Quantitative Trading Systems

I have written a paper describing an original approach to evaluating the health of a trading system, and an original approach to determining position size based on system health.
The technique described:
• Is of practical significance to practitioners of active investing.
• Produces both faster account growth and lower risk when compared with a passive buy-and-hold strategy.
• Is illustrated using a fully disclosed trading system.

It can be found on the Resources page, in the Books category:
or use this link

Comments are welcome.

There is a new article in which I explain my thoughts on why traders stop trading systems. Among the points I make are:

• It is important to monitor system health.
• Drawdown is probably the most common reason traders stop trading a system.
• Position size must be adjusted as system performance changes.
• The correct position size of a system that is broken is zero.