POSITION SIZING - OVERNIGHT TRADING

[Marco Simioni]

I am Marco, I trade futures overnight, at https://nightlypatterns.wordpress.com/
I’m writing this research post because I’m facing a really difficult problem: night SPY range follow VIX values. With high VIX values we see high average gain or loss during the night and viceversa with low VIX values. I made the backtest from 1993 to present. The table starts with VIX value at the close. I split the numbers in 5 VIX points intervals. The AW and AL (average winning and average losing) in % grow from minimun 0,08% (AW first number) to a maximum value of 3,35% when VIX is greater than 80 at the close. I’m asking if it’s better to adjust our number of future contracts or future margins? Or is it better to simply bet the same number of contracts each night with the same margin too? I really don’t know… If you’ve got any idea just write…
<>NT%WPFAWALMAXMIN
1004250,190,08-0,140,08-0,34
<>NT%WPFAWALMAXMIN
151094954,581,190,21-0,211,16-1,23
<>NT%WPFAWALMAXMIN
201583154,871,170,34-0,351,9-2,03
<>NT%WPFAWALMAXMIN
252042154,871,140,48-0,512,91-2,68
<>NT%WPFAWALMAXMIN
302519856,571,110,62-0,732,68-3,67
<>NT%WPFAWALMAXMIN
353010153,471,070,89-0,965,52-2,94
<>NT%WPFAWALMAXMIN
40355156,861,030,89-1,142,59-2,9
<>NT%WPFAWALMAXMIN
45405255,771,120,95-1,064,09-3,14
<>NT%WPFAWALMAXMIN
504530500,761,06-1,392,65-2,89
<>NT%WPFAWALMAXMIN
555015601,331,55-1,743,31-2,77
<>NT%WPFAWALMAXMIN
60551442,861,032,28-1,664,71-2,86
<>NT%WPFAWALMAXMIN
6560922,220,241,77-2,072,67-4,34
<>NT%WPFAWALMAXMIN
706512500,982,07-2,16,07-8,32
<>NT%WPFAWALMAXMIN
7570366,673,162,66-1,683,02-1,68
<>NT%WPFAWALMAXMIN
8075100#DIV/0!-1,230-1,23
<>NT%WPFAWALMAXMIN
85802100#DIV/0!3,35#DIV/0!4,040

 

[xandman]

Your the guy with the Futures Truth Review. You should be telling us! This seems like a blatant plug. I think you could have contributed to a few threads before the plug.

Do a histogram of your VIX intervals. Find a the range you can have a reliable amount of action. Apply the commonly known sizing methods. Perhaps discover a filter based on skew. Publish your results to ET.

If your trying to marry the convexity in the VIX and the convexity in leveraged returns, they are 2 different animals.

 

[Marco Simioni]

Thank you for your reply, I'm quite new to the forum, you're right.
It is clear from the data how much different are the nights with low VIX values from the ones with high VIX values. You are right, I will post the graph.
I was asking because they are so different, like ten times different, and trading 10 contracts one time, and 1 contract when VIX is high, is not so easy.