Atilla Position Management

Atilla position management:money management involves not only position size but position management,volatility and risk analysis. When you decide on a trade, you must consider

risk/reward ratio

market volatility

adjust the size accordingly

manage your execution accordingly

position size=K*(total capital)/(vix*rr)

rr=risk reward ratio

vix=market volatility if you trade ES

K=a constant you chose based on your own postfolio risk

For example: you have 1M, vix is at 60, you have a setup 1:2

ratio meaning you short at 900, stop 910, target 880, K=1

position size=34K for that particular trade, if your risk bracket higher, make that K=2 or 3

Lawrence Chiu said...

Atilla, Is that $34k position size relative to ES value (about 1 contract), or ES margin-value (about 7 contracts)?

Friday, October 24, 2008 2:14:00 PM EDT

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That was 7 contracts but you must adjust K based on your risk bracket

K=1 was for example