This is a list of MM links I posted on the MTEI Forum:
Money Management Links and Tidbits:
If you like math try:
http://www.turtletrader.com/kelly.pdf
Seykota Articles:
http://www.seykota.com/tribe/risk/index.htm
If you like simple try the Kelly Formula at the bottom of the Seykota article, It is what I use.
There were a lot of trading systems at Wealth-Lab that used the Risk Of Ruin Code early on in the communities begininng.
"Risk Of Ruin" methodology.
Introduction:
http://www.traderscalm.com/ror.html
Here is a sample from the Knowledge DataBase:
http://www.wealth-lab.com/cgi-bin/We...LL/kbase?id=36
and more....>
http://www.deltat1.com/Education/art...edge/ruin2.htm
RE: Kelly Formula.
I would run my script on 10 different data samples (1000 bars - depends on the time frame) for each currency, and then average the payoff ratio for the Kelly formula.
If the average payoff ratio is less than 1.10, then I don't think you have an edge worth investing in.
If your EA is not profittable on at least 7 of the 10 data samples then I would go back to work on the EA until it is.