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What position sizing should be used?

Posted: Wed Jan 02, 2013 4:46 pm
by oem7110
What position size would you use based on following condition in general?

Does anyone have any suggestions?
Thanks in advance for any suggestions
Happy New Year

Case 1
Win% = 50%
Avg Profit = 100
Loss% = 50%
Avg Loss = 50
Position Sizing = 1 Unit

Case 2
Win% = 67%
Avg Profit = 100
Loss% = 33%
Avg Loss = 50
Position Sizing = how many unit should be used?

Posted: Wed Jan 02, 2013 5:41 pm
by mirec79
It doesn't matter what win/loss ratio you have. Same position sizing can be used for both strategies.

The position sizing algorithm is highly individual, depends on many factors.

There is not right or wrong answer.

And how many contracts you buy or sell depend also on the % of capital you are willing to risk on one trade and also depends on the bigpointvalue of the future contract.

Posted: Wed Jan 02, 2013 5:48 pm
by oem7110
The win% on case 2 is higher than case 1, should the sizing be larger?

Thanks you very much for any suggestions

Posted: Wed Jan 02, 2013 10:10 pm
by rhc
This question has been asked before . . . . in fact it was asked by YOU on July 17th, 2012.
Your title for that thread was, "How to determine the positions size for each trade?"

Please check this link
viewtopic.php?t=9666&highlight=kelly

Perhaps the Hogwarts spell mentioned in the above link has caused you to forget that particular thread :wink:

Posted: Wed Jan 02, 2013 10:52 pm
by oem7110
This question is different from previous post on determining the position size, at this time, I have given 2 cases for comparison.

Does anyone have any suggestions?
Thanks everyone very much for any suggestions
Happy New Year

Posted: Thu Jan 03, 2013 12:18 pm
by Roger Rines
Attempting to decide on position risk using the basis of a few summary statistics is an illusion that could be the result of a “siren song’sâ€

Posted: Thu Jan 03, 2013 12:21 pm
by maler
Bruce Kovner said
“Whatever you think your position size should be, cut it at least in half.â€

Posted: Mon Jan 07, 2013 10:44 am
by oem7110
Thanks everyone very much for suggestions