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Fixed Ratio PORTFOLIO Money Management
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Fixed Ratio PORTFOLIO Money Management

  #1 (permalink)
Trading Apprentice
Atlanta GA
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: ES, TF, EMD, CL, QM
 
dgresens's Avatar
 
Posts: 17 since Dec 2010
Thanks: 6 given, 3 received

Fixed Ratio PORTFOLIO Money Management

Hi All - I'm spending a lot of time on the different position sizing options out there, and am strongly considering incorporating the fixed ratio as part of my trading. What I'm not clear on is how to implement it on a portfolio...I trade 3 systems, one on the EC and two on the ES, within the same account at TradeStation.

How do I calculate the correct position sizing out of one account? Do I look at the total risk of the collective daily trades to determine the number of contracts or do you have to consider each system separately? How do you determine the ratio for each contract/system traded?

Any guidance on this money management technique is appreciated. I currently trade just one contract on each, risking about .05% on any given trade/per contract.

Thanks

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  #3 (permalink)
Elite Member
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You can run it on entire system or break each market etc out into separate systems. I would suggest using a program like this and run your backtest results through it as overall system then break it out etc see what works best.

Money management software :: Market System Analyzer

This is well worth the money. I personally use it and have no association with them I am just a user. I also use fixed ratio as my method.

"The day I became a winning trader was the day it became boring. Daily losses no longer bother me and daily wins no longer excited me. Took years of pain and busting a few accounts before finally got my mind right. I survived the darkness within and now just chillax and let my black box do the work."
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  #4 (permalink)
Trading Apprentice
Atlanta GA
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: ES, TF, EMD, CL, QM
 
dgresens's Avatar
 
Posts: 17 since Dec 2010
Thanks: 6 given, 3 received


liquidcci View Post
You can run it on entire system or break each market etc out into separate systems. I would suggest using a program like this and run your backtest results through it as overall system then break it out etc see what works best.

Money management software :: Market System Analyzer

This is well worth the money. I personally use it and have no association with them I am just a user. I also use fixed ratio as my method.

Thanks liquidcci...I downloaded the MSA, imported the trades and set up the fixed ratio. Tells me I should me trading 15 contracts. Pretty sure I'm not doing that off the bat, but how do I ramp up, so to speak in the software to adjust the contracts for my current parameters? Hope what I'm asking makes sense....

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  #5 (permalink)
Elite Member
Austin, TX
 
Futures Experience: Master
Platform: ninjatrader, r-trader
Favorite Futures: CL, NG, TF, NQ, YM, GC, ES
 
liquidcci's Avatar
 
Posts: 862 since Jun 2011
Thanks: 609 given, 1,051 received


dgresens View Post
Thanks liquidcci...I downloaded the MSA, imported the trades and set up the fixed ratio. Tells me I should me trading 15 contracts. Pretty sure I'm not doing that off the bat, but how do I ramp up, so to speak in the software to adjust the contracts for my current parameters? Hope what I'm asking makes sense....

It won't start you at 15 contracts. It will start you at one in regards to live trading. However, I am guessing your are running your backtest rules through it which is fine.

If you run a backtest through it with say 100 trades you could set your fixed ratio to say $1000 then it will show you the backtest using fixed ratio. Meaning you can see how a fixed ratio would affect your trades throughout the backtest.

If you are running your trades through and end up with 15 contracts that is showing you based on your fixed ratio entry where you would end up contract wise as you scale up through your backtest. So it gives you an idea of how that backtest would perform applying a certain fixed ratio. I would also suggest reading all documentation and any tutorials on the MSA site. Not hard to learn but will speed up the process.

"The day I became a winning trader was the day it became boring. Daily losses no longer bother me and daily wins no longer excited me. Took years of pain and busting a few accounts before finally got my mind right. I survived the darkness within and now just chillax and let my black box do the work."
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  #6 (permalink)
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Market System Analyzer file

Does anyone have an example of how to implement MSA within a strategy? I see that it has a "Real Time Position Sizing" tool but that seems to be a manual effort. I assume there is a way to write to a .msa file and then have MSA read and give the strategy the suggested quantity for the next trade but I have no idea how to start going about this. Any thoughts, sample files, etc would be a great help.

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