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Position Sizing & DMAC
Posted: Wed Jul 04, 2007 9:59 am
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?
Posted: Wed Jul 04, 2007 1:37 pm
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.
Posted: Wed Jul 04, 2007 6:44 pm
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.
Posted: Wed Jul 04, 2007 6:47 pm
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?
Posted: Wed Jul 04, 2007 8:00 pm
by stancramer