The basis of comparing different position sizing methods?

[Hook N. Sinker]

Quote from joesan:

If so, does it make sense to only compare the system performance of different models with same (or similar, to make the calculation convenient) maximum drawdowns?

You might also calculate Sharpe ratio or information ratio.

 

[ronblack]

Quote from sim03:

So, when you opened the first of those 8 positions, did you already know in advance that there'd be exactly 7 more to follow eventually, therefore risking 0.25% on that first position? Or do you always open 8 positions at 0.25% risk each at the same time, then don't open any new ones unless one or more of the existing ones are closed?

Good questions. I'm a position trader. I hold a maximum of 10 open positions at a time. In the past I could have 30 open positions at a time, no problem. Now things are different. It is more of a psychological problem than anything else. As you grow older you can't deal with too many things at once.

I get plenty of entry signals from the software I use and always try to select the best. Also, the software has a tool for determining position size. So quantity of signals is not the issue, it is the quality that is important. If the total risk on my equity falls below 1% due to closed positions I may buy more shares to add to positions that seem more promising. At times I may be out of the market and completely flat for a short period of time only. Recently I had only 2 positions for a total of 2% but when I got more signals I reduced the exposure by selling shares, booked some profits and opened new positions.

Ron