Why a Trend Follower Uses Portfolio Realised Balance rather than Portfolio Equity for Position Sizing

When it comes to allocating capital to each of our trade bets when trading a systematic diversified trend following portfolio, a question is frequently posed by the practitioner about which is the preferable equity treatment to use as a basis for calculating position size. Is it better to use the Realised Equity Balance of our

To Aggressively Compound or to not Aggressively Compound? That is the Question….. A Tongue Twister from a Womble

So you have a nice backtest result that you feel demonstrates an edge….so it is onto the next question. How do I leverage this edge. Do I aggressively compound or not?

Now the central fact that you need to keep in your head with this decision is that compounding accentuates volatility inherent in the return streams. Too much compounding introduces speed wobbles into your system where you are trying to extract too much from the limited alpha the system generates.