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Number of ES futures contracts?
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Number of ES futures contracts?

  #1 (permalink)
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Number of ES futures contracts?

If I were to give you $100k to trade, how many contracts would you feel comfortable
trading intraday? I am with Amp futures using Zen. I think the intraday margin is 500 but that seems like to much risk, 100,000 / 500 = 200 contracts?

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  #2 (permalink)
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bearsden View Post
If I were to give you $100k to trade, how many contracts would you feel comfortable
trading intraday? I am with Amp futures using Zen. I think the intraday margin is 500 but that seems like to much risk, 100,000 / 500 = 200 contracts?

I think the $500 is the intraday maintenance margin, not the initial intraday margin, which is much higher.
Going lower than $5k/car is not a good idea imho, and $10k/car is better (for me).
But some people can be confortable with much less...

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  #3 (permalink)
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Depends on how much I'm risking. If I'm risking 5 ticks ($62.50), that would be about 15 contracts ($75,000 initial margin) for a 1% risk (937.50+comm=$1,000) on the account.

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  #4 (permalink)
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Another rule of thumb - which you can tweak to personal taste of course - might be something like this:

Take the maximum expected daily drawdown or drawdown series if you have reason to believe you could have several losing days in a row. Let us say that amount is $2,000 per contract. Now triple it. $6,000.
Now divide your capital by $6,000 = 16.6, so round that out to about 15. This means you are prepared to lose 15 * 6,000 = $90,000 but expect never to lose more than $30,000 ($2,000 per contract).

Now, if that seems too rich, don't triple but quadruple. Or maybe you feel confident that you will never have even $2,000 per contract drawdown series. And so on.

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  #5 (permalink)
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Another time-tested way is to use a dynamic calculation either based on stop price or ATR. I prefer the latter but of course some based their stops on ATR (or some other volatility-derived equivalent).

Goes something like this: Your initial risk is, say, 2.5 times the 50 period ATR (50 is not too fast, i.e. reacting to every little recent swing or contraction like with 21 bar, but also not too slow. But you can take any period you prefer of course.)

So if the ATR is 2 points and each point is worth $50.00, ATR *1 = $100.00. ATR*2.5 = $250.00.

Now you have your capital. What percent are you willing to risk per trade? Let us say it is 2% = $2000.00. So you divide your risk per trade capital by the ATR-derived risk-per-contract number ($250) and you end up with 8 contracts.

When the ATR narrows you will be putting on more contracts (say $2000/175 = 11.42 = 11). When it expands, less contracts (say $2000/325 = 6 contracts).

Some people do not like this approach because they prefer to have the same stop size no matter what the volatility, and also the same profit targets. In which case you simply divide the risk-per trade ($2000) by the stop-per-contract (say $150 = 3 points) = 13 contracts. If your stop varies, so will the calculation: say a stop of $250 the next trade, so $2000/$250 = 8 contracts.

And so on.

Note: I have read that professional CTA's (most but not all of whom manage portfolios versus single instruments) don't like to exceed much more than about 15% of margin to account equity, so in the case of ES that would be 30 contracts. But since those are intraday margin rates whereas CTA's are using overnight rates, this doesn't quite work. I think their formula would have more like $4000 margin per contract i.e. 4 contracts max = 16% margin-to-equity ratio.

With $100,000 to play with, you might want to explore a modified portfolio approach since portfolio trading allows one to reduce risk per instrument whilst still having greater overall positive expectancy, especially when you work with uncorrelated methods or instruments. In a model long-term (weekly) portfolio system I developed I usually have no more than 15-20% margin-to-equity trading 30 instruments in a $1,000,000 portfolio. It does fairly well, but fairly well for this type of animal is better than 30-50% per annum, whereas most daytraders are shooting for about 1% per day, or 400% per annum with compounding. But that is another topic.

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  #6 (permalink)
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6-8 contracts day in day out...only if u r a successfully trader and have strict rules for your trades...money management is key NO MATTER how much money you have...u still have to know how to trade and keep the money you have.

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  #7 (permalink)
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Thanks for the posts

Thanks to all who replied, I have alot more calculations to make now thanks to y'all.


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  #8 (permalink)
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5-10 contracts

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  #9 (permalink)
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Good information of the calculation,Thanks a lot who reply..good one

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  #10 (permalink)
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bearsden View Post
If I were to give you $100k to trade, how many contracts would you feel comfortable
trading intraday? I am with Amp futures using Zen. I think the intraday margin is 500 but that seems like to much risk, 100,000 / 500 = 200 contracts?

The amount that is "frozen" during the duration of an ES trade can vary due to volatility (after the flash crash a few years ago AMP froze $700 per contract (I use CQG instead of Zen), I believe currently $400 is frozen per ES contract - the amount frozen doesn't change all that often). That said I do vary how many ES contracts per trade based on time of day, with the first hour and a half after the U.S. open getting the largest number of contracts per trade, the last hour and a half prior to the close getting noticeably less, and then few to none in between those times. I do not trade overnight at all - not enough going on for me to feel safe. Other factors would influence the size I am trading such as market conditions (wide range vs. small range / choppy; experience level, etc.) If you day in and day out make prudent entry decisions you could work your way up to 200 contracts (or more) per trade but I would want to work my way up to that amount, not start there. If that is true for you, you still need to prove to yourself that 1) you can afford that much risk and 2) you can psychologically handle that size trade - at 200 contracts each tick move is $2500. Is this the kind of feedback you were looking for?

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