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ariel

Position Sizing

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Hello, I've been reading about the art of position sizing and many people say that is the only "holy grail" of trading.

 

I recently found the articles writed by the Dr. Van Tharp.

 

Does anyone read his books? Are they as good as I heard?

 

I specially interested in his book "The definitive guide to position sizing", I tried to download but I couldn't do it. If someone has the book in pdf, please let me know where you found it

 

Thanks.

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Hello, I've been reading about the art of position sizing and many people say that is the only "holy grail" of trading.

 

I recently found the articles writed by the Dr. Van Tharp.

 

Does anyone read his books? Are they as good as I heard?

 

I specially interested in his book "The definitive guide to position sizing", I tried to download but I couldn't do it. If someone has the book in pdf, please let me know where you found it

 

Thanks.

 

ariel,

 

How about just buying? If it's really the "holy grail" you may regret, to be miserly about the $150...

 

Regards,

idetsc

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Hi Ariel,

 

His books are even better than you heard.

I bought the book "The definitive guide to position sizing" directly from IITM, as soon as it was released.

If you're really interested in position sizing (and you should!), this is a MUST-READ book.

It's definitely worth the money!

 

Also his other books give refreshing insights.

 

Regards,

bmistiaen.

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Greetings --

 

I have Dr Tharp's books, including "Definitive Guide to Position Sizing." I also have Ralph Vince's books. There are five of his, the most recent being "The Leverage Space Trading Model." All of these are worth reading. I have exchanged friendly and constructive correspondence with both gentlemen.

 

Both Tharp and Vince begin with the assumption that the system being traded is healthy and always remains healthy. They also both work with single backtest runs or distributions, and with single mean and standard deviations. From those initial conditions, they develop position sizing procedures.

 

I have written a book, "Modeling Trading System Performance," that extends the work of Tharp and Vince. It includes discussion of methods for determining whether a trading system is healthy or is broken, which I believe is extremely important -- perhaps most important. If a system is broken and trading continues, a loss of money will result. My book discusses specific statistical tests that can be applied to help answer that question. The confidence you have in the result depends very much on the distribution of the trades, or of the periodic changes in equity. There is a discussion of the characteristics of trading systems that lend themselves to making these tests most valuable.

 

I discuss distribution of trading results, which can be actual trades, out-of-sample test results, in-sample test results, or any distribution you want to analyze. Based on the distribution, analyze the probability of drawdown. Compare the drawdown that can be expected with your personal tolerance for risk to determine position size. Rerun the simulations with the position sizing method and parameters you have selected. Compute the distribution of annual rate of return and of drawdown and decide whether to trade the system.

 

Everything is completely explained, so you can replicate everything in the book. It is platform independent, so you can use results from any source. Microsoft Excel is used to run the simulations, and a well documented add-in is included.

 

Both Dr. Tharp and Mr. Vince have copies of my book. Mr. Vince is particularly complimentary.

 

You can learn more about the book at its website:

www dot modelingtradingsystemperformance dot com

 

Thanks for listening,

Howard

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Hi, idetsc, well I'm not saying this book is the holy grial I heard great things about Dr. Van Tharp's books. Buy it it's the logical answer but I should explain a little bit my situation. I from Bolivia and these kind of books are extremely hard to find, the forex or trading topics are practically inexistent so find a such advance book is really an imposible task.

 

I just came back from a long trip, I was almost a year out of my country and due to some new legislation in my country I have to get a new ID card and, of course, get another credit card to purchase these books. So I calculated that all these formalities will take me about 4 weeks ......we have a extremely bureaucratic system.......That's why I was looking for these books on internet.

 

Well I hope somebody already read the Dr. Van Tharp's books and can tell me about some sources about position sizing specially related to Dr. Van Tharp's investigation.

 

Thank you for the reply.

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I agree with the analogy to the holy grail. The discipline of rule based position sizing is an excellent way to stay in the game, even in the face of a maximum loss. Paired with a good exit or adjustment strategy to limit a loss, trading is more like a business.

 

As I recall there is a game which let's one see the effect of position sizing. If you are handy with Excel, you can optimize on the most profitable position size which is usually more than the conventional 2% rule of thumb limit.

 

There a several pdf's available at his website.

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Hello, I've been reading about the art of position sizing and many people say that is the only "holy grail" of trading.

 

I recently found the articles writed by the Dr. Van Tharp.

 

Does anyone read his books? Are they as good as I heard?

 

I specially interested in his book "The definitive guide to position sizing", I tried to download but I couldn't do it. If someone has the book in pdf, please let me know where you found it

 

Thanks.

 

You don't need to buy any books to read about position sizing. There is around a lot of free material that is even better and more practica, without the hype. Some examples:

 

Position Sizing

 

http://www.priceactionlab.com/Literature/PositionSizing.pdf

 

http://www.priceactionlab.com/Literature/Kelly.pdf

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You don't need to buy any books to read about position sizing. There is around a lot of free material that is even better and more practica, without the hype. Some examples:

 

Position Sizing

 

The Most Advanced Tool for Analyzing Price Action and Discovering Trading Systems

 

http://www.priceactionlab.com/Literature/Kelly.pdf

 

 

Yeah those resources embrace almost all important aspects of position sizing but lacks real examples. But nevertheless you can use your demo account to check the information for consistency, so to say ;). Position sizing is extremely important for Xau/Usd pair, as well as for other comdoll pairs...

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