Looks like a really good tool to get a quick impression on position sizing.
It made me realise that the Monte Carlo simulation in the journal is essentially flawed as it refers to absolute values instead of relative ones. That doesn't make much sense with a constant percentage risked andchanging account sizes....I think it might be better to change that to % of account!?
Perhaps we should also have a graph displaying account balance in there?
I think position sizing is base on one's comfortable zone.
The book Trader Vic, the author has a chapter on "maximum profit". One of the thing he mentions was risking 25% of your profit for an end of the year trade to maximum your profit for the year. This is something I have never consider until I read the book.
Risk 25% on 1 trade? Are you freaking crazy? Absolutely!!! But it does make sense to me. Maybe I will try it when I am more comfortable with the idea.
I had posted the stuff from IW because I thought it would be of interest... didnt really play much with it..
as to position sizing, I always risk a % of the account, but the number of contracts is determined by how much principal is on the account to accomodate 150% overnight margin... also, only 50% is ever VaR on the account... so for example.. on an account that is $30K, only $15K is VaR of which 1% per trade is risked ($150) with two contracts ($7500/car = 2).. so on ES that would mean a 6 tick stop (assuming that was your stop) for 2 contracts... if your stop was bigger, then only 1 contract could be traded..
again, those are my rules, am in it for survival... so I do what makes sense for me as thoes are the rules i am comfortable with...
Last edited by sysot1t; October 9th, 2011 at 09:46 AM.
The following user says Thank You to sysot1t for this post:
Changed the Monte Carlo to % of account and added 5 iterations on account balance simulation. Thanks again @sysot1t for pointing me at it. (see attached screenshot, next update inckuding this in a few days...)
As you use TJS Elite I would be really interested to hear what you think of the 'futures.io (formerly BMT) Journal' and whether you have any suggestions for future improvements.
I don't want to copy TJS Elite or any parts of it as I wouldn't see the point of reinventing the wheel as you put it and I am also not particularly keen on breaching any copyrights.
But I'm always open to constructive criticism.
P.S. Would it be a good idea to add a simple position size calculator?
Changed quite a bit this time...I will edit this post ASAP and add a little changelog and description...
P.S. My head hurts!
added a profit/ av trade/ hour chart,see screenshot 4
Added a field where all/long/short can be selected, this has an influence on the then coloured cells, see screenshots 5 and 3
Monte Carlo tab:
Changed everything to % of current account size in order to take money management into account
Added a graph displaying 5 iterations of account balance, start value is user chosen, see screenshot 2
all new tab
values going into the calculation can be filtered
added scatter chart of the selected trades to show efficiency
Hic Rhodos, hic salta.
Last edited by vvhg; October 10th, 2011 at 02:34 PM.
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Go to 'Instrument List' and add them there (instead of adding them below the existing ones you can also change the ones in there to what you need) the only important thing is not to change the structure, meaning you should stick to the columns provided (tick size is not user entered but calculated automatically).
So for 6E you would enter the following:
6E 5,23 (or whatever your commission would be) 125000 12,5