新鲜出炉，应该有些料的。 http://www.iitm.com/Definitive-Guide-to-Position-Sizing.htm 90% of the Performance Variation of Professional Traders Is Due to Position Sizing. And Position Sizing Is the Key to Meeting Your Trading Objectives. That’s right. Your success as a trader has little to do with selecting the right investment or even having a great system. Instead, it has everything to do with the “how much” factor when you invest or trade. Investment professionals have called this factor “asset allocation” or “money management.” However, they failed to understand that the key aspect was “how much” to invest in any position. Others work so hard to get themselves a good system, but then fail to realize that position sizing is the key element to getting what they really want. When you have a great trading system, it is certainly easier to meet your system objectives through position sizing, but even with an average system you still have a chance to meet your objectives and profit, if you understand how to position size properly. That’s how important this key topic is. Dr. Tharp, for many years has specialized in helping traders and investors understand position sizing and how to use it effectively. He originally published The Money Management Report as his guide to position sizing. But thanks to an overwhelming demand from his clients, we’ve now published the book you’ve all been waiting for, Dr. Tharp’s Definitive Guide to Position SizingSM. Dr. Tharp’s clients have been reviewing this book throughout the last year. Many of them think it is so important that they did not want to return it once they’d finished reviewing it. It is that significant to their trading. In the Definitive Guide to Position SizingSM you’ll discover the following: Ten trading biases to avoid and how to turn those biases into winning ideas. How to understand low risk- ideas. Systematic approaches to evaluate your system, plus how to rate your trading system for ultimate effectiveness. Six kinds of markets and how to determine if your system works in all six. How to let your winners win big and how to cut your losses short. A visionary way to use position sizing to meet your objectives. Six realistic methods that you could use to limit your potential for ruin or to limit large drawdowns in your account. 93 different position sizing models (yes 93 of them!). Position sizing software reviews. The answers to typical position sizing questions. BUY NOW Now let’s hear from Dr Tharp: Dear Trader, Do you really need to understand how markets work? No, you don’t. You only need to understand how the concept that you are trading works. For example, if you are a trend follower, all you need to understand is that the markets will occasionally move in very large trends, and if you can catch the big moves, you’ll make a lot of money. If you have a system that does that, then that’s all that you need to understand about the markets. If you are a value investor, then all you need to understand is why something is undervalued and be confident in your ability to determine that. The other two things you need to understand are (1) when your investments are no longer undervalued, meaning it’s probably time to sell, and (2) when you might be wrong about your evaluation so you can safely abort and preserve your capital. You don’t need to understand the market at all. Warren Buffett doesn’t—he thinks the markets are irrational. Similarly, no matter how confident you are in your system, you will have trouble making market predictions. But you don’t have to! Psychological research has shown that there is no correlation between the confidence people have in a future trade and the likelihood of it being a success. I think this is especially true for traders with no proven system. In fact, there is probably a slight negative correlation between confidence level and the likelihood of success. In other words, the more confident you are, the more likely it is that the trade might go poorly. What I have learned over the years is that people are just not good at predicting success. If you still believe that you can predict some trades very accurately, then I recommend that you collect some data on these trades. When you think a trade has a very high probability of success, make a note of it in a journal. After you’ve collected at least 30 of these trades, review the results. What relationship is there between your confidence of success and the actual success of the trade? What’s trading all about? Isn’t it about entering and exiting positions with the idea of meeting your financial objectives? And don’t those objectives in some way relate to 1) capital preservation and 2) growth of some sort? Therefore, two of the most important questions you can ask yourself are “What are my trading objectives?” and “How can I use position sizing to meet these objectives?” As you’ll learn in the Definitive Guide to Position Sizing, there are probably an infinite number of possible objectives that you could have given that there are a large number of different sized drawdowns you might want to prevent (e.g., 10% vs. 40%), an even bigger number of gains you might aspire to make (e.g., 10% vs. 1,000,000%), and some combination of both—making even more possibilities. You must determine your objectives and then you can design a position sizing