039: Michael Cook discusses position sizing to maximise returns, using the market to determine stop levels and the role of discretion in systematic trading.
Better System Trader
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How Do You Decide if You Should Include a New Strategy?
So when you're calculating that draw down do you make assumptions on some of those stops, perhaps like a buffer, or had you yes, i dant to reduce them. So whatever my fixed fractional number is, thats sort of the max number. And then invariably i'm reducing them for whatever reason. You can't foresee all all issues, so i'm sure i will get badly caught out at some point. But having seen how bad things get when people getting badly caught out, for instance, the first leman crisis,. before osleman went in in 98, when there was a problem and l t c m - it's really what's coloured my mind set on that sort
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