Forum | About position sizing per strategy.

Good question.

You're right. Each portfolio stands on its own and there is no "total portfolio." So if you have $25,000 allocated to, let's say, the ATR Strategy, then 2% of $25,000 would be $500, as you said.

There are a couple of reasons why there are five strategies. I'm trying to give people choices. The time frames are different. The ATR Strategy generally has an intermediate time frame of weeks to months. The RSI Reversal Strategy is short term with a time frame of a few days. The COT Strategy will usually have a time frame of months to a year and a half or so. The Magic Formula Strategy has a time frame of about a year. And the Long Term Timing Strategy can have a time frame of several years.

The other reason is that people need to choose the one or ones they feel comfortable with. Not everybody is going to be comfortable with or have the time for RSI Reversal. Not everybody is going to have the patience for COT. Not everybody is comfortable in being in mostly small  individual stocks like Magic Formula. And not everybody wants the boring simplicity of Long Term Timing.

You touched on another important point. Even though I'm not a believer in diversification among different assets (How can you possibly have superior performance if you diversify yourself into mediocrity?) I am a believer in diversification among strategies. Right now the MF strategy is the star performer. But that's not always going to be the case. In 2010 one of the other strategies may perform best.

As far as what percentage to allocate to each strategy is concerned, that's a personal financial planning issue. And I can't give personal financial advice anyway. For example, I think the Long Term Timing Strategy is perfect for 401(k)s (Although you're limited to the choices within your plan) and IRAs. But everybody has to make their own decisions about which strategies their comfortable with and how much to allocate to each.