I have trades generated by a portfolio of things, not just one issue. Can I still use ProSizer to evaluate position sizing models?
Yes and no. There is the problem of different margin requirements for each issue, for one thing. You can, of course, just put your list of trades into ProSizer and get a useful result, provided you understand that the results won’t represent real trading as it would if you had just one issue. Here we run into a limitation of this type of Monte Carlo analysis. When trading a portfolio of issues rather than single issue, your trades exhibit serial correlation; that is, your trades are not independent events. What does this mean for position sizing? In reality, when you enter a new position, you would base the number of lots on your total equity including the profit and loss from your already-open positions. So, the size of new positions depends on the outcome of other open positions that coexist simultaneously. While portfolio-based Monte Carlo simulations do exist (see the Competition page), ProSizer assumes that you have no serial correlation. That is, each trade is an independent even
