A Study in Risk Management and Position Sizing - futures io
futures io futures trading



A Study in Risk Management and Position Sizing


Discussion in Trading Journals

Updated by kuratti
      Top Posters
    1. looks_one kuratti with 34 posts (8 thanks)
    2. looks_two djkiwi with 1 posts (0 thanks)
    3. looks_3 kingk with 1 posts (0 thanks)
    4. looks_4 Quick Summary with 1 posts (0 thanks)
    1. trending_up 7,880 views
    2. thumb_up 8 thanks given
    3. group 7 followers
    1. forum 32 replies
    2. attach_file 2 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
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

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

 
Search this Thread
 

A Study in Risk Management and Position Sizing

(login for full post details)
  #31 (permalink)
Mercer Island WA
 
Experience: Advanced
Platform: Ninjatrader/Strategy Desk
Broker: Various
Trading: TF/NQ/ES/Stocks
 
djkiwi's Avatar
 
Posts: 561 since May 2010
Thanks: 981 given, 1,550 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

Can you help answer these questions
from other members on futures io?
Anyone with Overcharts license/experience?
Platforms and Indicators
MulitCharts: Limit Order converted to MIT
Platforms and Indicators
Heat Map on Trendspider
Platforms and Indicators
Move indicator on Chart
NinjaTrader
Seeking an MT4 Indicator/EA that scans all Currency Pairs to identify setup
Platforms and Indicators
 
 
(login for full post details)
  #32 (permalink)
Bangalore
 
 
Posts: 34 since Sep 2011
Thanks: 0 given, 12 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.

Reply With Quote
The following 2 users say Thank You to kuratti for this post:
 
(login for full post details)
  #33 (permalink)
Bangalore
 
 
Posts: 34 since Sep 2011
Thanks: 0 given, 12 received


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


futures io Trading Community Trading Journals > A Study in Risk Management and Position Sizing


November 16, 2012


Upcoming Webinars and Events
 

Order Flow Tools w/MotiveWave & Zytrade Brokerage

Oct 22
 

Technical Analysis Workshop w/NinjaTrader

Oct 27
 

Bookmap

Oct TBD
 

SharkIndicators

Oct TBD
 

Carley Garner

Oct TBD
 

GruttePier

Oct TBD
     



Copyright © 2020 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