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PositionSizer for ninjatrader

  #12 (permalink)

Quebec
 
Trading Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,855 since Oct 2009
Thanks: 3,432 given, 4,886 received


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This is too easy. I use NinjaTrader to run ATM strategies, and the question arises indeed, how to adapt the stop loss size to volatility, exchange rate and risk allowance.

I did a similar tool to what you did but more advanced in Excel for the Forex market many moons ago but never used it for the Futures market. In my approach, volatility does not affect my stop loss. Most of my trades are placed "on the edge" on a pullback or small retrace. My stop loss almost never varies. For the RUSSELL the average is 6 ticks with some fluctuation of around +4 ticks. That's about the same thing with the ES. I do not trade anything else. I personally use 1 contract by chunk of $3500USD. That's as you say simple and straightforward. The difference in exchange rates does not affect me as there are so small. As i wrote previously, if we could use fractional lot size as we can in the Forex market it would be another story but that's not the case.

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