• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Optimize reinvestment by flattening

Joined
2/23/15
Messages
2
Points
11
In a volatile strategy playing with some risk capital, I have generally an average risk level of 30% - per month.

Default is to just reinvest all the gains made, and hope for better (accelerated) gains in the future. However, I've seen there is a superior strategy.
I now take out half the profit if I have a winning month, and put this part on a saving account. If I have a loosing month, I reinvest half the loss by taking this amount from the saving account.

This strategy does flatten the profit and is less prone to losses.

Taking out 50% and reinvesting 50% is just my gut feeling. I am looking for perfect values based on past performance. Does anyone have some experience, or can even share the formula with me?

Thanks a lot!
 
Back
Top