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the major part of my algo is trade management. i tested several different versions of trade management and the one that i use today consists of 4 parts: minimize loss, stay in the trade even if it results in a smaller profit, protect profits and exit at predetermined target. i also manually keep the initial stoploss/risk the same by adjusting the number of contracts.
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.
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."
As to the debating, I wasn't after one. I just wanted you to elaborate on what you said. Why testing position sizing can only be done in real time and so on. I must have phrased my reply incorrectly. Never mind.
In any case, I incorrectly extrapolated your generosity with marketing emails (I have over one hundred and ninety in my inbox) with post replies.
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.
All my signal generation is in Tradestation, and orders are either sent to Tradestation brokerage or to NinjaTrader and on to another brokerage (Optimus ).