Really nice writeup! 2 things, 1) are the links working? They don't go anywhere in my substack app. 2) have you ever tried some form of dynamic position sizing that depends on something like past performance? Like if the past week performed well, then increase allocation. You could analyze how effective this would be by plotting each trade's % pnl on the y-axis and the trade date on the x-axis, to visualize if there is any auto-correlation.
1) as always, I messed up the links :) should work now.
2) I basically add size while account grows and reduce size when it's subtracts - is that what you mean? or you mean vol targeting? in the case of vol targeting I haven't tried that yet , trend following podcasts I listened to were really against it for some reason
I'm familiar with fixed % position sizing and equal vol targeting. But I'm referring to betting more as the system does well and less when the system does poorly. (I got the idea from Dr Howard Bandy's books, where he discusses a sophisticated way to scale a strategy up/down as it's performance changes over time). Is this something you've played around with? In a couple of tests I performed, it didn't seem to add value.
isn't it exactly fixed % ? you bet more as the system does well (because the account grows) and you bet less when the system does poorly? if it's more complicated than that then I have no experience with it..
What’s this Spikeet thing you speak of?
it's a platform that lets you pull data and test your ideas
https://spikeet.com/
in the ABAT trade you show, where is the stop? you mentioned tight stops but that's a decent sized upper wick
I guess tight compared with the huge % stops I use when shorting small caps intraday
Really nice writeup! 2 things, 1) are the links working? They don't go anywhere in my substack app. 2) have you ever tried some form of dynamic position sizing that depends on something like past performance? Like if the past week performed well, then increase allocation. You could analyze how effective this would be by plotting each trade's % pnl on the y-axis and the trade date on the x-axis, to visualize if there is any auto-correlation.
1) as always, I messed up the links :) should work now.
2) I basically add size while account grows and reduce size when it's subtracts - is that what you mean? or you mean vol targeting? in the case of vol targeting I haven't tried that yet , trend following podcasts I listened to were really against it for some reason
I'm familiar with fixed % position sizing and equal vol targeting. But I'm referring to betting more as the system does well and less when the system does poorly. (I got the idea from Dr Howard Bandy's books, where he discusses a sophisticated way to scale a strategy up/down as it's performance changes over time). Is this something you've played around with? In a couple of tests I performed, it didn't seem to add value.
isn't it exactly fixed % ? you bet more as the system does well (because the account grows) and you bet less when the system does poorly? if it's more complicated than that then I have no experience with it..
i think this is referring to progressive exposure, e.g. if your previous 4 trades performed well, increase risk from 0.5% to 0.75%
this has been advocated by traders like Minervini, and Qullamaggie does it too
it seems like something that would be better suited to breakouts and EPs (to profit from good periods and avoid bad ones) rather than shorts...