Monday, November 1, 2010

COST did wonders for me, S not so!


6 comments:

Craig said...

Ouch!
Why is that position so much bigger?

Nizar said...

Hi Craig,

Not sure what you mean. It's not much bigger, the position is about $20k, pretty much in line with all other positions.

Craig said...

Duh, my ignorance knows no bounds...
Would it be possible to expand more on how you decide on position size?

Unknown said...

Hi Nizar
S is a pity, otherwise the equity curve was going in the right direction. In situation like this where one stock took away most of your profit and it is a low price stock, though a dow. you would wonder if that stock was too volatile to be bought at the same position size as the rest. Have you tried volatility based position sizing? or apply a filter on low priced stocks.

Nizar said...

Hi bookworm,

Interesting ideas. You're right, S is quite volatile, and you can easily see this by looking at the ATR in relation to the price of the stock.

This was no surprise to me though. I knew from backtesting that S does tend to provide big movements, both for me and against me.

Thanks for dropping by.

Nizar said...

Hi Craig,

Position sizing is simply a 20% allocation of my intraday buying power to each stock.