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Jim Dean

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Joined: 9/21/2006
Location: L'ville, GA

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Subject : RE: Psychological Aspects of Trading - Van Tharp
Posted : 11/12/2009 7:48 AM
Post #18383 - In reply to #18382

Van is also a big proponent of Position Sizing (he's apparently trademarked that common term!) ... his explanations and forumulae utilize expectancy vs volatility-risk as a key component ... this kind of trade sizing is *somewhat* in line with the Fixed Risk allocation method available in Nirvana's Turtle Trader plug-in. For that reason alone, I suggest you buy TT !!

For years I've used a sizing method that takes Van's ideas, and adds some from Alex Elder, and a healthy dose of my own thoughts. It's become a key "edge" to my approach to trading (I call it "SmartSize").

Further to that, I've created a liquidity filter keyed to the position size likely to be taken in a security, to use in place of the typical "stocks with more than X shares/day". It measures how many times a day your SmartSize-d position moves through the volume of that day. I call this measure "LiquiTurns".

Finally, using those components, I've learned how to approximate slippage effects - key word "approximate" - to reduce those losses.

This all started with thoughts gleaned from Van Tharp's work. I'm much indebted to him for sharing those ideas, and I'd like to pass it on. The AOTC is the means I use for that, if you're interested.

[Edited by Jim Dean on 11/12/2009 7:50 AM]

Deleting message 18383 : RE: Psychological Aspects of Trading - Van Tharp


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