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A Study in Risk Management and Position Sizing


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A Study in Risk Management and Position Sizing

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  #1 (permalink)
Bangalore
 
 
Posts: 34 since Sep 2011
Thanks: 0 given, 12 received


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

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  #3 (permalink)
Bangalore
 
 
Posts: 34 since Sep 2011
Thanks: 0 given, 12 received



20121009 FESX 12-12 7:48 S 5 390 2600
20121009 6B 12-12 9:12 L 6 375 -375
20121009 6C 12-12 9:30 L 6 360 -370
20121009 TF 12-12 11:18 S 3 330 630
20121009 NQ 12-12 12:27 S 5 375 -350
20121009 ES 12-12 12:55 S 4 400 -400
20121009 NQ 12-12 12:55 S 4 340 -360
20121009 6C 12-12 14:00 S 4 320 160
20121009 6B 12-12 14:00 S 7 394 219
20121009 ES 12-12 14:06 S 2 275 350

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  #4 (permalink)
Bangalore
 
 
Posts: 34 since Sep 2011
Thanks: 0 given, 12 received

20121010 FDAX 12-12 7:08 S 1 293 358
20121010 6B 12-12 8:45 L 12 375 1200
20121010 FDAX 12-12 8:42 L 1 293 -325
20121010 FDAX 12-12 9:00 L 1 358 -358
20121010 6B 12-12 9:35 S 8 400 450
20121010 YM 12-12 10:54 L 4 340 -340
20121010 ES 12-12 10:55 L 2 275 -275

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  #5 (permalink)
Bangalore
 
 
Posts: 34 since Sep 2011
Thanks: 0 given, 12 received

20121011 6B 12-12 9:18 L 12 375 -425
20121011 YM 12-12 9:55 S 6 390 690
20121011 6B 12-12 10:20 L 9 394 488
20121011 6C 12-12 10:55 L 5 400 -400
20121011 6E 12-12 11:57 S 6 375 350
20121011 ES 12-12 12:06 S 5 375 563
20121011 YM 12-12 12:55 L 6 390 -390
20121011 YM 12-12 13:50 L 5 375 -375
20121011 6B 12-12 10:20 L 7 350 -350
20121011 6E 12-12 14:28 L 6 375 -75
20121011 NQ 12-12 14:33 S 5 375 725
20121011 TF 12-12 14:33 S 3 300 330

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  #6 (permalink)
Bangalore
 
 
Posts: 34 since Sep 2011
Thanks: 0 given, 12 received

20121012 FDAX 12-12 7:03 S 1 374 520
20121012 FESX 12-12 7:03 S 6 390 312
20121012 6B 12-12 9:36 L 10 375 500
20121012 FDAX 12-12 10:20 L 1 325 -325
20121012 NQ 12-12 13:42 S 7 385 -385
20121012 FDAX 12-12 13:40 S 3 342 -390
20121012 NQ 12-12 13:55 S 5 350 645
20121012 6C 12-12 14:20 S 8 400 -400

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  #7 (permalink)
Bangalore
 
 
Posts: 34 since Sep 2011
Thanks: 0 given, 12 received

20121015 FDAX 12-12 8:04 L 1 310 -341
20121015 TF 12-12 9:34 L 1 250 550
20121015 TF 12-12 12:15 S 3 330 120
20121015 YM 12-12 12:39 L 11 385 55
20121015 6B 12-12 12:42 L 16 400 0
20121015 NQ 12-12 13:45 L 6 360 1440
20121015 FDAX 12-12 13:45 L 2 390 975
20121015 FESX 12-12 13:45 L 7 364 637

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  #8 (permalink)
Bangalore
 
 
Posts: 34 since Sep 2011
Thanks: 0 given, 12 received

20121016 FDAX 12-12 11:12 TS4 S 2 325 -325
20121016 6E 12-12 11:45 TS3 S 6 375 -375
20121016 TF 12-12 12:00 TS4 L 5 350 700
20121016 6B 12-12 13:27 TS3 L 21 394 -425
20121016 6C 12-12 13:40 TS3 L 6 360 -360
20121016 6C 12-12 14:20 TS3 L 5 400 50
20121016 YM 12-12 14:10 TS4 L 7 385 595

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  #9 (permalink)
Bangalore
 
 
Posts: 34 since Sep 2011
Thanks: 0 given, 12 received

20121017 6B 12-12 9:42 S 10 375 625

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  #10 (permalink)
Bangalore
 
 
Posts: 34 since Sep 2011
Thanks: 0 given, 12 received


20121018 6E 12-12 6:24 L 3 375 188
20121018 6E 12-12 8:20 L 2 325 -325
20121018 NQ 12-12 8:45 L 2 290 -295
20121018 ES 12-12 9:21 L 5 375 1375
20121018 6B 12-12 9:27 L 10 375 813
20121018 YM 12-12 10:18 S 7 385 -385
20121018 6C 12-12 12:20 L 5 350 -350
20121018 TF 12-12 12:14 L 2 400 -380
20121018 6C 12-12 12:57 L 10 400 -400

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November 16, 2012


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