Letâs assume you have a strategy that produces 50% return (without any leverage) with an expected 10% max DD. Now if you double the size, return would go up quite a bit but so will the DD. The question is what should be the right balance. Obviously you donât want to have 1000% returns and a 100% DD..
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Whatâs an acceptable max DD for a strategy?
- Thread starter macintash
- Start date
there is no change in corrolation by varying size up to 5 times market capacity.
Quote from macintash:
So your suggestion is 5X leverage with a 50% DD?
Sorry I wasn't clear.
50% and 10% are in a constant unvarying corrolation.
For any size thai remains the same.
I posted a trading size limit. Size means the number of contracts being traded.
If you see the capacity the market attains as a value, then that value you know is being traded in bunches of consecutive blocks on the T&S.
As a trading participant in that market, you personally can be holding a position 5X this value of contracts for the capacity.
When I am holding such a position where the market capacity is 1/5 of my position, then to reverse (Ido not do entry/exit skill level of trading) I do several partial fills with market trades to complete my reversal. They will not appear as consecutive trades on the T&S, either.
I did not suggest 250 and 50 to you (you mentioned a 50% for DD)
Quote from TheMagican:
That's ok Jack,shit happens.I got a remedy for you.Take each post,reprint it 50 times minimum,scan and the post it.Then I'll try to point you what was wrong.
here you go:
"there is no change in corrolation by varying size up to 5 times market capacity."
give it a shot.