CALDEIRÃO DE BOLSA

My Strategy:

I use a combination of percent risk & percent volatility strategy. Here are the rules I use:

- My main aim is to ensure that I stay in the business longer so my trading system gets a fair chance to realise its potential.
- No position should be greater than 10% of my total trading equity
- I don't risk more than 1% of my total trading equity on any single position
- I make sure my positions are "volatility balanced". In other words I make sure that all my positions fluctuate approximately the same each day in the market. I do this using Average True Range of the stock.

Example:

Say I am planning to buy HINDLEVER, here is what I would do to determine the number of shares I would buy:

Total Equity : 100,000.00
Max Equity for each trade : 10,000.00 (10% of total equity)
Risk Amount : 1,000.00 (1% of total equity)
Volatility Amount : 500.00 (0.5% of total equity. This is the fluctuation level per day per position)

Average True Range (10 Day Avg) : 5.63
Last Market Closing Price : 173.20 (For simplicity assume this is the entry price)
Stop Loss at : 163.40 (Will get out just below previous reaction low)

Number of shares to buy (percent risk model) = Risk Amount / (Entry Price - Stop Loss Price)
Number of shares to buy (percent risk model) = 1000 / (173.20 - 163.40)
Number of shares to buy (percent risk model) = 102 Shares

Number of shares to buy (percent volatility model) = Volatility Amount / Average True Range (10 Day)
Number of shares to buy (percent volatility model) = 500 / 5.63
Number of shares to buy (percent volatility model) = 88 shares

Number of shares to buy (based on Max Equity for each trade) = Max Equity for each trade / Last Market Closing Price
Number of shares to buy (based on Max Equity for each trade) = 10000 / 173.20
Number of shares to buy (based on Max Equity for each trade) = 57 shares

I will buy minimum number of shares determined from the above three models. So in the above case I would buy 57 shares.

So here is what I basically do. I am still trying to fine tune these things. The above parameters used are what I am currently using but I am in the process of doing trial & error to come up with parameters that fit me well. I would now like to hear what the experienced traders here do.

LPP Escreveu:Quanto ao valor do stop loss, tomar em atenção que,

C-round(x*WhimpFactor)

é o valor do stop loss a considerar.

pelo que me parece esta-se aqui a configurar a ideia de que o MM tem a ver apenas com duas coisas; volatilidade e disponibilidade de capital

Ficam aqui uma ideia desse conceito:

Money Management

In the twenty-first century it has become fashionable to manage one's own investments, yet few traders implement disciplined, professional money management strategies. During the stock market bubble, limiting risk was an afterthought, but given the recent price action, it’s time to get serious about management of money and risk. Professional risk and money management strategies are the foundation for success. Essentially, money management tells you how many shares or contracts to trade at a given point.

Money management is a defensive concept. It keeps you in the game to play another day. For example, money management tells you whether you have enough new money to trade additional positions. Don’t confuse money management with stop placement. Stop placement does not address the how much question.

Money management is risk management. Risk management is the difference between success or failure in trading. Trading correctly is 90% money and portfolio management, a fact that most people want to avoid or don't understand. Once you have the money management down though, your discipline and psychology is 100% of your success.

Money management optimizes capital usage. Few have the ability to view their portfolios as a whole. Even fewer traders and investors make the move from a defensive or reactive view of risk, in which they measure risk to avoid losses, to an offensive or proactive posture in which risks are actively managed for a more efficient use of capital. Trend Following risk management formulas and philosophies are key to increasing profits while controlling risk.

What are some issues addressed by money management or bet sizing?

For example:

How much capital do you place on each trade.
What is the heat of your trading.
Capital preservation v. capital appreciation.
When do you experience expectation of success.
When must you take a loss to avoid larger losses.
If you are on a losing streak do you trade the same.
How must you prepare if trading both long and short positions.
Does a portfolio of long and short allow one to trade more positions.
How is your trading adjusted with accumulated new profits.
How is volatility handled.
How do you prepare yourself psychologically.
Have you tested your bet sizing.

Quanto ao valor do stop loss, tomar em atenção que,
C-round(x*WhimpFactor)
é o valor do stop loss a considerar.