Position Sizing & DMAC

Discussions about Money Management and Risk Control.
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drip007
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Position Sizing & DMAC

Post by drip007 »

How does one size positions properly when using a Duan Moving Average Crossover system? With no stop loss, how can you proplerly size positions to limit risk? Anyone?
RedRock
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Post by RedRock »

You could eithor use a percent of volatility to define risk and size allocation to that volatility regardless of actual exit..., or determine a hard stop which would exit before an adverse DMA crossing and use that value to determine position size.
Tim Arnold
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Post by Tim Arnold »

The Trading Blox Dual Moving Average System uses a multiple of the ATR as the risk amount for money management purposes, even if there is no stop.
drip007
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Post by drip007 »

Yes but then this would have neutral zones where I am not in the market. I have read about dmac systems such as the one mentioned in c.f.'s book (great read by the way, couldn't put it down) where the system is always in the market. I don't get how positions are sized where a system can be in the market at all times. This means there is no stop. With no stop, how can you control risk? How can you size positions?
stancramer
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