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Article Archive For Michael R. Bryant, Ph.D.

  • Money Management Indicators by Michael R. Bryant, Ph.D.

    ARTICLE SYNOPSIS ...Money Management Indicators by Michael R. Bryant, Ph.D. Keeping track of your system's performance will alert you to changes in market behavior. T raditional market indicators are typically based on price. Moving averages, for example, are calculated using a specific number of bars of price history. Traditional indicators can be useful for gauging price action in the market, but I wanted indicators to measure how my system was performing. So I tried out a combination of indicators based on the profit/loss stream of a trading system. These money management indicators are plotted on a price c...

  • Position Sizing With Monte Carlo Simulation by Michael R. Bryant, Ph.D.

    ARTICLE SYNOPSIS ...Need to know how much to put on your next trade? You can figure it out with 95% reliability using this simulation technique. Consider this: Jane and Joe started trading the same Standard & Poor's 500 futures trading system at the same time. They each began with $100,000 and both followed the system exactly. But 12 months later, Joe's account was worth $200,000, while Jane's account was worth only $50,000. What was the difference in their trading? Position sizing. As his account equity increased, Joe increased the number of contracts in a near-optimal manner, resulting in a sharp runup in equi...

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