I have received a private message for Trev that I will answer publicly.

Quote Originally Posted by manucastle
Thank you tremendously for your hard work on the Combo_MF.

A couple of (very naive) questions please on your table.

You show a Kelly score of 11.94

You show a NoFear score of 0.1005

You show risk% factors of 0.35%,0.44%,0.29% and 0.48%

How do these relate practically to the amount invested currently in TQQQ and SMN ?

The Risk% figures of 0.35%, 0.44%, 0.29% and 0.48% Do these mean 35%, 44%, 29% and 48% of total equity to invest ?

Sorry to be so thick but it is best sometimes to appear stupid if something is not understood.

Thanks in advance.

Trev
If the Risk% says 0.35% for Combo-MF, I will take a maximum risk for trading TQQQ of 0.35% of the at that time available equity.

Example:
Let's assume that the equity is $ 10,000.00. The maximum risk for a trade in TQQQ should be $ 10,000.00 x 0.35% = $ 35.00. The number of shares to buy must be calculated with the ATR3 of TQQQ at that moment. Let's assume the ATR3 for TQQQ is 2.1963. The ideal ATR multiplier that I have found through back tests for a long trade in TQQQ is 1.2. The possible number of shares of TQQQ to be bought is
Risk / ATR3 x ATR multiplier
or $ 35.00 / 2.1963 x 1.2 = 13 shares
This seems like a very small position size. Because the risk to be taken is limited by my strategy is now low, than it makes sense to take very small positions for now. The risk is so low because my strategy has detected that the different models do not perform good for the moment. If Kelly is low then the overall performance of the models as a whole is not good. If NoFear is low then the strategy has detected that there where significant recent draw downs. Both are true for the moment, unfortunately.

PdP