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
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).
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.
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@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).
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.
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.
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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.
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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.
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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.
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The price appears to have dropped $300 since my first post on this. Still to expensive in my opinion, especially as you won't own it outright and you will have to pay thay yearly.
I have created a spreadsheet which will have to do for the time being.
I did a similar tool to what you did but more advanced in Excel for the Forex market many moons ago but never used it for the Futures market. In my approach, volatility does not affect my stop loss. Most of my trades are placed "on the edge" on a pullback or small retrace. My stop loss almost never varies. For the RUSSELL the average is 6 ticks with some fluctuation of around +4 ticks. That's about the same thing with the ES. I do not trade anything else. I personally use 1 contract by chunk of $3500USD. That's as you say simple and straightforward. The difference in exchange rates does not affect me as there are so small. As i wrote previously, if we could use fractional lot size as we can in the Forex market it would be another story but that's not the case.
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Your spreadsheet design is superior, but you have not integrated the idea that the money management stop-loss is linked to volatility. When trading on margin - as opposed to trading stocks - both profits and risk depend on leverage.
In my opinion, the best way to control leverage is a three-step-process. In a first step you adjust the stop-loss to the volatility of your investment. I just used the average true range of a 5 min chart. In the second step you determine the number of contracts to trade. Both steps together are nothing than fine-tuning leverage.
The third step, and this is really advanced money management, is to adjust leverage to the expectancy and the risk of ruin of your setups. This is something I am not mastering now, but I am eager to learn that. Currently reading the book by Ralph Vince on Money Management. Until I understand more, I will stay with my rule of thumb, which is 1% of equity risked per trade.
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It is not directly integrated but indirectly as i was taking it into account. Basically we need to define two things, ie, the size of the risk in terms of ticks/pips and the percentage of your equity you are ready to risk for that trade. Mataf has done a web tool to this effect :
I don't think you need to go that far in your quest. Technical analysis is somewhat limited, you can only enter at specific points given the current conditions of your instrument of choice. If there is enough volatility or movement then you will get some follow through otherwise if price stops moving then no matter your past experience (expectation) you're going to lose. The only reason why we can win in trading is because price cooperates and keeps moving in a somewhat orderly fashion.
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1.Using the mouse click to select 3 prices ( stop, entry and target)
2.Adding stuff to the menu and the toolbar.
3.Getting the instruments tick value.
4. Converting that value - real time - to your base currency**
5. Placing orders on a chart without using a strategy.
None are 'easy' but 1 and 4 are particularly difficult.
Edit - as a workaround you could just have an exch rate that you update manually at the beginning of each day.
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If those items are done already in the commercial application, why not just buy it? Or work with the developer to improve it or add a feature you deem necessary, instead of creating your own version.
1. Money
2. Much more importantly - you can't get access to the source code. So improving or adapting it is limited.
3. Developing our own version improves learning and will lead to improvements elsewhere (IMHO)
I did actually trial it - and found it to be relatively poor in some areas.
Essentially it's the old saying
'Feed a man a fish, you feed him for a day; teach him to fish and he can feed himself.'
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What will "feed you" is trading success. Development of other miscellaneous tools often cuts into screen time or other more direct trading related development.
On a related note:
cyberxpert: outreach the boundries of excel
IB excel adapter (free) is a useful tool to draw real time info from IB - specifically real time account info - which I find very useful to drive my sizing/risk spreadsheet.
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OK, programming questions about context menus and toolbars and such should not be in this thread. You'll want to create a new one to follow up on that stuff.
May as well start at the most difficult bit...
How do you access real time exch rates?
My guess is you use a web site like google.
If you type in eg eur to gbp it comes up with a spot rate.
I can get the symbol currency but does anyone have any snippet about how to access and read a web page?
Yes it is a complex project. I don't think one needs to use an API as we have C# and it's been done before of a fashion - see jt's NewsAddin.
Unfortunately this is in a dll and I can't /don't know how to read those.
Site Administrator Swing Trader Data Scientist & DevOps
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Moderator Notice
OK, programming questions about context menus, toolbars, how to read web pages and such should not be in this thread. You'll want to create a new one to follow up on that stuff.
here is my excel calculator for position sizing. At this moment i use ATR method but i have some doubts if it is best.
For calculation i use margins from AMP Futures.
There are some mistakes in symbols GE,ZF and ZT i will fix it soon.
This is created for position trading, not for daytrading !!!
Places trade targets ruler on chart and calculates risk/reward/position sizing for trade planning, review and management, using Van Tharp style Risk based position sizing
Setting Lines:
- Middle mouse button click above/below any bar shows ruler …
Risk Reward and Position Sizing Indicator
Calculates Risk/Reward and Position Sizing for trade planning using horizontal lines drawn at potential trade Entry, Stop and Target. The indicator will automatically update the risk/reward and position sizing …
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I found this discussion very useful thank you @Fat Tails, even if it wasn't necessarily the intended purpose for this sub-forum. If I may provide some feedback to the vendor, as I had previously looked at this product before it was posted on futures.io (formerly BMT) because well....im lazy and just wanted to deal with my need quickly by throwing some $$ at it, but not $$$ .
1) Your site returns a malware warning in Chrome, im assuming/hoping this is not intended but you should look into it as it's 30%+ of the browser space.
