Pyramiding

Discussions about Money Management and Risk Control.
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DeanoT
Roundtable Fellow
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Posts: 52
Joined: Sat Apr 15, 2006 7:37 am
Location: Melbourne, Australia

Pyramiding

Post by DeanoT » Sat Nov 11, 2006 8:32 am

I purchased Trading Blox Turtle about twelve months or so ago, and over this time have developed a system that I am pretty happy with in terms of system performance.

Current System

CAGR = 80.6%
Max Dr Dn = 46.3%
MAR = 1.72

However, when I attempt to use the pyramiding/add units functionality, my systems performance deteriorates significantly regardless of the add unit interval, or if i reduce the risk per trade, leading me to conclude that pyramiding is counter-productive, which instinctively feels incorrect.

Has anyone here successfully used the add units/pyramiding function and found system improvement when compared to putting on the full position size from the outset ?

My current system under design is a combination of three individual systems, a medium term system, a long term, and an ultra-long term system. I am beginning to think that my splitting of an overall system into three systems which have different timeframes may be similar to having one system, and then adding to a winning position as the trend develops.

Any thoughts or advice on this ?

raymund
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Joined: Wed Oct 18, 2006 11:05 pm
Location: Houston, TX

Post by raymund » Mon Nov 13, 2006 1:00 pm

Deano, you didn't provide us information on your entries and exits. That may make a difference. For example, in developing a triple moving average system, I found that pyramiding made little difference in CAGR or MaxDD. I speculate that may be because moving average entries can occur during slowly rising or flat periods of price action. I also speculate pyramiding may work better if one's entry is more closely tied to short term, quickly rising price action, such as the turtle system. Please note I have not tested these speculations in detail.

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