Come Calcolare quanto rischiare - gz
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By: GZ on Domenica 04 Agosto 2002 17:00
c'è una discussione recente dei metodi per calcolare ^quanto rischiare su ciascuna operazione in un sistema di trading #tradersclubtraderclub.com/discus/messages/18/1431.html^
e in particolare vi si trova il sistema di Chuck Le Beau, che è molto semplice e chiaro
i) se parti con 80 mila $ rischi 2 mila $ (cioè circa il 3%)
ii) se cominci a perdere e vai sotto 80 mila rischi 1.500 $
e se scendi ancora, sotto 60 mila $ rischi 1.000 $
iii) se invece guadagni allora rischi i 2mila più il 5% dei profitti cumulati, quindi se sei salito a 100 mila $ rischi 2mila + (5% x 20mila) 1,000 $
ecc....ecc...
Chi legge tutta la discussione trova anche le altre varianti del metodo, gli algoritmi in diversi codici, le simulazioni fatte da gente piuttosto brava, le risposte e obiezioni di Chuck Le Beau (che per chi non lo conoscesse è un autorità per i trading systems e si presta a discutere nel forum)
---------------------------------------------------- algoritmo di Chuck Le Beau per il calcolo del rischio -----------------------
By Chuck LeBeau on Wednesday, July 31, 2002 - 12:58 pm:
For what its worth, here is one of my favorite money management strategies. I think the easiest way for me to explain it is with an example.
We will assume that the starting equity is $100,000.
We will risk $2,000 on each trade until our equity is below $80,000. Once equity is below $80,000 we will risk $1500 per trade instead of $2,000. At the $60,000 level we will risk $1,000 per trade. We could continue to scale down these numbers as far as we want but this is enough here to get the idea.
As you can see this is very similar to a fixed fractional strategy risking 2% but I believe it is better. It is simpler and it allows for quicker recovery from drawdowns than a fixed fractional strategy because the position sizes are only reduced at threshold levels. At $90,000 we are still risking $2,000 instead of $1800.
Now on the positive side I like to think in terms of risking the base amount described above PLUS a higher percentage of the realized profits. (I think that Tharp sometimes refers to this as "markets money" but I disagree and prefer to think of all profits as "my money".)
Here is an example of how this strategy works when we are winning. Assume that we started with $100,000 and we were risking $2,000 per trade. Now we have $120,000. We would risk the original $2,000 PLUS 5% (or pick another percentage) of the $20,000 of profit. So now we are risking $3,000 per trade. At $130,000 we would risk $2,000 plus 5% of $30,000 for a total of $3500.
Once we have reached a high level of profit (let's say we are at $150,000 now) it is very important to scale back to the original strategy where we risked about 2%. At $150,000 I would say the basic account size is now $150,00 and we have no profits again. We will now risk $3,000 per trade plus 5% of any equity above $150,000.
We are trying to be conservative when losing and extremely aggressive when having winning streaks. But after each big winning streak we become conservative again. That way we won't get into trouble after big winning streaks.
I'm sure that many of you could take this basic idea and refine it and make it better. I just like to keep things simple and logical and I don't like the fixed fractional approach. I see no point in recalculating the amount risked after every trade when losing. The difference is usually not that great if you take small losses. In the method I am proposing you only need to recalculate once you reach a predetermined equity level (like $80,000).
Any comments? Are there flaws in the logic that I might have overlooked? Any suggetions to improve on this idea?
Modificato da - gz on 8/4/2002 15:6:58
