My position sizing is a variation of “Volatility Adjusted Position Units” as described in the Original Turtle Rules.  I believe that this methodology is equivalent to the percent volatility model that Van Tharp presents. It is an elegant method of taking equity and market volatility into account.

By trading in one market and having no scale in provision, I dodge a lot of the complexities associated with position sizing in an active portfolio.  In that case, many more possibilities exist with respect to accounting for unrealized gains and losses.  Without the burden of multiple open positions, I have only one possible number to use for the “equity” piece of my position sizing algorithm…my actual account equity.

I’ve tried various scale in techniques, but I’ve yet to find one that works for me, so unlike the Turtles, and unlike Jesse Livermore, when I enter, I enter my full position.

I expect that the bulk of my research going forward will focus on refinements to position sizing, since in my experience, this is where most of the variation in returns comes from.