When should you increase size?

Discussion in 'Risk Management' started by etfarb, May 2, 2013.

  1. etfarb


    I currently trade 1 lots at the open and will put it up to two if i'm looking for an MR position midday. What kind of criteria do you use before you increase your size?
  2. Assuming you have a tested edge size becomes more a function of capital than anything else. If you have a million dollars liquid + an edge you are probably trading too small. If you entire net worth is tied up in a $1,000 account you probably are trading too large at even a single ES contract.

  3. etfarb


    The word "Tested" is very key

    Any suggestions on Testing an ORB with EOD data?
  4. etfarb


    how uncommon or common is it for someone to trade a 50/100/500 lot on the index's?

    I know theres a ton of liquity but would a huge order like that be striking to an algo during the opening?
  5. Lots of questions, not many answers.

    This could be a sign that you're asking the right ones - many of the potential replies are proprietary info from anyone who is successful.

    A smoothly ascending equity curve (real money, live) for several months and consistently small DD's (<5%) with few execution mistakes would be a good sign you can increase size.
  6. Daring


  7. etfarb



    Thank you i appreciate that
  8. dom993


    For a thoroughly backtested system, with enough sample size (say 1000+ trades), your simplest method would be to double the historical max drawdown, and make this your system stop.

    To go from 1 contract to 2 contracts, your account must grow by at least the amount of that system stop + margin requirement for the additional contract.
  9. Blotto


    I increase contract size pro rata with my account size.
    In your example, I would trade the first 2 lot the first day my account balance => 2x starting balance. Keep trading at the new size for the whole trading day.

    1 to 2 is the biggest jump. After that, you can put it up incrementally.

    Set your position size according to your strike rate and market volatility. You should have enough stats from sim and enough experience to calculate this number correctly.
  10. Does anyone in this thread actually think that advising a two lot trader on how he might increase size is giving up valuable proprietary information?

    #10     May 6, 2013