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PositionSizer for ninjatrader

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Market Wizard
Berlin, Europe
 
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,798 since Mar 2010
Thanks: 4,236 given, 26,397 received

Position Sizing Made Easy

I had a look at the software, and definitely I do not need it. This does not mean that it is useless. But position sizing is really simple.

First Step - Select your Default Values

(1) Define acceptable $$$ risk per trade. A typical amount would be $ 300 for an account of $ 30,000 (corresponding to 1% of equity).

(2) Know your default money management stop, for example 12 ticks for ES. This default stop should be in line with the logical stops required to trade your setups.

(3) 12 ticks of ES are 3 points or USD 150 per contract. Not difficult to calculate that you can trade 2 contracts.


Second Step - Set up an ATM Strategy to Trade Your Defaults

Setup a strategy with 2 contracts and a stop-loss of 12 points. Then you may add a first target of 12 ticks (1 contract), and a trailing stop (1 contract) or something else. If you enter a trader, NinjaTrader will automatically set the required brackets.


Position Sizing

You never ever exceed the intial stop of 12 ticks. If your setup requires more than 12 ticks, you do not take the trade. If your setup requires less than 12 ticks, you manually adjust the trade after you entered the position or keep it as a mental stop, the hard stop being your money management stop of 12 ticks.


Rule of Three

If your initial stop is equal or less than 6 ticks (which is half of your default money management stop), you can double your position size for equal risk. This leaves you with 3 alternatives for position sizing.

stop > 12 ticks -> no trade
stop <= 12 ticks -> trade 2 contracts
stop <= 6 ticks -> trade 4 contracts

I do not need any software to do that for me. I know that I will take 2 contracts if my stop is 12 ticks and that I can take 4 contracts if my stop is 6 ticks. The first alternative is automated via ATM. For the second alternative, I proceed as follows

- open a position with 2 contracts
- adjust stop to 6 ticks, if possible
- add another 2 contracts if market confirms direction

If you are a scalper you can also directly hard-code your second ATM strategy by selecting a stop of 6 ticks and 4 contracts.

Use EXCEL

I have an excel sheet, where I have calculated typical position sizes for all instruments, based on my risk allowance and volatility (average true range). But this is only required to define the appropriate default values for the money management stops.

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