[smurfki0808]

Expectancy and position sizing – Modules 22 and 23. Mainly notes to myself, but I’ve had some good learnings from these modules.

The last day or so I have worked my way through these modules, creating the Excel examples and crunching some numbers. This is a great process to work through. I can see far more clearly how my position sizing has got me into trouble. While I have used a couple of different position sizing methods for many years, I was basically OK, because of my low frequency of trades. However, in the last 18-24 months I’ve increased the frequency of trades, and the ensuing impact of lower % of wins and upto a 2% risk per position quickly ate into capital.

For the sake of the exercise, I went through all of my trades in the WTT and calculated positions based on volatility adjusted sizing (RF 0.001). Certainly, the losses from those more volatile stocks was reduced due to smaller $ allocation. But, occasionally, for the less volatile stocks, position size would have been bigger, meaning I missed out on higher $ profits. However, the outcome would have been a smoother ride and a smaller draw down.

Food for thought.

 

[smurfki0808]

Particularly relevant given our chat yesterday Nick, thanks, S

[smurfki0808]

Absolutely Nick. As of next week, I am on leave to focus on these outcomes. I’ll schedule a time. Thanks.

[smurfki0808]

I am at the stage in the course where I am thinking about trading systems and styles in Modules 19 and 20. To consider these more closely, I reread sections of “Market Wizards”, “Unholy Grails”, and “Successful Stock Trading – A guide to profitability”. My challenge is to find and define with the types of approaches that suit me. I already knew that longer term momentum strategies were one option, primarily because of the lower work load when working fulltime. But, I can now see why shorter term strategies like swing, or reversion should have a place in my package. The opportunity is to consider a version of these shorter time frame styles suit me and what key ideas I can work on to develop.

At the end of the day, control risk, cut losses short, let profits run, and stay in the game.

Feb 2023

Growth Fund: -2.5%
WTT: +1.3%
ASX MOMO: -10.4%

Total for month: -2.8%

[smurfki0808]

Excellent, good for you, great progress.

Currently +32C here, stay warm over there.

S

[smurfki0808]

Hi Vaibhav,

How are you doing? How is the snow level?
Are you making progress through the modules?

I’m in the looping sections now, and feeling the need to consolidate a bit. Craig’s coding style is very neat. I like it a lot.

Cheers

Sean

[smurfki0808]

Hi Vaibhav,

Certainly is good to have someone at the same stage. Back in 2006, I worked for a while in Lethbridge
AB. Which province are you in?

I am still finding my way around the forum and learning how it works. Each person seems to have their own ‘journal’ page where they post their progress. We can always connect through here.

I also have read Nick’s books, and quite a few others on systematic trading. I’m keen to learn how to code these strategies and find the ones that suit me best. There is plenty to learn.

How are you going setting up Amibroker and Norgate Data?

Kind regards,

Sean

[smurfki0808]

Hello Vaibhav,

Welcome to the program! Great to have a fellow newbie! I started a couple of weeks ago and making my way.

S

[smurfki0808]

Thanks Nick, I will check-in soon. Cheers.

[smurfki0808]

Thanks Julian. For sure, the worlds best tennis players lose just under half the points they play. A great analogy for a trading mindset.

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