PositionSizer for ninjatrader - Trading Reviews and Vendors | futures io social day trading
futures io futures trading


PositionSizer for ninjatrader
Updated: Views / Replies:12,769 / 39
Created: by svuhmed Attachments:5

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
 5  
 
Thread Tools Search this Thread
 

PositionSizer for ninjatrader

  #1 (permalink)
Elite Member
Edinburgh, UK
 
Futures Experience: Intermediate
Platform: ninja
Favorite Futures: eurusd
 
Posts: 22 since Jan 2010
Thanks: 8 given, 15 received

PositionSizer for ninjatrader

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

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.


Last edited by svuhmed; March 22nd, 2010 at 11:54 AM.
Reply With Quote
The following user says Thank You to svuhmed for this post:
 
  #2 (permalink)
Elite Member
UK
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: ib
Favorite Futures: Electric Guitar
 
Mindset's Avatar
 
Posts: 355 since Sep 2009
Thanks: 88 given, 285 received

sizing

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)
Elite Member
Cheshire/Kent/Oxfordshire
 
Futures Experience: Beginner
Platform: MultiCharts/NinjaTrader/MT4
Broker/Data: Interactive Brokers/FxPro
Favorite Futures: ES, GBP/USD
 
Posts: 31 since Nov 2009
Thanks: 40 given, 1 received


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)
Elite Member
Cheshire/Kent/Oxfordshire
 
Futures Experience: Beginner
Platform: MultiCharts/NinjaTrader/MT4
Broker/Data: Interactive Brokers/FxPro
Favorite Futures: ES, GBP/USD
 
Posts: 31 since Nov 2009
Thanks: 40 given, 1 received

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
The following user says Thank You to samuelhogg for this post:
 
  #5 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
sam028's Avatar
 
Posts: 3,367 since Jun 2009
Thanks: 3,574 given, 3,983 received

@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)
Reply With Quote
 
  #6 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary

Position Sizing Made Easy

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
The following 14 users say Thank You to Fat Tails for this post:
 
  #7 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary


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.


Last edited by Fat Tails; October 16th, 2010 at 06:42 PM.
Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
  #8 (permalink)
Elite Member
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,698 since Oct 2009
Thanks: 3,042 given, 4,498 received

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
The following user says Thank You to trendisyourfriend for this post:
 
  #9 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,357 given, 83,237 received

Moderator Note


As most of you know, vendors are not allowed to self-promote here on futures.io (formerly BMT) in posts. This means they can't post links or provide detailed answers in public, because we do not allow it.

We do allow vendors to post on the forum in general, and encourage it, but we do not allow those posts to be made in promotion of their own product.

If you have questions for a vendor, please send them a private message and/or understand that they CANNOT respond in public to answer the question per our guidelines.

-- Big Mike



Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #10 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary

Your answer is too simple



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
The following 12 users say Thank You to Fat Tails for this post:

Reply



futures io > > > PositionSizer for ninjatrader

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
Can NinjaTrader data be stored other than \My Documents\NinjaTrader 6.5 tc12357 NinjaTrader 4 December 15th, 2009 02:55 PM


All times are GMT -4. The time now is 01:02 PM.

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 2017-12-18 in 0.15 seconds with 20 queries on phoenix via your IP 54.196.201.241