NexusFi: Find Your Edge


Home Menu

 





PositionSizer for ninjatrader


Discussion in Trading Reviews and Vendors

Updated
      Top Posters
    1. looks_one Fat Tails with 6 posts (32 thanks)
    2. looks_two Big Mike with 5 posts (0 thanks)
    3. looks_3 Mindset with 5 posts (3 thanks)
    4. looks_4 trendisyourfriend with 4 posts (7 thanks)
      Best Posters
    1. looks_one Fat Tails with 5.3 thanks per post
    2. looks_two sam028 with 3 thanks per post
    3. looks_3 trendisyourfriend with 1.8 thanks per post
    4. looks_4 Mindset with 0.6 thanks per post
    1. trending_up 27,190 views
    2. thumb_up 57 thanks given
    3. group 17 followers
    1. forum 40 posts
    2. attach_file 5 attachments




 
Search this Thread

PositionSizer for ninjatrader

  #1 (permalink)
 svuhmed 
Edinburgh, UK
 
Experience: Intermediate
Platform: ninja
Trading: eurusd
Posts: 22 since Jan 2010
Thanks Given: 8
Thanks Received: 15

For those interested in position sizing quickly on the fly the following product for ninja looks interesting. Allows you to calculate the number of contracts to enter based on fixed fractional position sizing and then enter the position all with a couple of clicks on the chart.

I have not bought it yet ($695!) but probably will.

I have no affiliation with them.

Would be interested in hearing from anyone who might have used it

https://www.positionsizer.com

(new here and not enough posts to post links yet - sorry - but i think this is worth sharing. I'll post a clickable link at a later date.

Started this thread Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
NexusFi Journal Challenge - April 2024
Feedback and Announcements
Are there any eval firms that allow you to sink to your …
Traders Hideout
Build trailing stop for micro index(s)
Psychology and Money Management
Futures True Range Report
The Elite Circle
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
 
  #2 (permalink)
 
Mindset's Avatar
 Mindset 
Singapore
 
Experience: Intermediate
Platform: NT
Broker: ib
Trading: MES
Posts: 365 since Sep 2009
Thanks Given: 90
Thanks Received: 291

look here

Personally I don't think it's worth the money - 2- 300 would be a better price. However the programmer is excellent so any bugs would always be quickly ironed out.

I am working on my own version - but it is a way off yet and currently is broken with NT7 ( lots of internal changes which can really screw up code if you use mouse clicks).

Reply With Quote
  #3 (permalink)
 samuelhogg 
Cheshire/Kent/Oxfordshire
 
Experience: Beginner
Platform: MultiCharts/NinjaTrader/MT4
Broker: Interactive Brokers/FxPro
Trading: ES, GBP/USD
Posts: 31 since Nov 2009
Thanks Given: 40
Thanks Received: 1


Just been looking at this. Found the link via the Ninjatrader forum.

Any one tried it? Think it is a bit expensive.

Reply With Quote
  #4 (permalink)
 samuelhogg 
Cheshire/Kent/Oxfordshire
 
Experience: Beginner
Platform: MultiCharts/NinjaTrader/MT4
Broker: Interactive Brokers/FxPro
Trading: ES, GBP/USD
Posts: 31 since Nov 2009
Thanks Given: 40
Thanks Received: 1

Also found Elliott Wave software for trading Stocks Commodities Futures and Forex.

I want to be able to set the risk per trade as a % of available cash.
Also to set the pip stop loss and target as a % of the ATR, this would also calculate my require lot size.

Reply With Quote
Thanked by:
  #5 (permalink)
 
sam028's Avatar
 sam028 
Site Moderator
 
Posts: 3,765 since Jun 2009
Thanks Given: 3,825
Thanks Received: 4,629

@Mindset: have you done something on this, NT7 compatible ?
I've planned to do something like these tools, but didn't start yet (it's for NT7, I'm waiting the end of the beta for obvious reasons).

Success requires no deodorant! (Sun Tzu)
Follow me on Twitter Reply With Quote
  #6 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102

I had a look at the software, and definitely I do not need it. This does not mean that it is useless. But position sizing is really simple.

First Step - Select your Default Values

(1) Define acceptable $$$ risk per trade. A typical amount would be $ 300 for an account of $ 30,000 (corresponding to 1% of equity).

(2) Know your default money management stop, for example 12 ticks for ES. This default stop should be in line with the logical stops required to trade your setups.

(3) 12 ticks of ES are 3 points or USD 150 per contract. Not difficult to calculate that you can trade 2 contracts.


Second Step - Set up an ATM Strategy to Trade Your Defaults

Setup a strategy with 2 contracts and a stop-loss of 12 points. Then you may add a first target of 12 ticks (1 contract), and a trailing stop (1 contract) or something else. If you enter a trader, NinjaTrader will automatically set the required brackets.


Position Sizing

You never ever exceed the intial stop of 12 ticks. If your setup requires more than 12 ticks, you do not take the trade. If your setup requires less than 12 ticks, you manually adjust the trade after you entered the position or keep it as a mental stop, the hard stop being your money management stop of 12 ticks.


