NexusFi: Find Your Edge


Home Menu

 





Probability (size) calculator


Discussion in Psychology and Money Management

Updated
      Top Posters
    1. looks_one kremat0r with 3 posts (1 thanks)
    2. looks_two chipwitch with 2 posts (2 thanks)
    3. looks_3 hibanzai with 1 posts (0 thanks)
    4. looks_4 ondafringe with 1 posts (1 thanks)
    1. trending_up 1,290 views
    2. thumb_up 4 thanks given
    3. group 5 followers
    1. forum 6 posts
    2. attach_file 0 attachments




 
Search this Thread

Probability (size) calculator

(login for full post details)
  #1 (permalink)
 kremat0r 
Prague, Czechia
 
Experience: Intermediate
Posts: 69 since Jan 2019
Thanks Given: 12
Thanks Received: 58

Hello forum,

I'm looking for a calculator for position size based on probability of success on specific strategy.

I need to know what's the probability of let's say 10 losses in raw if strategy have 40% success rate.

Does someone knows that kind of tool?

Or maybe excel formula ?

Thanks

Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
ISO Equity Curve Indicator
NinjaTrader
Request for MACD with option to use different MAs for fa …
NinjaTrader
Trader Dale [email protected] or Scammer Dale
Trading Reviews and Vendors
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Tao te Trade: way of the WLD
30 thanks
GFIs1 1 DAX trade per day journal
28 thanks
Supertradersams Thread Journal on NQ/MNQ
25 thanks
Deaddogs Stock Trading
22 thanks
Leaving CFD trading and learning futures
11 thanks

(login for full post details)
  #2 (permalink)
 
chipwitch's Avatar
 chipwitch 
Nashville, TN
 
Experience: Beginner
Platform: NinjaTrader
Broker: NinjaTrader, Continuum Data
Trading: MES for now... baby steps
Posts: 322 since Feb 2022
Thanks Given: 230
Thanks Received: 631


kremat0r View Post
Hello forum,

I'm looking for a calculator for position size based on probability of success on specific strategy.

I need to know what's the probability of let's say 10 losses in raw if strategy have 40% success rate.

Does someone knows that kind of tool?

Or maybe excel formula ?

Thanks

Not exactly what you're asking for, but risk of ruin helps you determine what your position size should be.
https://2ndskiesforex.com/risk-of-ruin-calculator/

With that, you plug in the position size to determine risk of ruin rather than it telling you your position size. There's probably a risk of ruin calculator somewhere that will do that.

This link discusses the different formulae for calculating risk of ruin. You could use that in excel. https://tradingtact.com/risk-of-ruin/

Reply With Quote
The following 2 users say Thank You to chipwitch for this post:
(login for full post details)
  #3 (permalink)
 kremat0r 
Prague, Czechia
 
Experience: Intermediate
Posts: 69 since Jan 2019
Thanks Given: 12
Thanks Received: 58


Thank you for you help

It wont help me, because Im developing a strategy without fixed profit in tick.
Target is hit in 40% trades, RR seems to be something around RR 1/2.2
In half year back test longest loosing streak was 6 times in row.

I just want to know probability to set proper size.

Started this thread Reply With Quote
(login for full post details)
  #4 (permalink)
 
chipwitch's Avatar
 chipwitch 
Nashville, TN
 
Experience: Beginner
Platform: NinjaTrader
Broker: NinjaTrader, Continuum Data
Trading: MES for now... baby steps
Posts: 322 since Feb 2022
Thanks Given: 230
Thanks Received: 631


kremat0r View Post
Thank you for you help

It wont help me, because Im developing a strategy without fixed profit in tick.
Target is hit in 40% trades, RR seems to be something around RR 1/2.2
In half year back test longest loosing streak was 6 times in row.

I just want to know probability to set proper size.

Oh! I misunderstood! That will depend on the number of trades you do. The more trades you do, the higher the probability of getting 10 losers in a row. Here's a pretty good link I think you're looking for: https://www.winningedgeinvestments.com/posts/the-mathematics-runs-of-outs-or-losing-streaks

Reply With Quote
(login for full post details)
  #5 (permalink)
ondafringe
Albuquerque, NM, USA
 
Posts: 124 since Jul 2012
Thanks Given: 87
Thanks Received: 117


kremat0r View Post
Thank you for you help

It wont help me, because Im developing a strategy without fixed profit in tick.
Target is hit in 40% trades, RR seems to be something around RR 1/2.2
In half year back test longest loosing streak was 6 times in row.

I just want to know probability to set proper size.


I haven't used this, but had it bookmarked:

https://www.daytradinglife.com/trading-spreadsheets/losing-streak-probability-calculator/

Reply With Quote
The following user says Thank You to ondafringe for this post:
(login for full post details)
  #6 (permalink)
 kremat0r 
Prague, Czechia
 
Experience: Intermediate
Posts: 69 since Jan 2019
Thanks Given: 12
Thanks Received: 58



This looks good, I need to play with it.

Thanks!

Started this thread Reply With Quote
The following user says Thank You to kremat0r for this post:
(login for full post details)
  #7 (permalink)
hibanzai
MONTREAL CANADA
 
Posts: 6 since Aug 2022
Thanks Given: 0
Thanks Received: 1

If you want to think about risk in general terms rather than a formula or excel sheet, some Nassim Nicholas Taleb books are worth reading. Provides for a compelling way of seeing risk in not just financial markets but in general.

Reply With Quote





Last Updated on October 5, 2022


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts