Intraday futures leverage

[illiquid]

I'd like to open a discussion about intraday futures leverage and how you all go about determining trading size.

It might be easier to have specific examples so let's assume the following:

1. Very liquid markets where your trading impact on prices is negligible and spread is almost always one tick (stock indices, treasuries, major currencies).
2. Intraday time frame only, no positions held overnight.
3. Assume that you will always be able to exit entire position at a given stop price (for discussion's sake).
4. You trade relatively infrequently with tight stops (5-10 ticks), averaging 2 or 3 entries a day.

You have an edge which has shown consistent profitability; it is just a matter of applying the capital when necessary. How would you determine the number of contracts to trade each time? Let's assume 100K account equity for example's sake. Give an example or two and how you come to that number; also explain your reasoning for not doing larger size than what you've determined, given the circumstances above. In other words, when do you cross the line in using too much leverage, and how do you find out where that line is?

 

[TWMPMM]

Van Tharp has some good stuff on position sizing. It basically involves risking a fixed percentage of ones account per trade. Using your 100K account in an example: Suppose your methodology called for an 8 tick($100) stop on the ES. If you risk 1% of equity per trade that would be $1000. 1000/100 = 10 contracts for your position size. Actually, your risk would be more than 1% due to fees, but you get the idea.

 

[Banjo]

There is so much bs re: this subject. It is all relative to the set of circumstances surrounding each participant. If a participant has a 30 million net worth EXCLUSIVE of the mkt and only has 300k involved in a futs account, 20 yrs experience including proffessional positions he is on a different page than the person with 50k working capital that represents everything he has and can't be easily replaced. The first thing one has to do is take an HONEST assessment of ones circumstances. Weak points, strong points, neutral points, where does one require improvement. Leave the strong alone, work on the weak. This should lead to how much of ones net worth should be in an account in the first place. That is what is really at risk as one will have a tendencey to go untill it's gone.
Now that we've found a # to put at risk consider NQ,ES, bonds will suck up 100 lots even during slo times. Volume not a problem.
Now the real question, do you actually have a viable system,
/ edge, if you do your accnt size and volume considerations will be rendered meaningless as the edge will work or your stop will get you out before losses dibilitate account size. It still comes down to YOU HAVE TO WIN, so much bs is passed around about losing slowly, that's just another way to lose. The game is simply not able to be played successfully by most. Sad but true. Some have a natural proclivity for it and some have found a way to stay alive but never really get to the payoff that the level of risk involved should mandate.
A bit more to the point re: size,we all have risk parameters that we are comfy with, not the bs intellectuallizing people do when considering % of accnts etc. If you have 5 mm $$ and are willing to lose 10% are you going to be shitting your pants at a 500k stop loss, you bet your ass you are, . Real money is not an intellectual exercise but an emotional one . You have to retrain yourself as you grow into more money in real dollar terms. Kills me , people talking about Lamborghinis etc, everytime you take a Lambo in it's going to be 3- 5K. 8k sq ft houses eat up more in heating , airconditioning, gardening bills than most of the country makes, let alone r..e tax. Bottom line, IT'S ALL IN OUR HEADS, EVERTHING, we are a point of perception that was trained into each of our pespective realities by our parents and environments, it's work to break the bonds, especially the ones we don't know are there until we knock our heads against them.
You never cross the line of too much leverage if you are who you would like to think you are when you do it. Ask George Soros re: the pound, do you know who you really are, GOT BALLS?
Illiquid, because I used the word you I don't mean you but all people who would like to play.
Geeze,that was rant, off to dinner and best of luck discovering yourselves.

 

[coolweb]

Once you have <b>confidence</b> in your system:


ES or NQ :
1 contracts .. learning
3 contracts .. progressing
5 ntracts .. advancing

10 contracts -> profitable one week
20 contracts -> profitable second week
40 contracts -> profitable 3rd week
80 contracts -> profitable 4th week
160 contracts -> profitable 5th week

Above 200 contracts -> you start moving markets..


Scaling is another explanation.

If you like to take it slow
double contracts every 2-3 weeks.
Probably take you 4-6 months to build up to 100 contracts strong.
I'm on contract 15.

Thats what I'm doing right now.
Never came into this trading game to make a living, /Only to make a fortune./

 

[jonnysharp]

Quote from coolweb:

Never came into this trading game to make a living, /Only to make a fortune./

same here, i have between 40 - 80% of available margin working around the clock. i focus heavily on diversification as a risk control and never risk more than 3% but ideally 2% per trade.