A Study in Risk Management and Position Sizing

November 2nd, 2012, 02:41 PM

20121102 6B 12-12 9:20 S 7 394 306
20121102 6B 12-12 12:20 S 12 375 750

November 5th, 2012, 03:43 PM

20111105 YM 12-12 11:45 L 11 385 -420
20121105 TF 12-12 11:57 L 3 390 660
20121105 6B 12-12 11:57 L 10 375 800
20121105 ES 12-12 12:00 L 5 375 1063
20121105 YM 12-12 12:09 L 8 400 400
20121105 NQ 12-12 13:09 S 8 400 -400
20121105 ES 12-12 13:58 S 4 350 -350
20121105 YM 12-12 14:10 S 8 400 -400

November 6th, 2012, 02:46 PM

20121106 6E 12-12 8:20 DP S 3 337 0
20121106 6E 12-12 10:52 DP S 4 400 -400
20121106 6E 12-12 12:52 DP S 4 375 375
20121106 NQ 12-12 13:12 TS3 L 6 390 240

November 7th, 2012, 03:28 PM

20121107 6E 12-12 8:24 S 3 337 -337
20121107 6C 12-12 9:10 L 5 400 -350
20121107 6E 12-12 9:45 S 3 338 -375
20121107 6B 12-12 10:10 S 5 375 250
20121107 6C 12-12 11:30 S 5 400 -400
20121107 6B 12-12 12:15 S 9 394 -394
20121107 6B 12-12 13:30 S 16 400 -400

November 8th, 2012, 11:01 PM

20121108 ES 12-12 9:30 L 3 338 -338
20121108 ES 12-12 9:45 L 2 325 -325
20121108 YM 12-12 9:45 L 3 330 -330
20121108 6E 12-12 9:45 L 3 375 225
20121108 6B 12-12 10:10 L 7 394 306
20121108 ES 12-12 10:24 L 4 400 -400
20121108 YM 12-12 10:24 L 6 390 -390
20121108 TF 12-12 10:24 L 4 360 -360
20121108 YM 12-12 10:39 L 3 360 -360
20121108 ES 12-12 10:39 L 2 325 -325
20121108 NQ 12-12 13:42 L 4 380 -380

November 9th, 2012, 04:18 PM

20121109 6E 12-12 8:39 S 5 375 -375
20121109 6B 12-12 9:12 S 6 375 563
20121109 YM 12-12 10:09 S 4 380 -380
20121109 6B 12-12 11:21 S 9 394 1013
20121109 6C 12-12 11:35 S 8 400 80
20121109 6E 12-12 11:48 S 3 375 263
20121109 NQ 12-12 13:39 S 4 360 420
20121109 6C 12-12 13:36 S 8 400 1360

(1) If you don't bet, you can't win.
(2) If you lose all your chips, you can't bet.

Larry Hite

November 10th, 2012, 02:53 AM

For a system where the probability of failure for a trade is 55%, the probability of facing a minimum of K consecutive losing trades in 100 total trades is

K probability
-------------------
5 92.05%
6 72.9%
7 49.71%
8 30.68%
9 17.87%
10 10.09%
11 5.6%
12 3.08%
13 1.68%
14 0.92%
15 0.5%

Allowing profits to run + correct position sizing for the given trade risk = long-term success in the face of expected drawdowns.

November 13th, 2012, 04:11 AM

20121112 ES 12-12 10:22 DP L 4 400 500
20121112 TF 12-12 13:06 TS2 L 5 350 -350
20121112 YM 12-12 13:06 TS2 L 8 400 -400
20121112 NQ 12-12 13:42 TS3 L 6 390 -390
20121112 ES 12-12 13:48 TS3 L 6 375 -375
20121112 YM 12-12 13:38 TD3 L 7 385 -385
20121112 NQ 12-12 14:21 DP L 7 385 420
20121112 YM 12-12 14:24 DP L 8 360 520

November 14th, 2012, 02:21 PM

20121113 NQ 12-12 10:09 S 4 400 260
20121113 6B 12-12 10:15 S 7 394 525
20121113 6C 12-12 10:42 L 8 400 -400
20121113 6E 12-12 12:15 L 5 375 -375
20121113 6B 12-12 12:12 L 10 375 -375
20121113 6C 12-12 13:03 S 13 390 390
20121113 YM 12-12 13:50 L 4 360 -360
20121113 6B 12-12 14:15 L 16 400 -400
20121113 TF 12-12 14:30 L 2 280 -280

November 14th, 2012, 03:32 PM

20121114 TF 12-12 9:03 DP L 2 400 -400
20121114 6E 12-12 9:45 TS3 L 4 350 1800
20121114 ES 12-12 11:03 TS3 S 4 300 150
20121114 YM 12-12 11:00 TS3 S 5 375 275
20121114 TF 12-12 11:42 TS3 L 3 360 -360
20121114 TF 12-12 12:15 DP L 4 400 -400
20121114 ES 12-12 13:25 DP L 3 375 -375

A Study in Risk Management and Position Sizing

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A Study in Risk Management and Position Sizing