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MM file - lot sizing file
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Author:  Gamma_gallus [ Thu Jan 26, 2012 3:56 pm ]
Post subject:  MM file - lot sizing file
Hey Guys !

From below site, I have just downloaded the free excel file, to use for determining the lot size we should use (as per our criteria : risk etc..)

The guy seems to have put some maths behing to optimize the lot sizing (check his video for more details)

It seems quite nice actually, as shown in a second video (get access to it once we have downloaded the file), he gives an example :

first 10 trades are profit : each + 30 pips
next 10 trades are loss : each - 30 pips
So, overall net pip position is zero, but if we would have followed his lot sizes suggestions, the balance would still be positive (thus we don't see how he calculates the dollar values)

http://ddsmm.forexdecoder.com/introduction/#

thx
Olivier
Author:  MichaelM [ Fri Jan 27, 2012 5:01 am ]
Post subject:  Re: MM file - lot sizing file
Hey Olivier,

Thank for the heads up!

Yes I agree it works quite nicely. I've just been going though my myfxbook results and it works great keeping the account in profit.

Although my myfxbook account is based on Graeme, which half-closes the initial trades when it get up to +100pips, I can see the potential of this lot sizing method for other EA's that don't do partial closes on each trade.

It can potentially let you know if an EA has a crappy strategy/settings.

I have OpenOffice and found out while the formula cell was protected, I was able to remove the protection easily by just going into "Tools" -> "Protect Document..." -> untick "Sheet".
You'll be able to see the formula in all it's glory!

One thing it doesn't take into account is the Pair tick value which is based on your trading account base currency.

MichaelM.
Author:  gaheitman [ Fri Jan 27, 2012 9:00 am ]
Post subject:  Re: MM file - lot sizing file
Khalaad wrote: Michael,

I use the following formula:

Lots to Trade = (Total Equity*Percentage Risk) / Stop Size in Pipettes (or Average Loss in Pipettes)

so far not calculating tick value has had no determinable negative, or positive, effect.

Khalid
This actually means you are risking more than 1% on many currencies. The following script illustrates this:

Code: Select all

  double TotalEquity = 10000;
  double PercentageRisk = 0.01;
  double StopSize = 500;
  double Lots = TotalEquity*PercentageRisk/StopSize;
  Print ("Actual Risk: EURUSD ",DoubleToStr(Lots*StopSize*MarketInfo("EURUSD",MODE_TICKVALUE)/TotalEquity*100,2),"%");
  Print ("Actual Risk: USDCHF ",DoubleToStr(Lots*StopSize*MarketInfo("USDCHF",MODE_TICKVALUE)/TotalEquity*100,2),"%");
  Print ("Actual Risk: EURGBP ",DoubleToStr(Lots*StopSize*MarketInfo("EURGBP",MODE_TICKVALUE)/TotalEquity*100,2),"%");
  Print ("Actual Risk: USDJPY ",DoubleToStr(Lots*StopSize*MarketInfo("USDJPY",MODE_TICKVALUE)/TotalEquity*100,2),"%");
The output is:

Code: Select all

03:52:36 Util EURUSD,M3: Actual Risk: EURUSD 1.00%
03:52:36 Util EURUSD,M3: Actual Risk: USDCHF 1.09%
03:52:36 Util EURUSD,M3: Actual Risk: EURGBP 1.57%
03:52:36 Util EURUSD,M3: Actual Risk: USDJPY 1.30%
Which you will notice is the tickvalue as a percent. The good news is that the XXXNZD currencies are only costing you 0.82%. :D

George
Author:  Gamma_gallus [ Fri Jan 27, 2012 1:37 pm ]
Post subject:  Re: MM file - lot sizing file
MichaelM wrote:Hey Olivier,

I have OpenOffice and found out while the formula cell was protected, I was able to remove the protection easily by just going into "Tools" -> "Protect Document..." -> untick "Sheet".
You'll be able to see the formula in all it's glory!

MichaelM.

Thank you for the tip, I'll have a look to the formula :mrgreen:


MichaelM wrote:Hey Olivier,

It can potentially let you know if an EA has a crappy strategy/settings.

MichaelM.
You make me think to : Do you guys think we could somehow adapt this formula in future EA's (for those with an auto MM module) ??
>> When a serie of winners : slightly increase the lot size, and when we start having a serie (2 or 3?) of loosers we significantly reduce the lot size.

Thx
Olivier
Author:  gaheitman [ Fri Jan 27, 2012 3:44 pm ]
Post subject:  Re: MM file - lot sizing file
Gamma_gallus wrote:
You make me think to : Do you guys think we could somehow adapt this formula in future EA's (for those with an auto MM module) ??
>> When a serie of winners : slightly increase the lot size, and when we start having a serie (2 or 3?) of loosers we significantly reduce the lot size.