method to meet those objectives. How can you reach your financial goals if you haven’t spent the time determining what they are? How Can You Determine If Your System Is Any Good? How do you know whether or not you have a good system? How can you determine how much better one system is over another? Is there any way to do this across system types and across markets? Is a system that wins 70% of the time better than a system that wins 30% of the time? Not necessarily! Is a system with an average return (expectancy) of 1.5R per trade better than one with an average return of 1.2R per trade? You’d probably think so, but that’s not necessarily true either. Or what about a system that should make 27R over the next month versus a system that should make 35R – is the 35R system a better system? You’d probably think so, but sometimes the best system is the 27R system. Why? It is because the best system is the one that will make it easiest for you to meet your objectives with position sizing. And in this book, you’ll learn my approach for figuring out the best system with my System Quality NumberSM concept. And you’ll also learn how to optimize the probability of meeting your objectives through position sizing. That, in a nutshell, is the real significance of this book. BUY NOW Here’s what one trader said: “The Definitive Guide to Position Sizing has a simple, comprehensive, effective way to evaluate the ‘goodness’ of any system: the System Quality Number. This is great for evaluating a single system, a single system under various market conditions, and a system that consists of many sub-systems in various market conditions. These topics offer a rational and thorough basis for combining probability, gambling, risk and return in a manner that improves people's financial lives. It gives traders that edge that we all look for but in a way that, if every trader had this same edge it, probably wouldn't hurt anyone. Now I can see how it is possible, with reasonable work, to achieve 100%+ annual returns with acceptable drawdowns. I can see how I can easily and effortlessly achieve 45% annual returns with minimal drawdowns. It got me thinking about the elements of the condition of a market. What makes it "better" or "worse" for a particular system? The book presented the most ways to position size I have ever read, with many ways to consider position sizing for a trading system. Imagining and testing most of these will be a wonderful way to improve my trading. I’m now focusing on what kinds of systems and what method of position sizing are appropriate, and what combinations of these position sizing methods will be most useful for which systems under which market conditions to accomplish my goals and objectives. The review of software related to position sizing was also a big help and a great place to start with software that includes many of Van's principles. The questions and answers stimulated my thinking about many trading issues and potential biases. It is crystal clear how entries are so relatively unimportant and why more time and thought devoted to position sizing is so much more valuable to my trading and my life. Through reading this book I discovered new ways to define my objectives quantitatively.” Jim W. In my opinion, position sizing is the most significant part of any trading system. Many professionals, and most amateurs, do not understand its importance. In fact, I once attended a seminar for stockbrokers that detailed a particular method of investing that they could use to help their clients. While the seminar as a whole was terrific, the topic of money management, as I define it, was not even covered. One speaker did talk about money management, but I could not really determine what he was talking about. As a result, at the end of his talk, I asked him, “What do you mean by money management?” His response was “That’s a very good question. I think it is how one makes trading decisions.” I looked up the topic of money management in an Internet search. Although the search engine returned many articles on the topic, very few of them had to do with what I call money management…which is why I coined the term “position sizing.” Numerous searches came up with topics on “how to manage your personal finances.” Other searches came up with web sites describing professional money managers who would manage your finances for you. Still other searches went to web sites having to do with the futures industry where money management seemed to be confused with risk control, managing your worst-case risk through a stop loss, or achieving maximum profits. My definition of money management (or position sizing) is none of those. Let’s look at a couple of other definitions, (none of which is correct for what I’m talking about): “The process of budgeting, saving, investing, spending or otherwise overseeing the cash usage of an individual or group. The predominant use of the phrase in financial markets is that of an investment professional making investment decisions for large pools of funds, such as mutual funds or pension plans. Also referred to as ‘investment management’ and/or ‘portfolio management’.” InvestorWords.com (which is what you might be exposed to if you are actually looking for an investment type definition) says the following about what’s critical to your