131: Morgan Slade – Strategy Development, Powered by Machine Learning
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How to Weight Your Trades Effectively
In large part, your risk allocation decision has a lot to do with your capacity. One way to figure out your capacity is by testing your strategy at different sizes over time and trying to get a sense for when the performance is best. Sometimes when you over constrain things or you have too many rules that you're adding to your model, so it's too complex. When you try and do these optimizations, you'll actually get very sub-optimal answers.
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