Positive Expectancy and Trading Your Edge - Metrics

[lftrader]

"Trey say to keep it simple." Who is Trey?

Ops, typing in the dark. It's they. sorry.

All successful traders I know keep it simple. Some book authors attempt to fill pages and pages with complicated position size methods for which there is no proof they work. Fixed fractional is recommended by many successful traders. Success is related to simplicity.

"Is there disagreement with the concept of reducing exposure when performance is poor and increasing exposure when performance is good? "

Yes because at the time of reduction performance may get better. The claim you make is vacuous in the absence of formal proof. One can present charts where it works and someone else charts where it fails. Best.

 

[howardbandy]

Hi LF --

Please re-read "Foundations of Trading."

Best regards,
Howard

 

[Gringotts Bank]

"Trey say to keep it simple." Who is Trey?

Ops, typing in the dark. It's they. sorry.

All successful traders I know keep it simple. Some book authors attempt to fill pages and pages with complicated position size methods for which there is no proof they work. Fixed fractional is recommended by many successful traders. Success is related to simplicity.

"Is there disagreement with the concept of reducing exposure when performance is poor and increasing exposure when performance is good? "

Yes because at the time of reduction performance may get better. The claim you make is vacuous in the absence of formal proof. One can present charts where it works and someone else charts where it fails. Best.

You can paste your P/L per trade into excel to check this. If losing trades tend to follow losing trades (as is the case with many systems), then reducing size after a losing trade makes sense. A simple formula might halve the P/L for the next trade if the previous one was a loser. Then chart it to check it against the fixed position size. Howard's very meticulous with his work - you can trust him, imo. His books can be hard to read if you don't have a stats/maths/programming background (like me, I don't), but the info is all there.