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Trading Strategies >> General Discussions About Strategies >> Fixed Ratio Position Sizing
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Message started by Algo Designer on 02/15/09 at 11:51:28

Title: Fixed Ratio Position Sizing
Post by Algo Designer on 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.

Title: Re: Fixed Ratio Position Sizing
Post by statstrader on 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

Title: Re: Fixed Ratio Position Sizing
Post by Yury R on 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.