maximum target [assuming price
gets to the maximum target].
I KNOW there was quite a spirited debate on this forum
several or more years ago and a few people even
presented 'papers' or elegant write-ups on the
subject.
Would any of you care to share your opinions and or
statistical proofs?
Thanks in advance.
Tim Morge
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