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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures -- Ignore unavailable to you. Want to Upgrade?

To: Tom Trader who wrote (12270)	1/9/1999 7:16:00 PM
From: jjs_ynot	Read Replies (3) \| Respond to of 44573

Tom, You can use a Monte-Carlo analysis to brute force an answer to your problem. you can use the statistics of your system to do a random draw for the variable related to the trade and the market and try a range of ratios of trade size to total margin to find the best result. You will probably need to set some parameters such as maximum allowable drawdown. Also, It seems that the volatility of the market may influence the decision. For this you may want to factor in the recent Bollinger statistics (which are 2 sigma representations of variability based on recent market moves). With some work and a little computer programming; an answer can be obtained brute force. I am not clear if there is a closed-form solution. If there is it may not be that useful to you. You may be more interested in examining the effect of various assumptions and constraints you impose on the problem to make your final decision. In general closed-form solutions require a linearization and the assumptions in the linearization can affect the outcome. Dave