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Fixed Ratio Position Sizing (Read 6006 times)
Algo Designer
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Fixed Ratio Position Sizing
02/15/09 at 11:51:28
 
A while back, I came across the concept of Fixed Ratio Position Sizing (presented on http://www.breakoutfutures.com/Newsletters/Newsletter0703.htm). I am wondering if any of the members of this forum has ever experimented with this technique.
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statstrader
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Re: Fixed Ratio Position Sizing
Reply #1 - 02/16/09 at 05:34:35
 
although I'm a big fan of kelly principles, here are some prior arguments regarding fixed ratio.

http://www.traders2traders.com/papers/Ryan.Jones.MM.htm

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qroach
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Re: Fixed Ratio Position Sizing
Reply #2 - 02/16/09 at 12:02:37
 
I think, it is all about playing with utility function implicitly. I haven't read Jones, but if he doesn't mention utility function or doesn't use it to derive the formula - then he would be a crook.
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