I use Excel. I tried a few ones from google search but I did not like any of them. Most of them did not give me the 'creativity'. In fact the p.s algorithm were all set. You just choose which one to use. Excel gives me more freedom in this regard. I wish Mr Serenity would give us some comments here.. I wonder what software development kit he uses for Trendstat for his position sizing software....

Hi Van,

I currently use Tradestation and have written code to size the position based off of a constant $ risk. I am in the process of moving over to Neoticker (this solves many of the current issues and short comings of TS) which also will size positions based off of your parameters. If you would like to chat more about it feel free to email me.

Regards,

~ iso

IF:

(1) first you set some objectives, e.g., I want 20% annual returns with max -5% annual returns and max -10% peak-to-trough drawdowns.

(2) then you develop a system with positive expectancy and generate a bunch of trades (30+ minimum)

3) then simulate via sampling from the R-distribution that comes out of step (2) with various position sizing strategies to determine which position strategies maximize your chances of achieving the objectives in step (1).

THEN: I haven't seen any of-the-shelf software for that. Gotta write your own.

This might be a good topic for an article in TASC (Technical Analysis of Stocks & Commods.) magazine.

The outline would be simple - set objectives, provide R-distrib, run simulations.

The software vendors often write code for articles and this would be an EZ way to have that code written for all the major systems.

I will be using MetaTrader Expert Adviser module to write codes to handle my position sizing properly.

MetaTrader is a trading platform to trade currency mostly, but also do include a few commondities like gold/silver depending on the supported broker.

The software allows people with sufficient programming skill to design their own automatic trading problem and the language itself is quite easy to use and have fairly unlimited customisation options.

Backtesting via free historic data is also possible.

Thus, position sizing code can be specifically coded into a system and tested over historic date to check its efficiency. Though since I have not used the software yet, I'm sure data result can be extracted and graphed in excel, etc.

I will most likely be using it to test all my position sizing strategies.

Hi Van,

I have explored the use of "Equity Monaco" and found it valuable. It is a free product provided by TickQuest (creators of Neoticker software). It integrates with Neoticker, but it can also be run standalone, using simple text files as input - containing R-multiple data from sample trades. It has good reporting capabilities.

"Equity Monaco lets you easily conduct Monte Carlo Simulation for trading systems. Monte Carlo Simulation performs trial runs using combination of positions from your trading system and collects statistics. You can use the statistics to analyze the characteristics of your trading systems."

Additional information, including links to download the software, and a user manual are available at:
http://www.tickquest.com/product/equitymonaco.html

Thanks for sharing great trading wisdom here at SmartTraderBlog.

I simply use Excel with a data link from eSignal. In one datasheet I have a complete overview of my total portfolio with all my accounts, my capital allocation parameters and my risk parameters.
I have a simple set of rules for both capital allocation and risk; e.g. capital allocation to my futures trading portfolio is 10% of total portfolio and maximum margin requirement per trade is 1/15 of that trading portfolio.
As a proxy for risk I use the 14 day Average True Range of an instrument and/or a technical stop level. An additional rule is that maximum loss per trade is between 0.5 and 1% of the total capital, dependent on the type of trade, which equals 2.5*ATR. The position size is then determined by the maximum ATR per trade and the maximum margin requirement per trade. Similar criteria for my investment portfolio.
With the data link the parameters are constantly updated and directly available all the time.
I'd like to incorporate R-distribution in stead of ATR, but that's something for the future.