investments: “Here are the seven fundamental principles of investing that every investor should know. Topics include knowing your current situation, goals and risk tolerance; getting your finances in order; thinking long term and focusing on stocks; researching and monitoring your investments; and knowing when and how to get financial help.” The site then goes on to define money management: “The process of managing money, including investments, budgeting, banking, and taxes, also called investment management.” I searched Google for “money management definition” and went through the first ten pages without finding a single useful definition. The examples given above are pretty typical. However, I did go directly to Wikipedia and got the following definition, which is about as accurate as I could find online: “Money management is used in investment management and deals with the question of how much risk a decision maker should take in situations where uncertainty is present. More precisely what percentage or what part of the decision maker's wealth should be put into risk in order to maximize the decision maker's utility function.” How much risk should you be willing to take? Isn’t it interesting that most professionals cannot even agree on the definition of what is probably the most important topic for all traders and investors to understand? In fact, in my three books, Trade Your Way to Financial Freedom, Financial Freedom through Electronic Day Trading, and Safe Strategies for Financial Freedom, I totally eliminated the term money management and coined a new one, position sizingSM. Since position sizing is the difference between poor performance and great performance—the difference between going broke and being a successful professional—it’s important that I define it right now. Please take note. Position sizingSM (what some call money management) is that portion of your trading system that tells you “how many” or “how much.” How many units of your investment should you put on at a given time? How much risk should you be willing to take? Aside from your personal psychological issues, this is the most critical concept you need to tackle as a trader or investor. When you started trading or investing, you had probably never heard about position sizing. If you knew something about it, your knowledge probably came from some book by an author who didn’t understand it either. Most books that discuss position sizing are about diversification or about optimizing the gain from your trading. Books on systems development or technical analysis don’t even begin to discuss position sizing adequately. As a result, most traders and investors have no place to go to learn probably the most important aspect of their craft. I present many position sizing methods that you might want to use in your trading. However, that choice should depend upon your specific objectives and your comfort level with the various methods described. Your trading success will still depend upon having a well thought out business plan, developing systems that you feel confident trading, and using a position sizing algorithm that you feel confident will help you meet your objectives. Here’s what another trader told me about the guide, “If you’re a serious trader, you simply can’t trade effectively without this information. This book does the best job I’ve seen in helping one understand how to use position sizing effectively. It has done a great job of helping me translate my objectives into effective trading system design. I wouldn’t approach the process without it.” Rick Freeman Understanding Low-Risk Ideas This guide covers the basic fundamentals of trading, but even more importantly once you study this material you will understand what a low-risk idea is all about. A low-risk idea is an idea with a long-term positive expectancy that’s traded at a risk level to allow for the worst possible occurrence in the short term so that you are able to realize the positive expectancy in the long term. Notice how this simply states that if you have faith in the long-term expectancy of your system and just follow the process, then everything will work out. But also notice how the idea of position sizing is critical to a low-risk idea. If your position sizing is too big, you are guaranteed to eventually lose your funds. Let me state that another way. If you risked too much money on one trade, then you risk depleting your funds so much that you can no longer trade effectively. And if you trade with too little capital, then almost any trade you make will be “too much.” What Works and What Does Not Work? This book is meant to be a definitive guide to position sizing. I cover many position sizing models that work. However, because of the many psychological biases surrounding position sizing, people often invent position sizing strategies that just don’t work. Most books totally avoid the topic, but occasionally one will mention position sizing and present some very strange technique to guide you. In this book, as a definitive guide, I’ve attempted to cover every method I’ve ever seen, including those I don’t like. I’ve presented you with 31 different models and 3 different equity models. So in this book alone you have 93 different position sizing models (i.e., 31 times 3) that you can use. Furthermore, many of the methods presented have many derivative models. For example, you could probably come up with thousands of varieties of market’s money alone. In fact, one could probably spend as much time on position sizing strategies as the average trader does on entries. Therefore I devote an entire chapter to methods that, in my opinion, either don’t work or are dangerous to help you steer clear of the same mistakes. BUY NOW Here’s what another trader said, "I learned about the little known and misunderstood ‘Holy Grail’ of successful trading. Position sizing is the most difficult and most important part of trading to understand and use. It is the most powerful tool in trading...you can make untold wealth, or blow a hole in your wallet. Here's what Clint Eastwood's Dirty Harry would have said about it: 'I know what you're thinking. Did he put on six contracts or only five? Being that position sizing is the 44 magnum gun of trading and can blow your head clean off, you got to ask yourself one question. Do you understand position sizing? Well do you, punk?' All joking aside, I found the trading became a lot easier once I had a deeper understanding of position sizing. I can lower my risk, increase my profits, and my confidence by understanding this universal investing principle. Best of all, I learned how to turn a 10 point move, in a stock, into a compounding profit machine!" —Frank Eaves The Best Investment Decision You Could Make What to Do Next? My recommendation to you is that you determine your objectives for your trading. What are you trying to accomplish in regards to capital preservation and growth of your money? What are you endeavoring to achieve financially? You could ask yourself the questions “Who am I?” and “What are my financial goals?” Again, I cannot overemphasize the importance of this step. Next, follow the guidelines in this book for using one of the methods to meet these objectives. Work with the methods you are attracted to until you thoroughly understand them and feel comfortable with them. Understand how the method works and develop confidence using it before you start trading with it. When you know your R-multiple distribution, your system’s expectancy, and your System Quality Number (SQNSM), you no longer have to do the impossible and predict the market. You will be set up to let your profits run and cut your losses short. That information will help you determine what to expect from your system in the long run. And as long as you position size to avoid any worst-case disasters, you should be able to achieve that expectancy. Do you need to predict anything else? Are you beginning to see how trying to predict the markets and thinking you need to pick the perfect stock can steer you away from what works? When a pollster predicts how the American population will vote, he doesn’t necessarily understand why. He just knows what the likely outcome of the vote will be. After you read this book you will have enough information to understand your system and how to cut your losses, and that’s all you need. When you start thinking of a system as the R-multiple distribution it generates, all of the information about trading begins to make sense. I’ve designed this book to help you answer almost any question that you may encounter about position sizing. In over 350 pages, I cover the hundreds and hundreds of questions and situations that I’ve encountered as I have taught this concept to trader after trader during the past 20 years. This definitive guide is truly my ultimate knowledge on position sizing. And if I must say so myself, I am considered the foremost expert on the subject. Add this Book to Your Arsenal Now The Definite Guide to Position Sizing is one of the most valuable, if not the most valuable tool to add to your trading system. It should offer you a high ROI at only $149.00! — Van K. Tharp BUY NOW
贴一下《Definitive Guide to Position sizing》里面的The Golder Rules of Trading，大家共同学习一下： 1.Never open a position in the market without knowing your initial risk. 看老范的书，必须要了解一个R概念。R就是你决定的初始的风险。 2.Define your profit and loss in your trades as some multiple of your initial risk. 风险最好就是的1R，利润肯定是越大越好。但要维持合理的风报比。 3.Limit your losses to 1R or less. 4.Make sure that your profits, on average,are bigger than 1R. 5.Understand your trading system in terms of the mean (the average R) and the standard deviation (Varibility in the results) of your R-multiples. Your system, when you trade it, will generate a number of trades.The result of those trades can be expressed as a multiple of your inital risk, or a set of R-multiples. You should know the characteristics of that distribution for any system that you plan to trade.
6. Design some core objectives for your trading. 7.Practics proper position sizing in order to meet you objectives. 8.Calculate you System Quality Number to give you some idea of how to position size your system in order to meet your objectives. 9.Know the big picture ( what features are influencing the market); have a way to measure these factors; and have a business plan that help you capitalize on these factors. big picture:大趋势 10.Follow the ten tasks of trading and master youself.
观察一下这本书的目录，感觉前半段是和＜通向＞那本差不多，但是有多了几个新观念.. 后半段可是<通向>这本书所完全没有的部份了，尤其里面提到许多个 Position Sizing Model，这些进阶的资金管理模型在作者另一个 Report 中有些已有提过，但是其他没提过的部份，可能是最近在研发出来的吧...这个部份应该是本书最大的宝藏了...
