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Joined Jul 2007
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Status: Or Die Tryin'
|250 Posts
I want to demo variations of the simple Dual crossover system from the "Way of the Turtle" book. I need a method to determine position size risk since this system is always in the market with no stoploss.
Any ideas as to how I can compute a reasonable risk per trade? I plan on demoing 10 currency pairs.
"Whether you think you can or can't, you're right." Henry Ford
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Joined Jul 2007
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Status: Or Die Tryin'
|250 Posts
In the Trading Blox software it noted that they used a "throretical 1 ATR stop for position sizing". Can anyone offer any guidance as to how I could do this?
"Whether you think you can or can't, you're right." Henry Ford
this will give u a rough idea on how the pros do it back in the 80s. Implementing volatility measures to risk manage will really help with your trading
Trading blox is a great backtesting software but I think mechanica is more down to earth and flexible (personal opinion).
In the Trading Blox software it noted that they used a "throretical 1 ATR stop for position sizing". Can anyone offer any guidance as to how I could do this?
Ignored
To do this all you need to do is find the ATR and then decided what percentage of your account you wish to risk on a 1 X ATR move against you. If the ATR is 100 pips and you wish to risk 1% per trade then you need the pip value to be .001% of your account size. However, the turtle system may not work the same in currency trading. the system may go 10 X ATR against you before stop and reversing. If so, you would lose 10% on a single trade. You need more information or you are just guessing
You are going to have to backtest the system to determine the worst case pip drawdown you can expect from a losing streak. Then you will decided what percentage of your account you will risk given this worst case scenario. This will determine your position size. Bear in mind you are testing the past and the future may contain an even worse drawdown. That is the risk you take
