Q: If you need a sample size of 30 trades in various markets to get a adequate depiction of how a system will act real time, how does one go about trading a longer term trend following system: test a system over several years using small position sizes and invest your money in CDs during this multi-year period?

A: Take a look at the articles on the sample portfolio that I’ve been doing in Tharp’s Thoughts and look at all the back issues. This was supposed to be a long term trend following system. But I always had many, many stocks to select and thus there was a wide universe out of which to get 30 or more trades. In 11 months of testing we had 44 trades and this was only a small sample of what we could have taken. So unless you decide to do long term trend following and only trade one market, you should have no trouble backtesting, getting a lot of trades and using that for your initial idea of how the system will perform. You can then do a lot of simulations on the data and the Definitive Guide for Position Sizing (to be published soon) has lots of ideas for simulators.