Equity momentum money management
Author: Eugene
Creation Date: 7/26/2011 4:23 AM
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Eugene

#1
Many of our PosSizer library users are familiar with the Win Increases (Equity momentum) money management technique. Basically, the PosSizer increases the position size by the user-selected percentage if the equity curve had certain change over the past N bars (i.e. the "equity momentum") or the past N closed trades.

Equity change over last N trades/bars can be positive or negative. We can stimulate a winning system and buck the trend if the system gained X%. Or we can do the opposite and increase trade size when an otherwise stable, winning system (e.g. a trend-follower) experiences a moderate drawdown (negative equity change), if we're sure that it continues performing again when the equity retracement is over. Somewhat like Martingale vs. Anti-Martingale.

Just some food for thought. What's your own experience?