Position sizing and Position Correlation analysis to address bursty exposure
Author: kbellare
Creation Date: 12/4/2013 8:38 PM
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kbellare

#1
I'm running a strategy across over 100 ETFs and am getting good trade performance metrics (profit/trade, profit) but exposure is small (<30%) and bursty (i.e. some time periods have 100% exposure and dropped trades vs others have <8% exposure). To address this ..

1) What's a recommended position sizing strategy to adopt? I see several options, but not sure of some of them even after reading the brief documentation

2) How do i determing correlated symbols (i.e. symbols that enter trades at the same time), so that i can remove them from the dataset and increase my positions on uncorrelated symbols?

thanks
Kiran
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Eugene

#2
2) Some helpful resources:

* FAQ: Is it possible to calculate correlation?
* Correlation Matrix strategy