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<!--[if gte mso 10]>
Murray,
I’m trying to figure out a way
to handle position sizing by using the concept of units, as developed by the Turtles. First, I’d like to recap the concept, as far
as I understood it.
If I have a starting capital of USD 100,000 and I set my risk at 2% of
my equity, then I can bet USD 2,000 on my trade. The Turtles called that 2% risk (2,000 USD in my
example) a unit.
That determined how many contracts they could buy/sell at one time. They
used ATR to determine it. So if you have an ATR of 425 and
a limit of 2*ATR, your contract risk is 850. With a trade risk set at 2,000 USD
you can trade (2000/850) = 2.35 contracts (2 contracts actually, rounded down to the nearest integer). That 2
contracts represents 1 unit. Turtles were allowed to add to their position in any
single market up to 5 units.
So what could be the code to have as many contracts as possible in my
unit as determined by a SetTradeRisk instruction, but limit my open postion to
a pre-set number of units? If I have a
parameter that says e.g. MaxContracts = 5, that will limit the number of
contracts. If I set TradesAllowed = AllOrders, I have a pyramiding
effect, but I have no control on how many trades I have in my open position on
each market.
Any suggestion?
Incidentally, does your Super Turtle System follow this concept?
Thank you
Marco