Position Sizing for e-mini contracts

Discussion in 'Index Futures' started by MGB, Jul 15, 2007.

  1. MGB


    What's your simple rule of thumb for position sizing in regarding to trading e-mini contracts?

    For example, 1 S&P e-mini contract for every $5,000 in buying power?
  2. blend fixed fractional w/ bob spears, and possibly a dab of fixed ratio

    stay away from optimal F or kelly ratio. If you disagree, do some web research and then reread this sentence
  3. For e-mini trading, your position sizing should be determined by the amount of risk you are willing to assume per trade (which is based on the type of trading you do, anywhere from high momentum scalping to intra-day swing trading).

    Intra-day Swing Conservative = $10,000 per emini contract with a 4pt stop
    Intra-day Trade Conservative = $7,500 per emini contract with a 3pt stop
    Intra-day Scalp Conservative = $5,000 per emini contract with a 2pt stop

    Intra-day Swing Moderate = $7,500 per emini contract with a 4pt stop
    Intra-day Trade Moderate = $5,000 per emini contract with a 3pt stop
    Intra-day Scalp Moderate = $3,000 per emini contract with a 2pt stop

    Intra-day Swing Aggressive = $5,000 per emini contract with a 4pt stop
    Intra-day Trade Aggressive = $3,500 per emini contract with a 3pt stop
    Intra-day Scalp Agressive = $2,000 per emini contract with a 2pt stop
    Increase your contract size as you increase your capital base in an arithmatic fashion.

    This is a start, but by no means is it a finish.

    Good trading,

    Jimmy Jam
  4. JJ has a very well written set of rules in place, esp for different types of trades.

    I personally just daytrade for 'smaller' moves. And I personally do not see the need for having a large amount of money in a futures account since it earns next to nothing sitting there, so I have a different view than others may have. In terms of my futures account balance, I am more aggressive with the amount of contracts traded compared to account balance. In the overall scheme however, it's much lower.
  5. I concur.

    1K (maybe 1200) per lot is more than enough if you think that a long hold is several minutes and 3 - 4 tics is an emergency market stop only.
    Always remember that your account balance is unproductive from your point of view and any surplus to basic requirements should be siphoned off regularly.

    But, you will not 'arrive' in this position overnight and the onus is on you to prove your case to your broker.

  6. Well said f9.
  7. As an intraday-only hi-freq index futures trader (YM is my primary instrument, followed by ER2 and NQ), I use a simple formula...

    ((AcctValue * .6) / 1000)

    I use $1000 margin per contract, although my broker allows me half that. Using an example 10K account, this calc allows max size of 6 simultaneously open contracts INTRADAY. Technically, in this example, my broker would allow 20 simultaneously open positions.

    It's important to realize that in this example, 6 simultaneously open positions is the max. That doesn't mean minimum, average, or necessarily normal. Just because you qualify for a million dollar mortgage doesn't mean you have to buy a million dollar house.

    You must consider the tic value and trading characteristics of your traded instrument, as well the the reasoning and expectancy of a trade in order to determine an appropriate size for a given trade. Is max size what you want to do before Fed minutes? The tic value, trading characteristics, reasoning, expectancy, and your tolerance for loss will dictate.

    And that brings me to JJ's post. IMO, it is wrong to use "generic stops", let alone stops based on overall trade style. Generic risk management as posted by JJ is useful only as catastrophe insurance. Other than that, each and every trade must stand on it's own. With it's own set of risk management. Every trade is entered into based on a unique set of MOMENTARY data. Use of generic stops is lazy risk/money management at best. Like the above mortgage trope, just because you have a stop in place, catastrophic or otherwise, doesn't mean that's the only way to exit a trade.

    Osorico :)
  8. Great points Os, I don't use arbitrary stops either and it's hard to tell if JJ does or not. He may have just given some basic guidelines.
  9. Yea, Im not sure either. But I can say with authority that the market doesn't know or care where your entry is. It only cares where your exit is... That's when the money changes hands.

    Whether BBQ, frying, broiling, or whatever; If the heat is adjusted to the correct level you should only need to turn the patties once. This however takes a bit of practice.

    Osorico :)
  10. notouch


    I totally agree with Osorico. Your stops should be based on a market reference point (or preferably some way below it so you don't get shaken out) not on the amount of risk you're willing to take. If risk is an issue then you need to decrease the size of your position, not tighten your stop. Apart from that the only thing that really matters is that you have enough money in your account so that you don't get a margin call before your stop has been hit.
    #10     Jul 15, 2007