Cut loss size

Portfolio Risk 2% 1
2
10
cut loss 9
20,000 1 10
200,000 ( )

Portfolio Risk = 1,000,000 * 2% = 20,000
Size
1. Cut loss 10 9 = 1
2. 1 Port risk = 20,000
3. 20,000/1 10 = 200,000
4. Port risk/ *

5. Port risk/
=
Turtle trader
N Average True Range (
!! )

 trade-position-size-calculator http://free-trade-position-sizecalculator.lastdownload.com
Position Sizing
Turtle trader Position size
position
Turtle
trader
Posiotion Size

Position
Position Size







Volatility and Meaning of N N
Turtle trader Richard Dennis Bill Eckhardt N
( N cut loss )
N 20 days Moving average Simple True range (
) ATR( Average true range ) N

ATR

ATR
True range = Maximum(H-L,H-PDC,PDC-L)


H = High
L = Low
PDC = Previous days close
_________________________
N
N = (19 * PDN + TR)/20

PDN = Previous days N N

TR = True range ( )
N
N N Position Size 20 days
Moving average simple True range (
Metastock indicator : ATR 20 )

Turtle trader
Peak and Through
Dollar Volatility adjust ( )

Position Size

N
( 1 1 )

Dollar Volatility = N * Dollar Per Unit

1 1000 N 10

10000 10 1N

10 N 1 cut loss
Volatility

Volatility adjust position unit ( Position )

Unit Size (= 2% * Portfolio Value) / N * Dollar per point
N portfolio 1,000,000 2% 20,000
N ( N Stop loss ) 10
N 1 Cut loss 9 20,000 N=1 unit
20,000

10*20,000 = 200,000

Turtle trader Position size

Cut loss cut loss trend line Position
Size Turtle trader Volatility
Price shock

The importance of Position Sizing ( Position Size )

Port
Risk/Reward
Turtle Trading System Volatility
( 2)

 portfolio
option , future commodity contract position size

Unit Size = 1% of account / N * dollar point
N

1 point 5,000 N 14.5 14.5 * 5000 = 72,500
2% port 1,000,000 = 200,000
200,000 / 72,500 = 2.75862 2 contract

Performance Turtle Trading System

1990-2003 (
U.S )
Unit as a measure of risk (Unit )
Turtles unit Position size unit
unit port

Turtles unit
port Losing period Drawndown
panic
Black monday

Portfolio
limit

LEVEL
TYPE
MAXIMUM UNITS
1- 4 Units
2- 6 Units
3- - 10 Units
4- Long-Short 12 Units
* Sector Sector

Unit future

Adjusting Trading Size ( )

Trend trader
Sideway !

Turtle

Richard Dennis
Turtle Trader 20% portfolio
port 10% 1,000,000 10% 900,000
port 800,000 10% port 640,000

Drawn down period

Method port
Performance

-The Turtle
Turtles

(short) initiate
position Entry


The Turtles
Signal

The Turtles Trader

Turtles 2
Donchians Channel Breakout System

-


-
Donchians Channel Breakout System Richard Dennis
2 System 1 System 2 Turtles

System 1 -
Breakout 20
System 2 -
Breakout 55
.
(Breakout)
( Breakout)
20 days Breakout
20
Turtles (Buy) (short) Position

-

(Gaps)

(Note: - (Initiate Position)

(Buy)
(Short)
Turtles long & short
Long Short ( Entry Exit
signal ))
..
System 1
- - 20
- 1 Unit( Unit Position Sizing Turtles
)
System 1

System 1


Stop 2N (
Position Sizing )
System 1
55 days Breakout 55 days Breakout Failsafe
Signal





20 days Breakout
Error




55 days Breakout
.
System 2
Turtle - 55 (tick)
1 Unit 55 1 Unit
55 (Short) 1 Unit

Significant Breakout PSL

Cyclical

 Adding Unit
Turtle Traders
Anti-Martingel System
Position

Turtle Traders

..
Position Adding Units
Turtle Traders

20 Average true range N (
Position Sizing )

Turtle Traders
N Breakout 20 N 0.4 Turtle
Traders 20

20.4
20.2 20.6

Position Position
sizing Money Management

4-5 Original Turtle Trading
Rules

..
Gold
N = 2.50
55 Breakout 310

. 310.00
..310.00 + N 311.25
..311.00 + N 312.50
312.50 + N 313.75


..

Turtle Traders

Trend Following Turtle Traders

Winning Ratio
2-3

Stop

..
Turtle Traders N

..

Turtle Trader

(
Record
:))

..
Turtle Trader

 Turtles

Turtles
Position

..
Turtle Traders
Turtles Position
2%
ATR N 1N = 1%
2%
2N 2N
Position
N
Position 2N (
Position N )
N Gap

..
( )

N = 1.20
55 days Breakout = 28.30
. ..
28.30. 25.90
. ..
28.30. 26.50 ( N )
28.90.26.50
. ..
28.30. 27.10 ( N )
28.90.27.10 ( N )
.29.50.27.10
..
28.30. 27.70 ( N )
28.90.27.70 ( N )

 .29.50.27.70 ( N )

.30.10..27.70

..

..
28.30. 27.70 ( N )
28.90.27.70 ( N )
.29.50.27.70 ( N )

.30.10..28.40

..
Stop

Turtle traders

Stop
Ratio Win/loss percentage (
) The Whipsaw

2% 0.5%
N N

The Turtle

Position

2%
Position 4 .

 Stop The Whipsaw

N = 1.20
55 days Breakout = 28.30
. ..
28.30. 27.70
. ..
28.30. 27.70
28.90.28.30
. ..
28.30. 27.70
28.90.28.30
.29.50.28.90
..
28.30. 27.70
28.90.28.30
.29.50.28.90

.30.10..29.50

N
Whipsaw ( )

Turtles
N 20 days Moving Average True Range
N N
Position Size 2% Position
N
N