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PositionSizer for ninjatrader

  #15 (permalink)

Trading Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: AMP/CQG
Favorite Futures: ES, NQ, YM
trendisyourfriend's Avatar
Posts: 3,865 since Oct 2009
Thanks: 3,457 given, 4,917 received

Fat Tails View Post
You spreadsheet design is superior, but you have not integrated the idea that the money management stop-loss is linked to volatility. When trading on margin - as opposed to trading stocks - both profits and risk depend on leverage.

It is not directly integrated but indirectly as i was taking it into account. Basically we need to define two things, ie, the size of the risk in terms of ticks/pips and the percentage of your equity you are ready to risk for that trade. Mataf has done a web tool to this effect :

Position sizing in risk management - Mataf.net

The third step, and this is really advanced money management, is to adjust leverage to the expectancy and the risk of ruin of your setups. This is something I am not mastering now, but I am eager to learn that. Currently reading the book by Ralph Vince on Money Management. Until I understand more, I will stay with my rule of thumb, which is 1% of equity risked per trade.

I don't think you need to go that far in your quest. Technical analysis is somewhat limited, you can only enter at specific points given the current conditions of your instrument of choice. If there is enough volatility or movement then you will get some follow through otherwise if price stops moving then no matter your past experience (expectation) you're going to lose. The only reason why we can win in trading is because price cooperates and keeps moving in a somewhat orderly fashion.

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