Thx
Olivier
I read an article once (maybe in Technical Analysis of Stocks and Commodities?) about a technique where if you hit a certain draw-down level, you simulate your trades until you make back the drawdown with the fake trades. Then you trade live again. A variation of the equity curve trading Gary mentioned a few weeks (months now? :>) back.

I never implemented something like this in my manual trading, but is seems doable in automated trading.

George
Author:  MichaelM [ Fri Jan 27, 2012 10:21 pm ]
Post subject:  Re: MM file - lot sizing file
Already PM'd Steve about it, but I don't see why one of us can't start the ball rolling! :)

When you look at the formula, it will automatically reduce/increase the lot size.
gaheitman wrote:
You make me think to : Do you guys think we could somehow adapt this formula in future EA's (for those with an auto MM module) ??
>> When a serie of winners : slightly increase the lot size, and when we start having a serie (2 or 3?) of loosers we significantly reduce the lot size.

Thx
Olivier
Author:  garyfritz [ Sun Jan 29, 2012 9:01 pm ]
Post subject:  Re: MM file - lot sizing file
gaheitman wrote:I read an article once (maybe in Technical Analysis of Stocks and Commodities?) about a technique where if you hit a certain draw-down level, you simulate your trades until you make back the drawdown with the fake trades. Then you trade live again. A variation of the equity curve trading Gary mentioned a few weeks (months now? :>) back.
Funny, I was just experimenting with an equity-curve filter this morning...

I've never had any luck with approaches like that, except in extreme cases where a system completely falls apart and loses steadily for a long time, then starts working again and wins steadily for a long time. In cases like that, the equity-curve filter (and I suspect the drawdown approach) shuts off trading near the start of the long losing period, and turns it on near the start of the long winning period, and everything is beautiful.

But most realistic systems have mixes of wins and losses. You spend too much time with the equity curve near the EMA of the equity curve, so you cross it too often. So you take the losing trade that drives your equity curve below the EMA, and now since you're below the EMA you don't take the winning trade that pops you back above the EMA again, ad nauseam. Those "take the loser but don't take the winner" events happen often enough that it kills your performance relative to just taking all the trades. I've tried all kinds of variants and they all have this basic problem.

Maybe there's a way to make it work, but I haven't found it.
Author:  TraderDesk [ Sun Mar 18, 2012 10:47 am ]
Post subject:  Re: MM file - lot sizing file
garyfritz wrote:
gaheitman wrote:
But most realistic systems have mixes of wins and losses. You spend too much time with the equity curve near the EMA of the equity curve, so you cross it too often. So you take the losing trade that drives your equity curve below the EMA, and now since you're below the EMA you don't take the winning trade that pops you back above the EMA again, ad nauseam. Those "take the loser but don't take the winner" events happen often enough that it kills your performance relative to just taking all the trades. I've tried all kinds of variants and they all have this basic problem.

Maybe there's a way to make it work, but I haven't found it.
I totally agree with you. What I would do is look at the strategy trading history to determine the percentage of times you went from a losing to winning trades including how many consecutive losses. From here you should be able to start to extrapolate a ratio that you could then apply to the above formula. Then I think it might work if the markets don't skew your ratio to often...
Author:  effluvium [ Mon Dec 17, 2012 11:10 pm ]
Post subject:  Re: MM file - lot sizing file
gaheitman wrote: This actually means you are risking more than 1% on many currencies. The following script illustrates this:

Code: Select all

  double TotalEquity = 10000;
  double PercentageRisk = 0.01;
  double StopSize = 500;
  double Lots = TotalEquity*PercentageRisk/StopSize;
  Print ("Actual Risk: EURUSD ",DoubleToStr(Lots*StopSize*MarketInfo("EURUSD",MODE_TICKVALUE)/TotalEquity*100,2),"%");
The output is:

Code: Select all

03:52:36 Util EURUSD,M3: Actual Risk: EURUSD 1.00%
03:52:36 Util EURUSD,M3: Actual Risk: USDCHF 1.09%
03:52:36 Util EURUSD,M3: Actual Risk: EURGBP 1.57%
03:52:36 Util EURUSD,M3: Actual Risk: USDJPY 1.30%
Which you will notice is the tickvalue as a percent. The good news is that the XXXNZD currencies are only costing you 0.82%. :D

George
George,

I just realize that the formula you put here for illustration as an example

Code: Select all

Lots*StopSize*MarketInfo("EURUSD",MODE_TICKVALUE)/TotalEquity*100
and after mathematic simplification Your formula becomes :

100* PercentageRisk * MarketInfo("EURUSD",MODE_TICKVALUE)

So we don't need here even the amount of the TotalEquity nor the StopSize. :lol: :lol: :lol:
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