Positions size

Discussion in 'Index Futures' started by winminn1, Jan 6, 2003.

  1. winminn1


    According to Mr. Mark Conway, his position size formular is as follow:

    Poistion size = Equity X Risk % / ATR

    My equity is $25000 E-Mini S&P future ATR is 16

    Could anybody suggest me should I trade E-Mini S&P? Thanks.

  2. Which time frame? 16... 8 handles per bar average... hmmm

    10-30 min. bar?

    I don't know Conway but it's usually:

    Capital x %Risk (usually <= 1% for intraday) / Difference of Entry and Stop

    Though, I guess Conway uses ATR stops like Turtles.

    Also, stops depend on the trading style...

    Another is % Risk model is actually not the best. The model and %Risk also depends on the nature of the system.
  3. you need to define your risk. 2% of 25k would be $500 per trade max loss. And then you need to define the dollar value of the ATR. If you're talking 16 handles that's $800, so no, you couldn't even trade 1 contract.

    If you are talking 16 ticks, then that's $200, so yes, you could trade 2 contracts.

    The idea is to search for a risk% you like, most use at least 1 but no more than 4 %, and then trade in a time frame which has an ATR = or less than risk.
  4. winminn1


    WdGann & profitseer

    Thanks for the advice. Now I got some idea. I like to trade E-Mini because of leverage and no uptick rule. Maybe I can trade E-mini NASDQ 100 one contract.

    position size = 25000 X .02 / 28 = 17.86 = 1 or 2 contracts

    Am I right? But I'm really don't like Nasdq because of Market Makers.
  5. I think you need a better understanding of ATR.

    Think of ATR as the average size of a candle over a set period of time. Big traders use the average daily range for the last 30 days.

    Little traders use the average candle size on the 1 min chart over the last 7 minutes.

    So for a little trader like me, the ATR on es is usually about .86 or 43 dollars per contract. So using 2% as risk and your formula and rounding off to ATR =1.00 or $50, it comes to about 1 ES contract for every $2500 in equity.

    JUST BE SURE TO CHANGE VALUES WHEN ATR CHANGES. And that means dropping size on triple witching days.
  6. winminn1


    So I caculate the 1min candles for 7min average. It come out .61=$30.00 for ES. Like you said every $2500 equity for 1 contract, it doesn't sound right. Like this I can trade 10 contracts?
    ES daily ATR from is 16=$800 With the $25000 I can't even trade 1 contract. Anyway wher can I find the real time ATR for ES, NQ? At-least daily ATR. Now I'm useing s&p 500 cash ATR. They're very close. Thanks again profitseer

  7. win, You set it up the way you want it. If you want to daytrade, I would use 5 min candles and an ATR of 60.

    Just guessing that would be about 1.75. Or let's say 2.00.

    And using 2% risk

    You now have 25k times 2%=500 divided by $100 = 5

    So that would be 5 es contracts.

    But that is after you are consistently making money on one contract.

    If you want to hold overnight, you would need to bump up your risk to about 4% to trade one contract with an ATR of 16 points.

    These are all just guidelines, ways of looking at risk, methods to use. None of them will make you money, but they will help you plan a trading strategy.

    Also, the formula you stated is very high risk in my opinion. Most use 150% of ATR to about 3 times ATR. But then you didn't state what the risk% was so maybe that is the conservative factor.
  8. But just to get it straight, this started out as just a question about a formula.

    To cut to the chase, with 25k, you can trade just one and only one ES contract with a 6 point stop.

    I'm not qualified to give trading advice, but if your method requires more than 6 es points risk, I would not attempt it with 25k.

    Formulas are one thing, real life is another.