Momentum strategy backtest under capital constraints

NexusFi · 2014-05-04T16:19:49-04:00

Hi, Has anyone ever seen a good study (academic or otherwise) that does an analysis of implementation of a trend following strategy with a limited account? There are some good examples here ( of a trend following strategy backtests and optimisation. However, there is no study as to the impact of having an account smaller than $1 million (their starting account size). I also know Van Tharp in Trade your way to financial freedom (2007) has a table detailing what would happen with an account of $1 million …

Discussion in Commodities

Updated May 4, 2014

1,590 views
0 thanks given
2 followers

Search this Thread

Momentum strategy backtest under capital constraints

May 4th, 2014, 04:19 PM	#1 (permalink)
drolles London, UK Elite Member Experience: Beginner Platform: TradeLink, OpenQuant, considering anything that works... Trading: if it trades... Posts: 94 since Oct 2010 Thanks Given: 24 Thanks Received: 39	Hi, Has anyone ever seen a good study (academic or otherwise) that does an analysis of implementation of a trend following strategy with a limited account? There are some good examples here of a trend following strategy backtests and optimisation. However, there is no study as to the impact of having an account smaller than $1 million (their starting account size). I also know Van Tharp in �Trade your way to financial freedom� (2007) has a table detailing what would happen with an account of $1 million but with $x allocated to each trade. But I�m more talking about a study of exactly what is the effect of starting with an account of $1 and up from there. Cheers, drolles