Momentum strategy backtest under capital constraints


Junior member
10 0

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.


AdBlock Detected

We get it, advertisements are annoying!

But it's thanks to our sponsors that access to Trade2Win remains free for all. By viewing our ads you help us pay our bills, so please support the site and disable your AdBlocker.

I've Disabled AdBlock