but found it difficult to optimise a strategy when both the position size and stop loss can vary
Always optimize your strategy first of all with a fixed position size. If you have variable position size then that is just another variable to optimize. If you have mathematical proof that confirms why you should have a different position size that is fine but you probably don’t so just fix it at 1. If stop loss can vary then that is also just another optimized variable in your strategy – you better have a good reason to do it. Once you are happy that you win more money than you lose money and are happy that you have not curve fitted anything including your stop loss and position size and are happy that your strategy is robust and you have not just lucked out on the winning trades while missing the losing trades due to the time you started the test then add money management….. but gentle, subtle money management. Unless you start with a huge bank then money management can make you poor as fast as it can make you rich.
