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Mark:
The number of contracts have already been normalized, which in effect is like
setting them to the price of gold, though I have used a fixed dollar amount and
an average true range for each commodity in the equation.
Hmm..well, I guess I am asking...how much margin on a fixed portfolio
should be used? Obviously, if you are trading $1mill in capital, you don't use
all of
it in capital. If the drawdowns are acceptable, do you do something like take
three times the max drawdown and then use the rest for margin?
Tim
Mark Brown wrote:
>
> Timothy Morge wrote:
>
> > The question is: If you have already determined how to relate each
> > commodity, so
> > that the risk asociated with each trade is set to an equal amount, how
> > do you
> > decide how trade size? For example, suppose that when you do your
> > equivalent
> > units, you find:
>
> Easy normalize all the contracts to the value of GOLD! Use this as your
> basis for the value and contract size of all you trade. I believe that
> is what your asking?
>
> > I hope this makes some sense.
>
> It doesn't, but thanks for trying, mb
>
> > Best,
> >
> > Tim Morge
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