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Risk and Position Sizing Strategies


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Risk and Position Sizing Strategies

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  #1 (permalink)
 Dave83K 
Ridgewood, NJ
 
Experience: Intermediate
Platform: Thinkorswim,Ninjatrader
Trading: Options and Futures
 
Posts: 1 since Mar 2017
Thanks: 4 given, 1 received

Hello Futures IO,

This is my first post. I have a trading system I am evaluating against different position sizing strategies using Monte Carlo simulation. In this system I have a stop loss as a worst case get me out of the trade, however, it is hit only 3% of the time within the given data set. Most of the exits are a technical trigger or a take profit trigger. In terms of risk for position sizing, would you(futures io community) utilize the stop loss (most conservative) or the Max adverse excursion of a trade as the risk of a trade for position sizing strategies. I lean towards a combination of looking at both, and thinking somewhere in the middle position sizing wise would be my target. I.e. if stop loss risk method says 2 contracts, and max adverse risk method says 5, I would split the difference and round up to 3.

Thanks,
-Dave

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Symple
Zuerich / Switzerland
 
 
Posts: 268 since Sep 2021
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Dave83K View Post
Hello Futures IO,

This is my first post. I have a trading system I am evaluating against different position sizing strategies using Monte Carlo simulation. In this system I have a stop loss as a worst case get me out of the trade, however, it is hit only 3% of the time within the given data set. Most of the exits are a technical trigger or a take profit trigger. In terms of risk for position sizing, would you(futures io community) utilize the stop loss (most conservative) or the Max adverse excursion of a trade as the risk of a trade for position sizing strategies. I lean towards a combination of looking at both, and thinking somewhere in the middle position sizing wise would be my target. I.e. if stop loss risk method says 2 contracts, and max adverse risk method says 5, I would split the difference and round up to 3.

Thanks,
-Dave

@Dave83K

About what kind of amount of money you talk here? as there is in general no rule regarding exponential growth in your account and the risk you after woods should or can take.

You may give us some more information about this to get an answer which fits you.

Symple

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Last Updated on December 18, 2021


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