The Web is full of trading strategies. Almost every trading Youtube video is about a trading strategy. However, there is virtually no videos on money management. Sure, there is "don't bet more than n% on a single trade", but even then, I have NEVER seen some sort of support of the said "n" based on back testing.

Since there are quite a few algo traders, as well as those who back test their ideas, has anybody here done any testing of money management techniques. Optimal F, fixed fractional or fixed ratio?

I don't recall

-It's all right, time does that.

Sorry for delay, I do not check in here much anymore.

Not sure what you are getting on about here, I don't recall any previous conversations with you (probably me forgetting). In any event, I apologize for obviously really upsetting you - which I assume is why you call me arrogant and say I have a mental block.

In any event, name calling and arguments are not somewhere I want to go.

I wish you well.

Kevin, forum threads are conversations. If you reply to a post it sort of implies you join the conversation, and it's pretty frustrating getting abrupt replies as a follow up. But then again, you don't owe me anything.
Keep well.

Please show me these (apparently multiple) abrupt replies you speak of, and I will update them. The only one I know of was in this thread, and I simply did not want to debate your statement "a backtest is a backtest."

Kevin, forum threads are conversations. If you reply to a post it sort of implies you join the conversation, and it's pretty frustrating getting an abrupt reply as a follow up. But then again, you don't owe me anything.
Keep well.

Why testing position sizing can only be done in real time.

I test position sizing after I develop a strategy. That is because I want to see the performance of a strategy with 1 contract always. When you include position sizing in strategy development from the beginning, you can't see strategy edge degradation, as it is masked by increased position size. That is my approach, in any event. Not everyone does it that way. My well known friend and trading champion Andrea Unger likes to develop strategies with position sizing.

So I add in position sizing after development.

When you try to apply position sizing to an already backtested strategy, the results are going to be misleading. Why? Because the backtest is already good. Adding position sizing to a known good backtest will just make it better (or you will not add in position sizing in the first place). There is a built in hindsight? bias here.

And strategies typically do not perform as well in real time as the backtest. At least that is my experience. So now you take an "optimum" position sizing, based on a good backtest, and apply it to degraded real time results, and things can get real ugly quickly.

That is why I mentioned I do not use fixed ratio position sizing. It looks great on good backtests, but it suffers when strategy performance degrades in real time. The fact the creator of Fixed ratio blew out his account because of fixed ratio (source: his broker) backs this up.

Hope that explains it.

Kevin

This is way out from left field and you probably can’t answer this but what broker do you use for the majority of your automated trading?