Size matters! How position sizing determines risk and return of technical timing strategies

The application of a technical trading rule, which just provides long and short signals, requires the investor to decide upon the exposure to stake in each trade. Although this position sizing (or money management) crucially affects the risk and return characteristics, recent academic literature has largely ignored this effect, leaving reported results incomparable. This work systematically analyzes the impact of position sizing on timing strategies and clarifies the relation to the Kelly criterion, which proposes to bet relative fractions from the remaining gambling budget. Both erratic as well as different relative positions, i.e. fixed proportions of the remaining portfolio value, are compared for simple moving average trading rules. The simulation of parametrized return series allows systematically varying those asset price properties, which are most in uential on timing results: drift, volatility, and autocorrelation. The study reveals that the introduction of relative position sizing has a severe impact on trading results compared to erratic positions. In contrast to a standard Kelly framework, however, an optimal position size does not exist. Interestingly, smaller trading fractions deliver the highest risk-adjusted returns in most scenarios. --Kelly criterion,money management,parameterized simulation,position sizing,technical analysis,technical trading,timing strategy

Scaling the Management of Extreme Programming Projects

XP is a code-oriented, light-weight software engineering methodology, suited merely for small-sized teams who develop software that relies on vague or rapidly changing requirements. Being very code-oriented, the discipline of systems engineering knows it as approach of incremental system change. In this contribution, we discuss the enhanced version of a concept on how to extend XP on large scale projects with hundreds of software engineers and programmers, respectively. Previous versions were already presented in [1] and [12]. The basic idea is to apply the "hierarchical approach", a management principle of reorganizing companies, as well as well-known moderation principles to XP project organization. We show similarities between software engineering methods and company reorganization processes and discuss how the elements of the hierarchical approach can improve XP. We provide guidelines on how to scale up XP to very large projects e.g. those common in telecommunication industry and IT technology consultancy firms by using moderation techniques.Comment: 7 pages, 4 figure

Effects of moderate abundance changes on the atmospheric structure and colours of Mira variables (Research Note)

Aims. We study the effects of moderate deviations from solar abundances upon the atmospheric structure and colours of typical Mira variables. Methods. We present two model series of dynamical opacity-sampling models of Mira variables which have (1) 1 solar metallicity 3 and (2) "mild" S-type C/O abundance ratio ([C/O]=0.9) with typical Zr enhancement (solar +1.0). These series are compared to a previously studied solar-abundance series which has similar fundamental parameters (mass, luminosity, period, radius) that are close to those of o Cet. Results. Both series show noticeable effects of abundance upon stratifications and infrared colours but cycle-to-cycle differences mask these effects at most pulsation phases, with the exception of a narrow-water-filter colour near minimum phase.Comment: 4 pages, 3 figures, accepted for A&