A Study in Risk Management and Position Sizing - Trading Journals | futures io social day trading
futures io futures trading


A Study in Risk Management and Position Sizing
Updated: Views / Replies:6,153 / 32
Created: by kuratti Attachments:4

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 4  
 
Thread Tools Search this Thread
 

A Study in Risk Management and Position Sizing

  #31 (permalink)
Identify Evaluate Execute
Mercer Island WA
 
Futures Experience: Advanced
Platform: Ninjatrader/Strategy Desk
Broker/Data: Various
Favorite Futures: TF/NQ/ES/Stocks
 
djkiwi's Avatar
 
Posts: 561 since May 2010
Thanks: 980 given, 1,524 received


kuratti View Post

Purpose:

* Keep a journal of trades using simple trend-following mechanical day trading system
* Determine if such a simple system has a positive expectancy

Methodology:

* When trend is well-defined on 2 timeframes and in the same direction, enter market using trade setup on lower timeframe.
* R:R ratio for trade on lower timeframe must be 2:1 or higher
* Entry price and stop price are determined by market structure and EW methodology.
* When ATR trailing stop reaches entry point, trail using ATR stop.
* Follow US E-minis, FDAX, FESX, 6B, 6C, 6E during US market hours.

Risk/Position sizing:

* Maximum risk per trade = 1% of $40,000 account = $400
* # contracts = FLOOR(400 / [ABS(entry price - stop price) * pointvalue])


Trade Record Format:

* Date Contract CST_Entry_Time Direction #_Contracts $_Risk P/L

@kuratti

This looks like a simple but effective approach to multi-instrument trading. The number of contracts traded suggests you are scalping. What are the typical stop and target sizes with your approach?

Reply With Quote
 
  #32 (permalink)
Trading Apprentice
Bangalore
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: US/European E-minis, Currency Futures
 
Posts: 34 since Sep 2011
Thanks: 0 given, 8 received

@djkiwi

Thanks for your observations.

As far as the number of contracts, I'm position sizing based on 1% of a $40000 account and entering trades where the projected R:R is > 2:1.

I'm using 3 and 5 min charts for entry, so the entry price to stop price will be smaller than on larger time frames. Smaller bars mean larger numbers of contracts to scale up to the 1% $ risk.

For markets with smaller point values like the 6E, 6B, and 6C, I'm definitely trading more contracts per trade than say the TF or ES.

I'm also using an ATR trailing stop to capture those trade that move past the projected targets. So, P/L would differ from the projected R:R.

After a large run-up, the system had a drawdown and is chopping around a bit.


Last edited by kuratti; November 16th, 2012 at 05:04 AM.
Reply With Quote
The following user says Thank You to kuratti for this post:
 
  #33 (permalink)
Trading Apprentice
Bangalore
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: US/European E-minis, Currency Futures
 
Posts: 34 since Sep 2011
Thanks: 0 given, 8 received

20121115


20121115 YM 12-12 10:25 L 3 315 -300
20121115 TF 12-12 10:33 L 3 390 -390
20121115 ES 12-12 11:30 L 4 350 350
20121115 ES 12-12 12:15 S 4 350 -350
20121115 6E 12-12 12:10 L 5 375 -375
20121115 6B 12-12 12:10 L 10 375 62.5
20121115 TF 12-12 14:12 L 2 280 -280
20121115 ES 12-12 14:12 L 2 275 -275

Reply With Quote

Reply



futures io > > > A Study in Risk Management and Position Sizing

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
I would like a Fixed Ratio position sizing spreadsheet PandaWarrior Psychology and Money Management 7 December 25th, 2014 01:25 PM
Why position sizing matters sdonahue MTPredictor 3 September 19th, 2014 04:54 PM
Webinar: FuturesTrader71 (FT71) on Risk, Sizing, Scaling and Trade Management Big Mike Psychology and Money Management 135 March 13th, 2013 06:45 AM
Position Sizing by Van Tharp Laserdan Psychology and Money Management 21 July 8th, 2011 11:37 AM
Position sizing codes ptcm EasyLanguage Programming 2 January 2nd, 2011 04:24 PM


All times are GMT -4. The time now is 10:02 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-17 in 0.07 seconds with 20 queries on phoenix via your IP 107.20.115.174