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Well...whenever you are talking money management within TS2000i, you must
distinguish between POSITION vs. CONTRACT basis.
In fact, in TS2000i there are internal system variables that are used in the
"built-in" money management stops with signals provided by Omega:
If PositionBasis......
Else If ContractBasis....
I believe this concept just makes the whole arena of stoploss and
excursion/loss logic just that more complex.
Which one do you use....when ?
Anyone care to write an article on this ?
> -----Original Message-----
> From: Gary Fritz [mailto:fritz@xxxxxxxx]
> Sent: Wednesday, July 19, 2000 10:01 AM
> To: Jess O'Leary
> Cc: omega-list@xxxxxxxxxx
> Subject: Re: Position sizing thoughts ...
>
>
> > >> AccountRisk = NetProfit * RiskPercent;
> > >> Num = AccountRisk / WorstCase;
> > >> If Num < 1 then Num = 1;
> >
> > You summed up my confusion exactly when you said that the worst
> > case loss is per contract, not for the entire trade. Look at the above
> > code. If Num relies on the WorstCase value, and the WorstCase
> > value relies on Num, then how could you code this scenario?
>
> No, WorstCase doesn't rely on Num. WorstCase is the worst-case loss
> PER CONTRACT.
>
> Let's say you have a NetProfit of $100k, a RiskPercent of 3%, and a
> worst-case per-contract loss of $500. Then:
>
> AccountRisk = $100k * 3% = $3000
> So you can risk $3k on one trade.
> Num = $3000 / $500 = 6
> Given a $500/contract worst loss, you can trade 6 contracts.
>
> Does that help?
> Gary
>
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