A Study in Risk Management and Position Sizing

October 19th, 2012, 04:17 PM

20121019 6C 12-12 10:35 L 5 350 -400
20121019 6C 12-12 11:21 L 4 360 60
20121019 TF 12-12 12:18 S 4 360 1200
20121019 6C 12-12 12:21 S 6 360 180
20121019 6B 12-12 12:36 S 12 375 375
20121019 TF 12-12 13:00 L 3 390 -390
20121019 FDAX 12-12 13:00 L 2 358 -358

October 19th, 2012, 05:08 PM

could you break down the columns to me ? I get most of them but just want to make sure

October 22nd, 2012, 03:44 PM

20121022 YM 12-12 8:50 L 5 375 -400
20121022 TF 12-12 9:09 S 3 390 330
20121022 6E 12-12 9:24 S 3 337 638
20121022 6E 12-12 10:24 L 6 375 0
20121022 ES 12-12 10:30 L 2 275 -275
20121022 6E 12-12 11:36 L 5 375 -375
20121022 NQ 12-12 12:54 L 2 330 220
20121022 FDAX 12-12 14:18 S 1 212 -212
20121022 ES 12-12 14:30 S 4 400 -400
20121022 NQ 12-12 14:30 S 6 390 -390

October 25th, 2012, 07:45 AM

20121023 6B 12-12 8:24 S 5 344 375
20121023 6E 12-12 9:06 S 4 350 300
20121023 NQ 12-12 11:03 S 5 400 -400
20121023 ES 12-12 11:21 S 5 375 -375
20121023 ES 12-12 11:39 S 4 350 -350
20121023 YM 12-12 12:48 L 6 360 -360
20121023 TF 12-12 12:51 L 5 400 -400
20121023 TF 12-12 12:57 L 3 330 440
20121023 YM 12-12 14:05 S 4 360 760
20121023 6C 12-12 14:03 S 6 360 -360
20121023 TF 12-12 14:05 S 2 360 -40
20121023 6C 12-12 14:21 S 8 400 240

October 25th, 2012, 07:49 AM

1st column - Trade date
2nd column - Futures contract (XX MM-YY)
3rd column - Time of trade setup (US CST)
4th column - Direction of trade (Long or Short)
5th column - Number of contracts
6th column - Initial $ Risk on trade (should always be less than $400)
7th column - Profit or Loss on trade

October 25th, 2012, 07:52 AM

20121024 6E 12-12 7:21 S 4 350 -350
20121024 6E 12-12 9:21 L 4 350 -350
20121024 YM 12-12 9:45 S 8 360 -360
20121024 6B 12-12 10:12 L 9 394 -394
20121024 TF 12-12 10:24 L 4 360 -360
20121024 NQ 12-12 10:22 L 4 360 -360
20121024 ES 12-12 11:03 L 5 375 375
20121024 6E 12-12 11:05 L 4 350 200
20121024 6C 12-12 13:06 S 8 400 1760
20121024 NQ 12-12 13:35 S 3 345 315

October 25th, 2012, 04:19 PM

20121025 6E 12-12 9:00 L 3 338 -338
20121025 NQ 12-12 9:54 L 5 400 -400
20121025 TF 12-12 9:54 L 2 280 -280
20121025 ES 12-12 9:55 L 5 400 -400
20121025 NQ 12-12 13:42 S 6 390 1350
20121025 YM 12-12 13:50 S 5 375 -375
20121025 6B 12-12 13:51 S 12 375 -375

October 26th, 2012, 04:48 PM

Metric Value
1 Start Date 20121009
2 End Date 20121026
3 Starting Equity 40000
4 Equity High 46651
5 Equity Low 38775
6 Net Profit 5384
7 Final Equity 45384
8 Return on Starting 13.46
9 Number of Trades 96
10 Percent Profitable 46.88
11 Max Position Size 21
12 Avg Win 522.13
13 Max Consec Wins 5
14 Largest Win 1760
15 Avg Loss -355.14
16 Max Consec Losses 5
17 Largest Loss -425
18 Profit Factor 1.30
19 Win-Loss Ratio 0.88

October 31st, 2012, 03:53 PM

20121031 TF 12-12 10:10 L 3 390 -360
20121031 ES 12-12 11:39 L 4 350 550
20121031 YM 12-12 11:39 L 7 385 665
20121031 6E 12-12 11:39 L 6 375 450
20121031 6C 12-12 12:05 S 6 360 -420
20121031 ES 12-12 14:20 S 4 350 -350

November 1st, 2012, 11:30 PM

20121101 NQ 12-12 10:55 S 5 400 100
20121101 YM 12-12 11:12 L 13 390 -330
20121101 YM 12-12 11:21 L 8 360 -320
20121101 6E 12-12 13:15 L 8 400 200

A Study in Risk Management and Position Sizing

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A Study in Risk Management and Position Sizing