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I try not to make any of my decisions contingent on whether I am in drawdown or at hwm. I don’t believe that’s informative for how the strat will perform in the future. The one exception is that if you lose/make a lot of money quickly it *may* be a sign that one of your
assumptions is wrong and you should revisit everything, and it *may* be prudent to cut risk while you do that.
On trade sizing I think sizes should be proportional to confidence and inversely proportional to risk. That assumes you can meaningfully distinguish confidence levels! If not then equal weight or risk-parity weight is better than overthinking it.
On overall risk levels, most often I am managing to a mandate so I don’t think about it often. Sorry nothing to add here!
The type of strategy I all working on most often is a big bucket of positions, typically 100s-1000s. Every position has an associated alpha and exposures to risks that I want to control. The alphas and the exposures change day by day or even minute by minute. Typically over time
the alpha of the portfolio decays and the risk exposures creep up, and the job of the portfolio manager is to keep making trades that increase the alpha, decrease the unwanted risk exposures, and don’t cost too much. Simple really.
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