In a version of the turtles system, I made countless simulations with pyramining positions but could not get better equity curve statistics than the non pyramiding version. When pyramiding with a risk of say, 0.90% per ATR, i could get the same CAGR% with better stats (better sharpe, info ratio, MAR, less trades) with 1.3% risk per ATR and no-pyramid. The risk per trade is the same because pyramiding means a higher number of ATRs at risk. Yet non pyramiding looks better.
Anyone has a contrarian view on this?
Anyone has a contrarian view on this?
