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

kremat0r 

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://2ndskiestrading.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/

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.

kremat0r 

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

kremat0r 

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/

ondafringe 

I haven't used this, but had it bookmarked: https://www.daytradinglife.com/trading-spreadsheets/losing-streak-probability-calculator/

This looks good, I need to play with it.

Thanks!

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.