011: Ralph Vince talks position sizing, the different applications of optimalf, trading horizon, diversification and his changing views over 25 years.
Better System Trader
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Optima F - What's Important When You're Trading More Than One Component?
The function of the system itself an play the distribution of outcomes, what other systems are being traded with it. The more a given market makes a big move, the more other markets at the same time well make a big move. If i do two of these very same games simultaneously, my peak is at point two three. And if i keep adding independent games, the sum of those f values for all those games simultaneously will tend towards one. This tells me now what the peak of a the landscape is in this n plus one dimensional landscape. From that peak, i can craft what i would want for my criterion. Weld with this information and you'll be able to determine what we do next
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