What I did in the case above was to divide all sizes of strategy by 2. This way the equity curve got smoother and I made sure both strategies had the same effect on my bottom line. I'm sure there's a more mathematical way to do it if you dig into it. Here's what GPT have to say:
Great post! Would you consider share more about Volatility targeting?
What I did in the case above was to divide all sizes of strategy by 2. This way the equity curve got smoother and I made sure both strategies had the same effect on my bottom line. I'm sure there's a more mathematical way to do it if you dig into it. Here's what GPT have to say:
https://chatgpt.com/share/6835f42d-4518-8010-abf6-29dca1c9775f
Thanks Niv, great post as always !