|
PureBytes Links
Trading Reference Links
|
Jean Jacques
Based on all of our history (many years), we have a fairly good idea as to
the probability of success or failure of our trades. Using these numbers,
we do, in fact, put 33% of our capital into initial margin when trading S&P
futures.
Now, my brother used the Balsara book and applied our historical trading
results, and came up with a recommended level of investment (33%), which
will keep the risk of ruin at 0% (which is all I'm prepared to risk).
Again, I'm ordering my own copy of the book so that I might sound a little
more enlightened. :)
We are prepared to lose 100% of our initial margin in any trade, and in fact
our trade ending in early April did just that plus a little.
Now I have a couple of questions.
Why do you say that initial margin is irrelevant in calculating risk of
ruin? What other number would you use? In trading futures, and knowing you
have a historical tract record over many years so you're not dealing with a
strictly random sequence of events, how would you determine risk of ruin?
Again, I'll have to refer to one of my other posts where I delineated my
thoughts in more detail.
Guy
Paranoia...you only have to be right once to make it all worthwhile!
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]On
Behalf Of Macromnt@xxxxxxx
Sent: Monday, July 10, 2000 5:44 AM
To: metastock@xxxxxxxxxxxxx
Subject: Re: Risk of ruin, amount per trade formula?
Guy,
I don't get it: what do you mean when you say that you used to be "investing
50% of our capital" and now that you are investing only 30%? Do you mean
that
on each tarde you were ready to lose 50% of you capital? or you were putting
50% of your capital in initial margin (which is irrelevant to calculate the
risk of ruin).
Jean Jacques
|