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Futures compounding calculation?


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Futures compounding calculation?

  #1 (permalink)
Courage
LA CA
 
Posts: 29 since Feb 2019
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So many compounding calculators use % but in futures its the # of contracts that normally bring growth


Curious if anyone know of a compounding calculator that makes sense for futures?

Like if you compound your money into more contracts instead of taking profits how would that curve look like

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  #3 (permalink)
 SidewalkAerobics 
Los Angels
 
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Courage View Post
in futures its the # of contracts that normally bring growth

Yes, compounding brings growth. Here is an example of 2 curves that start with only enough equity for one contract. Over time you can see the benefit of compounding.


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  #4 (permalink)
Courage
LA CA
 
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SidewalkAerobics View Post
Yes, compounding brings growth. Here is an example of 2 curves that start with only enough equity for one contract. Over time you can see the benefit of compounding.


interesting, how is the calculation done to see the curve if one were to compound multiple contracts vs just stick to 1 contract?

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  #5 (permalink)
 SidewalkAerobics 
Los Angels
 
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Courage View Post
interesting, how is the calculation done to see the curve if one were to compound multiple contracts vs just stick to 1 contract?

Above is a curve from back testing in TradeStation. TradeStation outputs a report. I copy the tradelist into Excel. Then use a fomula in excel to compound the number of contracts traded.

The Excel formula considers:
1) The amount of capital for margin
2) The most recent loss or gain
3) More historic losses or gains

If the strategy is in a lossy/drawdown period, the Excel formula decrease the number of contracts traded.

If the strategy is in an equity period, the Excel formula increase the number of contracts traded.

The Excel formula can/should be adjusted to the trader's risk tolerance. I would be happy to share my risk tolerance if you would like to see it.

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Last Updated on March 6, 2019


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