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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Is It Possible to Improve the Performance of a Strategy by Adjusting the Position Size?
i'd like to hear his views on dynamic position sizing with respect to a strategy's performance. If you measure the performance of a strategy by the performance of recent trades, can you improve the performance or limit the risk taking? Well, okhen, she speaks of, let's ay, improving performance. What does she mean by improving performance? Again, it's a function of criteria. Let's say ola's criterion is to i maxima is the probability that her equity curve will be at a new high qity. And so it only does is a e. As a as the system loses money, she tends to commit more money to each subsequent trade up to the optomal la
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