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Why position sizing matters
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Why position sizing matters

  #1 (permalink)
Elite Member
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Futures Experience: Advanced
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Why position sizing matters

Just for fun, I have recently decided to begin keeping a record of following just the "standard" MTPredictor setups in the 3m NQ, very similar to what John has been doing with the 3m YM.

The attached screenshots from MSA include just the 3m NQ setups from 3/15 through today with two different variations - one using fixed fractional position sizing with 2% risk per trade, and the other using a fixed contract size of 3 contracts, which is a common trading size for someone with a 20,000.00 account, which is what the nominal account value is in these results.

These results do include compounding (as well as the slippage and commission of course) and as is evident, the difference between the two is very sigificant with a 196% return on equity using position sizing vs. a 42% return with the fixed contract size over the same period and with the same trade setups.

The conclusion is that when you have a positive expectancy trading methodology, then applying the optimal position sizing methodology (and not constantly trying to tweak the system) can exponentially increase the overall financial returns.

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Why position sizing matters-nq-3m-fixedsize.gif   Why position sizing matters-nq-3m-ffps.gif  
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  #2 (permalink)
Elite Member
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prisonbreaker82's Avatar
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Good Stuff

For people who want to learn more about Position Sizing I can recommend this book from Van Tharp - Definitive Guide to Position Sizing.

I have searching for a long time for a book focusing on Position Sizing and this is it!

Good reading.

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  #3 (permalink)
 Vendor: diversifyportfolio.com 
PTA, Gauteng
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prisonbreaker82 View Post
For people who want to learn more about Position Sizing I can recommend this book from Van Tharp - Definitive Guide to Position Sizing.

I have searching for a long time for a book focusing on Position Sizing and this is it!

Good reading.

This book is on my to read list. It looks great. Unfortunately it's not available as an ebook (eg: kindle). I guess I will probably get it either way, but it's a pitty there is no ebook version.

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Eugene, Or. USA
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I really think getting the hard copy of the book is way better than the tablet version.
It is a physically large book, pages are 8 1/2 x 11 and there are 399 pages, of course that includes the indexes, bibliography, and glossary which only make up a small part of the book.

Plus sometimes you just need to be able to flip back and forth through the pages and I find that very inconvenient on a tablet.

Just my 2 pips........

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