Position Sizing - Trading in futures markets

Discussion in 'Strategy Development' started by WmWaster, Jun 11, 2006.

  1. OK! I'm interested in how you, sa a trader, control position sizing in different stages of trading:

    How do you control your position sizing in futures?
    What futures markets do you trade?
    how much capital do you put in those markets?

    Normally how many contracts will you trade each time?
    Will you enter all contracts at once?
    Or do you enter contracts bit-by-bit at each level?

    Waiting for Harvest:
    After the entry, how do you manage your contracts & control the risks?
    Will you add extra contracts if, say, you see the situation turns out ot be very favurable (so you wish to earn more from this opportnity)?

    How do you close your contracts? Close all at once? Or bit-by-bit?

    Thanks for the sharing of your ideas?
  2. Here's what I did:
    1. Buy and read Ralph Vince's first book and second book
    2. Buy and read Van Tharp's first book
    3. Buy trading software that lets you test trading systems on portfolios of markets (Tradestation doesn't let you do this) using advanced position sizing concepts, such as (example 1) or (example2)
    4. Apply the concepts from the books, into trading systems I put into the testing software
    5. Choose one and trade it
  3. Averaging up
    Pretty much I use the Livermore technique.
    Any that have a consistent seasonal patterns as discovered by my research department.
    [​IMG] We trade on a shoe string.
    Three blocks at a time.
    We add or reduce depending on market movement.
    That could be it. Averaging up is a basic Livermore technique.

    Trailing stops
    Yes, of course.
    Trailing Stops, Liquidation, Rollover or trading the “Spread within a Spread.”
    I only trade spreads
    Scaling out.

    Wm email me I can send you a more detailed answer in adobe pdf.
  4. All these entrys are helpful;
    Jesse Livermore/EdWIN Lefevre has one of the earliest,
    understandable market patterens & observation.s:cool:

    As far as stock or stock index derivatives, better to err on small side ;
    rather than too big , unless you like bankruptcy like Livermore.

    Something else interesting about Livermore, as old as that material is, its still up to date, much of it:p
  5. novais


    > Trailing Stops, Liquidation, Rollover or trading the “Spread within a Spread.”

    Some follow up questions (may be wrong questions):

    For EOD trader (not day trader):

    a) Would Trailing stop can provide exit with profit?

    b) Is 5%-10% good practice for trailing stop?

    c) With broker I tried seeking putting exit-order-for-profit, as well as on stop loss side using Trailing stop. He said it is not a good idea, says if Futures is moving up then Trailing stop, as well as Exit-Order-for-Profit may kick in together. Any suggestion, how to use exit-strategy with trailing stop for profit?

    d) Please suggest book/link/pdf for Livermore technique.

    e) Please suggest a good book for commodity futures which gives some strategies for entry and exit for profit to EOD trader.

    f) There is lot of empashis on Trading plan. Please suggest some source for actual Trading plan for commodity futures.

    Thanks in advance.
  6. Might. Trailing stops are based on market action, not necessarily your average cost. In general the stops run first below your average cost, pass up through your average costs then pass above your average cost. Don’t forget slippage. Your stop leaves you enough capital to get back in during an emergency. Later it should close closer to lock in profits.
    5% of what. See how you stop works compared to Wilders parabolic. Most analysis programs have some kind of parabolic. Compare them. What do you think?

    Will Parabolic work for you?
    Try exiting when the price closes below your parabolic, when you do not expect a reaction. Don’t jump at Elliot wave 2 or wave 4, or some expected seasonal cycle bottom. When the price closes below your stop, get out the next day.

    Setting targets is a whole different thing. Here you are trying to take advantage of low volume during the day volatility. The big game is to let your profits run. Targets imply that the price will reach your target price then recede. Fine, But when prices keep making new highs and leave your target behind, this is when you should be averaging up, not running for cover. With spreads we do not have to worry so much about running stops, but when you trade naked you do. The very time you should be increasing your size before a move is when the floor will push prices down on low volume and stop you out.
    Anyone interested in a copy of Livermore’s book and my pdf’s just email me. Usually I send out real time examples when they arise. No big deal.
    This is a fast moving dynamic game. By the time a book is published it’s obsolete. I suggest that you consider real time, strategies from the research houses that are used by the exchanges themselves. Contact Jerry Toepke for a free sample of his spread research and see if you can trade that kind of information. Try KCBT Moore Report
    Write me specific questions and I will help steer you in the basic direction. The basic plan I guess from Jesse was just "In a bull market your game is to buy and hold until you believe that the bull market is near its end." Will Rogers said something like “buy some good stock and hold it till it goes up, then sell it. If it don't go up, don't buy it. “