Need input on max position size

[Q.E.D.]

What is the highest risk I can take with a strategy with the following metrics:

Win/loss ratio: 79%
Profit/loss ratio: 0.66
Longest losing streak: 2
Worst losing DD sequence: L-L-W-L-L

How hard can one run this without blowing up.

Just a little bit of reality: Nobody in the known universe, has a win/loss ratio of 79% for other than small sample, short time period, or, in most cases, an outright lie. I'm not suggesting you are lying, but over decades, those are the likely causes. The top traders in the world, over long time periods, typically are correct on only 30-40 % of their trades.

Extremely short term traders, like 1 - 5 minutes, may have a higher W/L, but still unlikely 79%.

 

[deaddog]

Just a little bit of reality: Nobody in the known universe, has a win/loss ratio of 79% for other than small sample, short time period, or, in most cases, an outright lie. I'm not suggesting you are lying, but over decades, those are the likely causes. The top traders in the world, over long time periods, typically are correct on only 30-40 % of their trades.

Extremely short term traders, like 1 - 5 minutes, may have a higher W/L, but still unlikely 79%.

Then you have the long term traders who don't have a loss until the stock is sold. They have a portfolio full of junk but a fantastic win ratio.

 

[virtusa]

The top traders in the world, over long time periods, typically are correct on only 30-40 % of their trades.

Irrelevant as you compare apples with oranges.
Top traders trade big size, so they cannot quickly switch their positions.
A good daytraders beats these top traders every time, but on much smaller size. That's the main reason they can beat them.

 

[Global OptionsTrades]

@bln check out Kelly Criterion.

Just a little bit of reality: Nobody in the known universe, has a win/loss ratio of 79% for other than small sample, short time period, or, in most cases, an outright lie. I'm not suggesting you are lying, but over decades, those are the likely causes. The top traders in the world, over long time periods, typically are correct on only 30-40 % of their trades.

Extremely short term traders, like 1 - 5 minutes, may have a higher W/L, but still unlikely 79%.

Nothing wrong with 79% win/loss ratio if returns are low. Obviously as profit target increases, win/loss ratio is likely to decrease.

OP's 66% P&L - if I've understood correctly - 79% of the time is admirable.

 

[murray t turtle]

Just a little bit of reality: Nobody in the known universe, has a win/loss ratio of 79% for other than small sample, short time period, or, in most cases, an outright lie. I'm not suggesting you are lying, but over decades, those are the likely causes. The top traders in the world, over long time periods, typically are correct on only 30-40 % of their trades.

Extremely short term traders, like 1 - 5 minutes, may have a higher W/L, but still unlikely 79%.

%%
Mostly true\ but he can probably beat 30-40%.Mr Cohens Funds trrders may do 60%.
LONGEST lose streak is most likely/ to be much/ much more than 2/unless its 2 years.

 

[bln]

Decide on doing an little experiment for the fun of it. Did setup a small "slush pool" of $12k using some previous winnings.

I'll let the trading model be in full charge of managing this pool of cash using full Kelly position sizing to see how it goes with the two possible outcomes of either crash-and-burn into the ground or take off into the air.

The strategy will risk a whopping 47.47% of account equity on each trade being made.

Place your bet.. will it obliterate the $12,000 or not.

 

[murray t turtle]

Decide on doing an little experiment for the fun of it. Did setup a small "slush pool" of $12k using some previous winnings.

I'll let the trading model be in full charge of managing this pool of cash using full Kelly position sizing to see how it goes with the two possible outcomes of either crash-and-burn into the ground or take off into the air.

The strategy will risk a whopping 47.47% of account equity on each trade being made.

Place your bet.. will it obliterate the $12,000 or not.

%%
I dont make predictions about markets\
but risking 47.47% is very likely to be thrilling or very spilling/LOL. Even if you risked that 47.47% in SPY, it would underperform most for sure, since most better /best long mutual funds risk high 90's %.
Whopper % on most anything but spy.

 

[Cabin111]

Are these equities or options?? If they are equities, I'll take that bet!!

My thoughts are concerning equities, money has already moved into safety (ADM has tripled since the start of the pandemic). Also, interest sensitive stocks have already dropped.

If it is options...I won't take the bet. Much more downside for interest sensitive or large employment companies (Verizon, A T & T, Amazon)...Unions are pissed with inflation.

Prove me wrong...Hemingway "Guts was grace under pressure".