position sizing and volatility.

M

minmike

What methods do others use with regarding position sizing and volatility?

I have some systems that that look pretty good on paper, but if the profits/loses from the more volatile periods were brought more in line with the profits/loses in the less volatile period, it would look much better.

1-3 day holding periods. I don't use stops so I can't control it that way. I don't really like the idea of using the vix due to its directionality.

Any other ideas/theories that people could suggest would be greatly appreciated.

Thanks
 
Money Management of TradersStudio is a good option to look at. In fact, among TradersStudio's strong and unique points is "Money Management".

Please have a look at this thread to know more:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=119308

Also, Gyles gave a good writeup of the same. Please have a look here:
http://www.elitetrader.com/vb/showthread.php?s=&postid=1789227#post1789227

You can download the complete PDF review of TraderStudio here:
http://www.elitetrader.com/vb/showthread.php?s=&postid=1846347#post1846347
 
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