Rule of Three

If your initial stop is equal or less than 6 ticks (which is half of your default money management stop), you can double your position size for equal risk. This leaves you with 3 alternatives for position sizing.

stop > 12 ticks -> no trade
stop <= 12 ticks -> trade 2 contracts
stop <= 6 ticks -> trade 4 contracts

I do not need any software to do that for me. I know that I will take 2 contracts if my stop is 12 ticks and that I can take 4 contracts if my stop is 6 ticks. The first alternative is automated via ATM. For the second alternative, I proceed as follows

- open a position with 2 contracts
- adjust stop to 6 ticks, if possible
- add another 2 contracts if market confirms direction

If you are a scalper you can also directly hard-code your second ATM strategy by selecting a stop of 6 ticks and 4 contracts.

Use EXCEL

I have an excel sheet, where I have calculated typical position sizes for all instruments, based on my risk allowance and volatility (average true range). But this is only required to define the appropriate default values for the money management stops.

Reply With Quote
  #7 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


PositionSizer View Post

Mike, I know I never really post here and I'm very very busy but I just wanted to kind of defend my product. Maybe this is my fault that my product got a bad rap or is misunderstood because I do not post enough on your forum. With the launch of my new product I will try and start adding value to your forum by showing how PositionSizer can help traders.

Thank you everyone.

DJ

I have been careful not to bash the product, but have simply explained why I prefer to use Excel. I am not trading hundreds of different instruments, but just a few, and they are all denominated in USD or Euro. With my Excel sheet and a Rule of Three I am as fast to enter any position, as I would with a position sizer.

This does not mean that the product is bad or offers no advantage. Position sizing is an important subject and has a huge impact on profitability. Once you have a reliable trading system, it is position sizing that determines the profits. I know the original Kelly paper and the book by Ralph Vince on The Mathematics of Money Management.

Serious vendors offer a free trial of their software. I am currently testing MultiCharts for 4 weeks and I have a rather favourable impression. This product has a 7 days trial period, which is a bit short to come to a conclusion. But at least there is no reason not to go for the trial. With the trial it is possible to judge whether the product is worth the money, and there will certainly be different opinions.

Reply With Quote
Thanked by:
  #8 (permalink)
 
trendisyourfriend's Avatar
 trendisyourfriend 
Quebec Canada
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader
Broker: AMP/CQG
Trading: ES, NQ, YM
Frequency: Daily
Duration: Minutes
Posts: 4,527 since Oct 2009
Thanks Given: 4,171
Thanks Received: 6,018

Why would anyone need such a tool in the futures market ? After all, we don't have fractional lot size or contract size. You could simply decide to handle 1 contract by chunk of $5000US in your account or use any other value you feel appropriate. You don't even need Excel to determine that. Simple common sense is all that you need.

Reply With Quote
Thanked by:
  #9 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,399 since Jun 2009
Thanks Given: 33,175
Thanks Received: 101,541

Moderator Notice
Moderator Notice



Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #10 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102



trendisyourfriend View Post
Why would anyone need such a tool in the futures market ? After all, we don't have fractional lot size or contract size. You could simply decide to handle 1 contract by chunk of $5000US in your account or use any other value you feel appropriate. You don't even need Excel to determine that. Simple common sense is all that you need.

This is too easy. I use NinjaTrader to run ATM strategies, and the question arises indeed, how to adapt the stop loss size to volatility, exchange rate and risk allowance. This is what I do once per week:


Input Values: Maximum Risk, Exchange Rate, ATR(36) of a 5 minute chart and Spread

(1) I first enter two values as input -> maximum risk per trade and current exchange rate EUR/USD -> see red fields in the excel sheet below

(2) Then I measure the lowest and highest value for the ATR(36) on a 5 min chart that could be found during the RTH session (my trading times) over the last week, not including holiday sessions.


Money Management Stop-Loss is calculated as ATR(36) plus Spread

I assume that the ATR(36) of the 5 min chart is a reasonable value for my money management stop-loss as required by my setups. Starting from these values I calculate the stop loss in ticks and the number of contracts that I am allowed to trade.


Notes to the Spreadsheet below by Column

A: Instrument
B: Contract Month
C: Tick Size in points
D: Minimum measured for ATR(36) in points
E: Maximum measured for ATR(36) in points
F: The assumed spread, which is added to the ATR to determine the stop loss
G: The stop loss calculated from volatility: Mean of minimum and maximum ATR + spread
H: The selected stop loss, manually adjusted to avoid an uneven number of contracts
I: Contract Multiplier
J: TickValue
K: StopValue in Local Currency calculated from selected stop loss
L: StopValue in Euro converted from local currency
M: Risk allowed in Euro
N: Number of contracts that can be traded calculated from stop loss value

The two red fields are manual inputs. The blue field are taken from a 5 min chart that covers the last week. The two orange columns are my outputs that I use to enter my default strategies for the instruments.

If volatility changes for an instrument, I may have to adjust contract size. The whole process takes a few minutes. The advantage of doing this manually is that a change informs me about different market conditions, in case that I did not realize it during the week.

Result

For the next week I am allowed to trade 6 contracts of TF with a stop loss size of 14 ticks, or alternatively I can trade 4 contracts of CL with a stop loss of 20 ticks. In case that my calculations are wrong, at least it was myself who committed the error and I can take full responsibility for it. The approach is similar to the PositionSizer.

Attached Thumbnails
PositionSizer for ninjatrader-contract-size-octobre-18.pdf  
Reply With Quote




Last Updated on April 22, 2020


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts