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Probability (size) calculator
Updated October 5, 2022
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Probability (size) calculator

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#1 (permalink )
Prague, Czechia

Experience: Intermediate

Platform: Sierra Chart

Broker: Interactive Brokers

Trading: GBL

Posts: 43 since Jan 2019

Thanks: 6 given,
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received

Hello forum,
I'm looking for a calculator for position size based on probability of success on specific strategy.
I need to know what's the probability of let's say 10 losses in raw if strategy have 40% success rate.
Does someone knows that kind of tool?
Or maybe excel formula ?
Thanks

Can you help answer these questions from other members on futures io?

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#2 (permalink )
Nashville, TN

Experience: Beginner

Platform: NinjaTrader

Broker: NinjaTrader, Continuum Data

Trading: MES for now... baby steps

Posts: 322 since Feb 2022

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kremat0r
Hello forum,

I'm looking for a calculator for position size based on probability of success on specific strategy.

I need to know what's the probability of let's say 10 losses in raw if strategy have 40% success rate.

Does someone knows that kind of tool?

Or maybe excel formula

?

Thanks

Not exactly what you're asking for, but risk of ruin helps you determine what your position size should be.
https://2ndskiesforex.com/risk-of-ruin-calculator/
With that, you plug in the position size to determine risk of ruin rather than it telling you your position size. There's probably a risk of ruin calculator somewhere that will do that.
This link discusses the different formulae for calculating risk of ruin. You could use that in excel. https://tradingtact.com/risk-of-ruin/

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#3 (permalink )
Prague, Czechia

Experience: Intermediate

Platform: Sierra Chart

Broker: Interactive Brokers

Trading: GBL

Posts: 43 since Jan 2019

Thanks: 6 given,
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received

Thank you for you help
It wont help me, because Im developing a strategy without fixed profit in tick.
Target is hit in 40% trades, RR seems to be something around RR 1/2.2
In half year back test longest loosing streak was 6 times in row.
I just want to know probability to set proper size.

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#4 (permalink )
Nashville, TN

Experience: Beginner

Platform: NinjaTrader

Broker: NinjaTrader, Continuum Data

Trading: MES for now... baby steps

Posts: 322 since Feb 2022

Thanks: 230 given,
620
received

kremat0r
Thank you for you help

It wont help me, because Im developing a strategy without fixed profit in tick.

Target is hit in 40% trades, RR seems to be something around RR 1/2.2

In half year

back test longest loosing streak was 6 times in row.

I just want to know probability to set proper size.

Oh! I misunderstood! That will depend on the number of trades you do. The more trades you do, the higher the probability of getting 10 losers in a row. Here's a pretty good link I think you're looking for: https://www.winningedgeinvestments.com/posts/the-mathematics-runs-of-outs-or-losing-streaks

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#5 (permalink )
Albuquerque, NM, USA

Posts: 124 since Jul 2012

Thanks: 87 given,
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kremat0r
Thank you for you help

It wont help me, because Im developing a strategy without fixed profit in tick.

Target is hit in 40% trades, RR seems to be something around RR 1/2.2

In half year

back test longest loosing streak was 6 times in row.

I just want to know probability to set proper size.

I haven't used this, but had it bookmarked:
https://www.daytradinglife.com/trading-spreadsheets/losing-streak-probability-calculator/

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#6 (permalink )
Prague, Czechia

Experience: Intermediate

Platform: Sierra Chart

Broker: Interactive Brokers

Trading: GBL

Posts: 43 since Jan 2019

Thanks: 6 given,
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received

ondafringe
This looks good, I need to play with it.
Thanks!

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#7 (permalink )
MONTREAL CANADA

Posts: 6 since Aug 2022

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If you want to think about risk in general terms rather than a formula or excel sheet, some Nassim Nicholas Taleb books are worth reading. Provides for a compelling way of seeing risk in not just financial markets but in general.

Last Updated on October 5, 2022

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