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Probability (size) calculator


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Probability (size) calculator

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  #1 (permalink)
 kremat0r 
Prague, Czechia
 
Experience: Intermediate
Platform: Sierra Chart
Broker: Sierra Data
Trading: GBL
 
Posts: 33 since Jan 2019
Thanks: 2 given, 18 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

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  #2 (permalink)
 chipwitch 
Nashville, TN
 
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kremat0r View Post
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)
 kremat0r 
Prague, Czechia
 
Experience: Intermediate
Platform: Sierra Chart
Broker: Sierra Data
Trading: GBL
 
Posts: 33 since Jan 2019
Thanks: 2 given, 18 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)
 chipwitch 
Nashville, TN
 
Experience: Beginner
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Broker: NinjaTrader, Continuum Data
Trading: MES for now... baby steps
 
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Posts: 272 since Feb 2022
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kremat0r View Post
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)
ondafringe
Albuquerque, NM, USA
 
 
Posts: 124 since Jul 2012
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kremat0r View Post
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)
 kremat0r 
Prague, Czechia
 
Experience: Intermediate
Platform: Sierra Chart
Broker: Sierra Data
Trading: GBL
 
Posts: 33 since Jan 2019
Thanks: 2 given, 18 received



This looks good, I need to play with it.

Thanks!

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