Back testing is not a strong mirror of actual trading, IMHO. Have you tested in real time with a simulator that accounts for such variables as execution, slippage, etc?
Back testing is not a strong mirror of actual trading, IMHO. Have you tested in real time with a simulator that accounts for such variables as execution, slippage, etc?
I've actually been trading it for close to a year, trading very small. The results are pretty similar to what was backtested. Not really statistically significant, I know..
In addition, Michael Harris in his new book Profitability and Systematic Trading has a section about position sizing, explains the fixed fractional method and offers some very good tips and insight into optimal methods.
As far as consecutive losers note that these may not come in a row, as Michael Harris explains in the book, so the probabilitiy of you ruining the account varies with respect to that sequence.
Ron,
Thanks for the book recommendataions, they're much appreciated. I'm always on the lookout for these.
Agree with what you say about losses not needing to come in a row, I admit it's something I haven't thought of much before, but it makes a lot of sense.
