I have written a paper describing an original approach to evaluating the health of a trading system, and an original approach to determining position size based on system health that might be of interest to some of you.
It is entitled: Developing Robust Trading Systems, with Implications for Position Sizing and System Health
The technique described:
• Is of practical significance to practitioners of active investing.
• Produces both faster account growth and lower risk when compared with a passive buy-and-hold strategy.
• Is illustrated using a fully disclosed trading system, written in AmiBroker.
It can be found on the Resources page, in the Books category:
Comments are welcome.