Trading System LabTrading System Labs include the specific rules and detailed historical test
results for mechanical trading systems. The tested strategies may be daily
or intraday (or occasionally longer term), and are typically traded across a
portfolio of stocks, futures, or ETFs. Complete system rules and trade logic
are provided, along with analysis of the system's strengths and weaknesses
on different levels.
- Trading System Lab: Fixed-ratio money management
Ryan Jones described the fixed-ratio money management approach in his book The Trading Game (1999, John Wiley & Sons). Its key parameter, delta, is the dollar amount of realized profit required to increase position size — the number of futures contracts (or shares of stock) per trade — by a certain amount.
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