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Position Sizing when trading Forex FX


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  #11 (permalink)
 sburtt 
London, UK
 
Experience: Advanced
Platform: NinjaTrader
Trading: EUR/USD
Posts: 58 since Jul 2012
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sagetrade View Post
Which tools are your referring to?

if you search on this forum and the NT forum you will find code that allows you to incorporate Psize in you strategy

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  #12 (permalink)
 sburtt 
London, UK
 
Experience: Advanced
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solotrader View Post
I thought for standard lots the pip value is constant. At least I have not seen any change in for EUR/USD

Your getting confused, when talking about FX we are not talking of FX Futures, hence there are no lots, but you can trade a notional amount that can defer from standard lot size

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  #13 (permalink)
Pippi
Vienna Austria
 
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baruchs View Post
My calculations should work in BT too.
I don't use it because I don't see an advantage in it.

For position-sizing yes, but the PnL in the performance-report and subsequent performance-stats will still be based on whatever is set as big-point value in the instrument manager - unless i am missing something here.

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  #14 (permalink)
 sburtt 
London, UK
 
Experience: Advanced
Platform: NinjaTrader
Trading: EUR/USD
Posts: 58 since Jul 2012
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Pippi View Post
For position-sizing yes, but the PnL in the performance-report and subsequent performance-stats will still be based on whatever is set as big-point value in the instrument manager - unless i am missing something here.

you can always create a DataSeries and convert the Term amount in Base amount by dividing this by the ExitPrice of the last trade, that is a stored value, hence you can do it, it's complex but feasible

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  #15 (permalink)
Pippi
Vienna Austria
 
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sburtt View Post
you can always create a DataSeries and convert the Term amount in Base amount by dividing this by the ExitPrice of the last trade, that is a stored value, hence you can do it, it's complex but feasible

I dont understand. I can store values in a DataSeries - but how would this affect PnL reporting/performance stats? Or do you mean i should adjust the trade-quantity so that it results in the correct PnL?

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  #16 (permalink)
 sburtt 
London, UK
 
Experience: Advanced
Platform: NinjaTrader
Trading: EUR/USD
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Pippi View Post
I dont understand. I can store values in a DataSeries - but how would this affect PnL reporting/performance stats? Or do you mean i should adjust the trade-quantity so that it results in the correct PnL?

we might be talking 2 different things here, but what i mean is this:
assume you start trading with an account size of 100k USD and you want to risk 1% per trade and we trade USDJPY to determine the first trade position size is not a problem, that will be 1000$, however assume the first trade return a profit of 50k JPY. Now by storing a database with past trades you can retrieve both the pnL in JPY terms and entry and exit rate, so dividing the 50k pnL by exit rate you get the pnL in USD that you can sum to your initial capital and compute the next position size for the next trade

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  #17 (permalink)
Pippi
Vienna Austria
 
Posts: 8 since Jul 2013
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Ah i see what you mean.

What i meant was, when i run a backtest in the StrategyAnalyzer, i would like to have the correct PnL show up in the Trades-tab(and all other tabs/graphs) in USD for every pair.

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  #18 (permalink)
 sburtt 
London, UK
 
Experience: Advanced
Platform: NinjaTrader
Trading: EUR/USD
Posts: 58 since Jul 2012
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Pippi View Post
Ah i see what you mean.

What i meant was, when i run a backtest in the StrategyAnalyzer, i would like to have the correct PnL show up in the Trades-tab(and all other tabs/graphs) in USD for every pair.

That will not be possible

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Last Updated on August 2, 2013


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