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Momentum strategy backtest under capital constraints
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Momentum strategy backtest under capital constraints

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Momentum strategy backtest under capital constraints

Hi,

Has anyone ever seen a good study (academic or otherwise) that does an analysis of implementation of a trend following strategy with a limited account?

There are some good examples here of a trend following strategy backtests and optimisation. However, there is no study as to the impact of having an account smaller than $1 million (their starting account size).

I also know Van Tharp in “Trade your way to financial freedom” (2007) has a table detailing what would happen with an account of $1 million but with $x allocated to each trade.

But I’m more talking about a study of exactly what is the effect of starting with an account of $1 and up from there.

Cheers,

drolles

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