It’s great to be a part of the Top Traders Unplugged crew. Such a privilege. Looking forward to more sessions and bringing different perspectives into the discussion on Trend Following. 150 Systematic Investor Series ft Richard Brennan – July 25th, 2021 Trade well and Prosper The ATS mob
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.