2) Ninja is starting to lose traction and MC,Sierra and others are taking on more users, including myself most recently, I noticed a post by you on Sierra's forums over a year ago that you would work with them to code your tools functionality into the platform, this never happened.
3) The price is excessive for what you are providing, you may disagree but I am your target audience and my perception and reason for leaving your site within 5 minutes is that I do not value my time so highly that I can't write up my own spreadsheet to link to my platform (which I did), live if I wish (just switched to Sierra) and do these same analytics. Or I can pay far less than your price (and have) for a C# course if I want to integrate my need more seamlessly. I'm sorry but these money management systems are not proprietary and is easily implemented in a realtime environment, your pricing model should target the lazy people out there like myself, and not the uninformed with deep pockets, you'll run out of those.
Just advice to cater to my audience is all .
Edit: my comments above were in reference to using Sierra's spreadsheet functions for my purpose on FX trades (multi-lots), not coding in Ninja which has more of a time investment on the user im sure.
Also, if vendor could maybe reply to the malware warning issue once he/she looks into it, it sort of bothered me as I had already visited it from other browsers.
Did you ever visit Google? This is also dangerous.
Google has infected at least 39 other sites, as disclosed by Google.
I admit that this is little in relation to the traffic generated ......
Advisory provided by Google
Safe Browsing
Diagnostic page for google.com
What is the current listing status for google.com?
This site is not currently listed as suspicious.
Part of this site was listed for suspicious activity 9 time(s) over the past 90 days.
What happened when Google visited this site?
Of the 521038 pages we tested on the site over the past 90 days, 33 page(s) resulted in malicious software being downloaded and installed without user consent. The last time Google visited this site was on 2012-08-15, and the last time suspicious content was found on this site was on 2012-08-15.
Malicious software includes 245 trojan(s), 19 scripting exploit(s), 17 exploit(s). Successful infection resulted in an average of 3 new process(es) on the target machine.
Malicious software is hosted on 31 domain(s), including viralblog.com/, happynewyear.osa.pl/, relay-hosting.net/.
24 domain(s) appear to be functioning as intermediaries for distributing malware to visitors of this site, including seowicked.com/, thisprimallife.com/, googleusercontent.com/.
This site was hosted on 95 network(s) including AS15169 (Google Internet Backbone), AS12956 (TELEFONICA), AS36040 (Bandaid XT+).
Has this site acted as an intermediary resulting in further distribution of malware?
Over the past 90 days, google.com appeared to function as an intermediary for the infection of 39 site(s) including stroupecondoblog.com/, https://sites.google.com/site/wwwjazaancom/, nuhyapi.com.tr/.
Has this site hosted malware?
Yes, this site has hosted malicious software over the past 90 days. It infected 19 domain(s), including hausofthequeen.co.cc/, soneternity.co.cc/, deivydcds.co.cc/.
Next steps:
Return to the previous page.
If you are the owner of this web site, you can request a review of your site using Google Webmaster Tools. More information about the review process is available in Google's Webmaster Help Center.
Im sure it's an aggressive cookie or something silly but I wouldn't purchase something from any site that was actively categorized as malicious, just a reason for customers to be turned away--feedback to vendor.
You are absolutely right. The day before yesterday I looked up the website of my local bicycle shop as I needed some new tires. The website was also labelled dangerous by Google, so I informed them to check with the company hosting it.
Has anyone heard from this guy? I bought a lifetime license($995) from him and have not heard back from him since I got a late stage beta from him maybe a year ago. The product looked great. You could enter a position from a Chart Trader style interface and update the stop on the IB side each time the market moved up with a mechanisim that worked alot like FatTails' U11. Just before he disappeared he announced a partnership and was offering a package with the MT Predictor software (with a big discount on MT) vendor. Does anyone know how long the position sizing aspect has been in that product? I always wondered if DJ the PositionSizer guy sold his position sizing logic to MT. I think he was out of money (he was not a programmer and was contracting out the coding.) after the recode for the new version and NinjaTrader kept requiring him to upgrade to the latest version and he had to send out updates to the software. I pretty much just wrote it off, but if anyone is in contact with him tell him I'd like to hear from him.
Chris
I am a relatively new member, mostly just reading for now. I look forward to being able to contribute to the community as time goes on.
I spoke to the guy a few times and I think that development costs have impacted his business.
He build a product that many simply did not appreciate, understood or was too complex to implement.
It was a very good product from what I saw and the owner of the site was a nice guy.
It's really sad as I think he put a lot of faith in a product that lacked marketing/sales.
I hope you are right and he did sell the intellectual property.
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Yeah I agree a cool guy and a great product. He certinly believed in the Van Tharp R risk philosophy down to his bones. The first version of his product actually looked a lot like monpere's Risk Reward indicator.
I know I am a little late on this thread but @FatTails could you explain how you get the 36ATR (5 min) spread in your spreadsheet? I am trying to find a good calculation method for setting stops based on the volatility of the market in question. Maybe MAE is a better choice? Do anyone have any thought on how to best accomplish this? Thank you.
but I wouldn't purchase something from any site that was actively categorized as malicious, just a reason for customers to be turned away--feedback to vendor.
