Percent volatility model: A little better

It’s been a long absence since my last post. I cannot say I’m a proficient blogger. It’s also been an extremely busy time for me during the past few months.

Anyway, i’m here now, and I’ve got a follow up to my previous study: A Peek into a Professional Trader’s equity curve. Originally, I set out to see what a professional trader’s equity would look like. What was the performance? what are the drawdowns? As a byproduct however, I also included 2 position sizing models to investigate the impact position sizing would have on the curve. The methods were: Fixed Size and Fixed Risk. All in all I felt that the results were not very far apart and both methods had their pros and cons. In some of the comments I received, I was asked to try out a percent volatility model.

I have done so, and the result is rather good. The study is based on the first theoretical one (No slippage assumed) so it must be compared to this. Just for clarity, the original Fixed Position study posted a 29.91% profit with a maximum drawdown of 5.90%, and the Fixed Risk study posted a 24% profit with a maximum drawdown of 6.15%.

The following percent volatility model was calculated by using an ATR over the past 300 minutes. A constant was used in order to bring the values close to the original exposure, as was done with the fixed risk model. This study posted a 32.63% profit with a maximum  drawdown of 5.72% That’s definitely the best of the lot. Here are the detailed results (Click for a larger pix):