StockFetcher Forums · General Discussion · Money management question:<< 1 ... 3 4 5 6 7 >>Post Follow-up
EWZuber
1,373 posts
msg #30320
Ignore EWZuber
12/16/2003 11:57:43 AM

alf44
I've looked it over several times and it is just too easy to find things wrong after the fact that would have been meaningless before the fact.
Also indicators change radically after falls like this and there is no way to recreate how they looked at that point before the fall.
For instance where certain stochastic indicators were converging the chart will now show divergence.
However if you want to discuss this you can post on 'Just a Heads Up' thread.


mika
131 posts
msg #30324
Ignore mika
12/16/2003 5:00:44 PM

Avery,
I've decided to take a little break for 2 weeks. Will begin afresh with $20,000 after the new year..




johnp
17 posts
msg #36932
Ignore johnp
7/14/2005 2:51:46 PM

Alright, Here is how to do "good enough" position sizing

Get the following information:
First find stop loss of potential new position (if share price is 20 and stop is 19 your is loss is (20-19)/20 = .05 or 5%)
Next find Optimal f for new potential position (via Kelly formula and backtesting results, example .20)
Now list current positions market value and stop loss
(example 3 positions, first has market value of 10000 stop loss at .15,
next 9800 and .15, third 9300 and .07)
as well as total liquidation value of account (t=20000)
margin (m=2 or 2 to 1 margin)
max of total liquidation value allowed for any one position (n=.50)
as well as total allowed market exposure (a=.20)

Next edit following code with your values:
%--------------------------------------
x=[.05 .20];
c=[10000 .15;9800 .15;9300 .07];
t=20000;
m=2;
n=.50;
a=.20;
disp('funds available')
f=(t*m)-sum(c(:,1))
disp('funds can risk in market')
fm=((t*a)-(c(:,1)'*c(:,2)))/x(1)
disp('max position size')
mp=t*n
disp('possible new position size or minimum')
np=min([mp fm f])
disp('corresponding f value is')
cf=np/(t*m)
%--------------------------------------

Now paste it in the following website and execute it:
http://www.math.wisc.edu/~robbin/minimat/minimat.html

Obtain results:
funds available
f = 10900.0
funds can risk in market
fm = 7580.0
max position size
mp = 10000.0
possible new position size or minimum
np = 7580.0
corresponding f value is
cf = 0.1895

Use results:
Since cf=.1895 is close to optimal f of .20
allocate $7580 to new stock position







TheRumpledOne
6,358 posts
msg #40789
Ignore TheRumpledOne
1/30/2006 12:34:33 PM

fyi:

http://www.4xmadeeasy.com/SUPPORT/money_manage.html


alf44
2,025 posts
msg #40795
Ignore alf44
1/30/2006 4:11:26 PM

I remember this thread !

In this thread I described (in some detail) to "mika" my approach to Money Management and Position Size etc... !

Can't believe that was waaay back in 2003 !

Why...it's a veritable "trip down memory lane" !


Regards,

alf44




markcrisp
187 posts
msg #40817
Ignore markcrisp
1/31/2006 3:39:17 PM

Rumplod One:

Do you practice this? yuo preach it...but do you do it? Surely..that's too risky?
---------------------------------------------------------------------------
Put all of your eggs into one basket and keep your eye on that basket.



nikoschopen
2,824 posts
msg #40818
Ignore nikoschopen
modified
1/31/2006 3:47:45 PM

We daytraders who methodically eat, drink, & breathe by sniping on easy target don't care much about diversifying since all of our position(s) will be liquidated at the end of the session.



mcole
5 posts
msg #40820
Ignore mcole
modified
1/31/2006 5:16:16 PM

risjr,

How has your system (described on the 1st page of this thread) working out for you? Has it been productive? abandoned? ?

Thanks!




TheRumpledOne
6,358 posts
msg #40827
Ignore TheRumpledOne
1/31/2006 8:57:00 PM

"Do you practice this? yuo preach it...but do you do it? Surely..that's too risky?
---------------------------------------------------------------------------
Put all of your eggs into one basket and keep your eye on that basket."


That's the way I trade.

One stock at a time.




EWZuber
1,373 posts
msg #40848
Ignore EWZuber
2/1/2006 3:51:28 AM

Trading one stock at a time is fine as long as you don'tput all your eggs in one basket. All it takes is for your stock to get halted once to find you just lost half your portfolio. If you are going to be so high risk it would be wise to hedge with a put option against a long position,IMO.


StockFetcher Forums · General Discussion · Money management question:<< 1 ... 3 4 5 6 7 >>Post Follow-up

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