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