I'm running into issues position-sizing a futures strategy in a $100K portfolio (typically has between 2 and 8 future symbols at any time, holding period is 4-6 days), because
- although I initially limited to 1 share/contract per trade (with stop losses), but a series of bad trades drive drawdowns of -60% or so (not acceptable)
- can't use Drawdown-based down-sizing (from the MS123 Sizers), because i can't reduce the share size <1.
- can't use Max Percent Risk for the same reason - it can't reduce the size <1.
- can't use Max Daily Entries to 1 because it may still open multiple bad trades over the next 3 days, and it persists throughout the simulation - i want to remove this restriction once i reach an equity size.


1) Please suggest a suitable work-around for managing futures drawdowns in early stages - one option is to limit Max Daily Position to 1 until equity grows or after N bars - is this sizer available?

2) If Max Risk Percent is usable for futures, pl suggest the formula for the RiskStopLevel at 2% of overall equity, that uses the PointValue, Equity Size .. my sense is it would be too close to p.EntryPrice (for $100K) and the strategy won't perform.

thanks
Kiran

What does this mean: "it can't reduce the size <1"? Why is this not acceptable to you? How can you trade less than 1 contract?

My default position size is 1 contract/position and the strategy (on daily bars) has between 2-8 positions open at any time. Problem is drawdown is too high (>60%) in the first year (starting equity is $100K). But once the equity curve grows to about $200-300K, the drawdown % is acceptable.

Since i cant reduce position size, what else can i do to mitigate the max DD% in the first year?
- Can i limit the # of open positions or skip trades until the equity curve is <250K or in the first 1-2 years? How? I looked at Position Options http://www2.wealth-lab.com/WL5WIKI/psPositionOptions.ashx but it doesnt let me change the option after the equity has grown to 250K or so.

Thx
Kiran

You might want to try the Fixed Ratio PosSizer, namely the option to fall back on fixed fractional when drawdown gets deeper than a preset %.

Also, Drawdown / Runup and Control Drawdown PosSizers.

In Fixed Ratio,
- Does increasing Net Profits by Delta increase the "Total Contracts in Portfolio" or Contracts per Position" by 1? It's not very clear in the documentation. Seems like it's Contracts per Position, because all my positions increased from 1 to 2 starting some date in my backtest.
- Also, it seems like Fixed Ratio cannot control the Total # of Positions, which defeats the purpose of the Delta - if the strategy opens 8 positions on average in a small equity portfolio, as soon as $10K of Net Profits are added, the positions would double to 16, which makes it very risky. Controlling max positions as a function of equity seems important and the strategy code can't control this either.

-> Please correct me if i've misunderstood Fixed Ratio.


Drawdown/Runup and Control Drawdown seem to have the same limitation - while they control position size (contracts/position), they can't control total positions in the portfolio.

thanks
Kiran

QUOTE:
- Does increasing Net Profits by Delta increase the "Total Contracts in Portfolio" or Contracts per Position" by 1? It's not very clear in the documentation. Seems like it's Contracts per Position, because all my positions increased from 1 to 2 starting some date in my backtest.

It's contracts per position.

QUOTE:
Drawdown/Runup and Control Drawdown seem to have the same limitation - while they control position size (contracts/position), they can't control total positions in the portfolio.

Then I think you'll need to roll out a custom PosSizer following the documentation and example:

1. Manual: Wealth-Lab Version 6 (.NET) Development Guide > Create a PosSizer
2. Code sample: Home - MS123.PosSizers

In Position Options sizer, I tried setting Max Positions=4 (for max 4 futures contracts in the portfolio). However, the equity curve shows upto 11 contracts.

Is the Max Positions refer to # of positions/symbol or total # of positions in the portfolio?

thanks
Kiran

You forgot to press the button to enable the option. Just typing in a number is not enough.