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Kobayashimaru
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Just about to embark on further study into position sizing. If, as you say, optimal f or optimal e or other anti-martingale strategies are not significantly different from LSP, how do you approach the idea of combining different strategies/markets/systems? How many strategies/markets/systems are enough to achieve optimal "diversification". I think RV did a good job with the idea of backtesting for correlation and using maximum "joint" drawdown as a metric. I had not seen much of this before 2008. So what f are people trading out there? How much maximum drawdown are others willing to tolerate in a single system? How much maximum "joint" drawdown are you willing to tolerate? How did you arrive at those figures? Do you have any testing to support those limits?