Piecewise % per trade based on equity
Posted: Fri Jun 13, 2008 8:32 pm
Hidden genius in Mark Johnson's old PGO system:
Bet a variable percentage of equity on every trade
Make the variable percentage equal to 2.0%, times "A" where "A" is an "aggressiveness" factor. When the account is small, we will be aggressive. When the account is big, we will be unaggressive.
Calculate A as a function of total account equity, using these piecewise linear equations:
if (equity < 100K) or (equity > 1.3M) then A=1.0
if (100K < equity < 180K) then A = 1.0 + ((equity - 100K)/80K)
if (180K < equity < 600K) then A = 2.0 - (0.6 * (equity - 180K)/420K)
if (600K < equity < 1.3M) then A = 1.4 - (0.4 * (equity - 600K)/700K)
Bet a variable percentage of equity on every trade
Make the variable percentage equal to 2.0%, times "A" where "A" is an "aggressiveness" factor. When the account is small, we will be aggressive. When the account is big, we will be unaggressive.
Calculate A as a function of total account equity, using these piecewise linear equations:
if (equity < 100K) or (equity > 1.3M) then A=1.0
if (100K < equity < 180K) then A = 1.0 + ((equity - 100K)/80K)
if (180K < equity < 600K) then A = 2.0 - (0.6 * (equity - 180K)/420K)
if (600K < equity < 1.3M) then A = 1.4 - (0.4 * (equity - 600K)/700K)