Profitable traders how much do you risk per postion?

[cnms2]

I did a quick calculation:

Kelly = 0.58 - 0.42 * 37,820.56 / 33,473.21 = 10.5%

Quote from spike500:

I don't think Larry Williams has low risk percentages.

Larry Williams’ super performance in 1987 made me curious. So I loaded all his 1987’ trades in an excel and came to the following information:
Number of trades: 308
Winning trades: 179 (58%) for an amount of 5,991,704.35 $
Losing trades: 129 (42%) for an amount of 4,878,852.65 $
5 draw downs of over –30%
2 draw downs of over –60%
1 draw downs of over –75% (maximum draw down was – 78.45%)

 

[gbos]

Quote from cnms2:

It depends how many 2% risk positions you have opened simultaneously.

3 times 2% = 6% is ok
10 times 2% = 20% is probably not ok; it depends on your system
30 times 2% = 60% is definitely financial suicide.

In general yes. The trick is that there are strategies with offsetting positions so the absolute risk is 60% but the real risk is much smaller.

Anyway Larry Williams equity curve seems toï aggressive for my taste .

Regards

 

[PitchBlack]

Quote from cnms2:

Thanks! This is very interesting. I've read that at some point he was up more than $2 mils, and lost about 40% to end up still as the winner. Could you share Larry's trade list? I'd like to see how he was sizing his positions.

Here you can see the original statements from his broker:

http://www.adest.com.au/larrywilliams/world_cup_championship.htm

He traded different markets at the same time. Normally this results in a less choppy return. So perhaps he would have wiped out his account by only trading 1 market when he had his draw down of over 75 %?

 

[PitchBlack]

This is the data from Larry Williams in an excel sheet

 

[cnms2]

Thanks!

I noticed one loss of 56.7% and several smaller losses above 20% ... I guess he was applying some variable risk money management method.

Quote from spike500:

This is the data from Larry Williams in an excel sheet

 

[nononsense]

Quote from cnms2:

Thanks!

I noticed one loss of 56.7% and several smaller losses above 20% ... I guess he was applying some variable risk money management method.

as u insist, must have been MM of the "variable kind"


PS: he seems to have since switched his bread & butter business preferring to "smooth" somewhat his equity curve

 

[cnms2]

What kind of position sizing are you using in your trading? On what trading vehicles?

Quote from nononsense:

as u insist, must have been MM of the "variable kind"

 

[nononsense]

Quote from cnms2:

What kind of position sizing are you using in your trading? On what trading vehicles?

Tell us a bit about yours.
I'm kind of a shy fellow. Wouldn't want to shine next to LW.

 

[PitchBlack]

Quote from cnms2:

Thanks!

I noticed one loss of 56.7% and several smaller losses above 20% ... I guess he was applying some variable risk money management method.

Watch the sheet again carefully:
5 times more than -30%
2 times more than -60%
1 time more than -75%

All that within 12 months of trading.

These drawdowns are unacceptable to any fund and to most investors.

 

[cnms2]

I was referring to single trade losses, not to drawdowns.

That 56.7% loss was amazing. On the other hand he couldn't have grown his account astronomically without risking heavily. He used a strategy to win the competition, and it worked that time.

Quote from spike500:

Watch the sheet again carefully:
5 times more than -30%
2 times more than -60%
1 time more than -75%

All that within 12 months of trading.

These drawdowns are unacceptable to any fund and to most investors.