Contents Preface xiii Acknowledgments xvii PART I THE GOLDEN RULES OF TRADING AND HOW TO EVALUATE THE QUALITY OF YOUR TRADING SYSTEM Introduction to System Evaluation 3 Chapter 1 The Golden Rules of Trading 5 Chapter 2 Risk (R) and R-Multiples 11 Understanding R-Multiples 12 Using Your Total Risk to Keep Track of Your R-Multiples 14 What If You Don’t Know Your Initial Risk? 16 More Thoughts about Expectancy 18 What about the Variability? 19 So What’s the Downside? 21 Chapter 3 Evaluating the Quality of Your Trading System 23 Rating Your System 30 One Problem with System Quality NumberSM and How to Overcome It 32 Statistical Assumptions in Using This Material 33 Improving Your System Quality NumberSM (SQNSM) 35 What’s Important in Getting High SQNsSM? 38 Definitive Guide to Position SizingSM vi Chapter 4 What Can I Expect in the Future? 41 Question 1: Is My Sample Representative? 41 Question 2: Is My System Valid? 43 Question 3: What Can I Expect from My System in the Future? 44 Question 4: What Kinds of Markets Will My System Work In? 49 Question 5: What If I Have Multiple Correlated Trades? 54 Summary: What Do I Know about My System at This Point? 55 How Will I Trade Differently with This Information? 56 Chapter 5 Are You Doomed to Failure? 57 Judgmental Shortcuts 57 Bias 1: Locus of Control—The Lotto Bias 58 Bias 2: The Need to Be Right 60 Bias 3: Percent Gain 64 Bias 4: Lots of Input Says the Same Thing 66 Bias 5: Authority 67 Bias 6: Prediction and Understanding 68 Bias 7: Wanting Lots of Facts 71 Other Biases That Influence Being Right 72 Bias 8: The Law of Small Numbers 72 Bias 9: Once We Think We’ve Got It, It’s Hard to Get Rid of It 74 Bias 10: Representation 74 Conclusion 76 Definitive Guide to Position SizingSM vii PART II UNDERSTANDING THE BASICS OF POSITION SIZINGSM Introduction to Position SizingSM Basics 79 Chapter 6 The Most Important Factor (Besides You) in Your Trading 81 Understanding Low-Risk Ideas 82 Psychological Biases Against Proper Position Sizing 86 The Need to Be Right Bias in Position Sizing 86 The Gambler’s Fallacy 86 Streaks Cause Us to Doubt Probabilities and Change Our Risk 87 Not Enough Money or Too Much Greed 91 Chapter 7 CPR for Traders and Investors 93 The Importance of Position Sizing 93 The Three Components of Position Sizing 94 The CPR Model for Position Sizing 95 More Basics: Equity Models 97 Chapter 8 Core Position SizingSM Models 99 The System Used 99 Model 1: Units per Fixed Amount of Money 99 Model 2: Equal Units/Equal Leverage Model 102 Model 3: Percent Margin 104 Model 4: Percent Volatility 105 Model 5: Percent Risk 107 Definitive Guide to Position SizingSM viii More Examples 110 Chapter 9 More Position SizingSM Models 113 Model 6: Group Control 113 Model 7: Portfolio Heat 114 Model 8: Long versus Short Positions 116 Model 9: Equity Crossover Position Sizing 117 Position Sizing Under Unusual Circumstances 118 Model 10: Asset Allocation to Determine Position Sizing 118 Model 11: Position Sizing for Portfolio Managers 120 Model 12: Position Sizing for Professional Traders Who Don’t Know How Much Equity They Have 121 Chapter 10 Comparing the Impact of Various Models 123 The Models Compared 123 PART III USING POSITION SIZINGSM TO MEET YOUR OBJECTIVES Introduction to Using Position SizingSM to Meeting Your Objectives 133 Chapter 11 Meeting Your Objectives 135 Objectives Re-examined 138 A Look at Optimal Bet Size 139 Expectancy, Win Rate, and Position Sizing 142 Conclusion 147 Definitive Guide to Position SizingSM ix Chapter 12 Position SizingSM Methods to Meet Your Target Profit Objective 149 Model 13: Using Your Optimal Target Risk Percentage 150 Model 14: Market’s Money Methods 151 Model 15: Scaling In Techniques 156 Chapter 13 Using Fixed Ratio Position Sizing (FRPS) to Meet Your Profit Target 161 Fixed Ratio Position Sizing Explored 161 Assumptions Necessary to Simulate FRPS 163 Position Sizing Evaluation 165 The Models Compared 170 How to Improve Your Performance with FRPS 171 Evaluation of Results 175 Conclusion 182 Model 16: Using Fixed Ratio Position Sizing 183 Checklist to Trade FRPS 183 Advantages and Disadvantages of FRPS 185 Chapter 14 Position SizingSM Methods to Help You Avoid Ruin 187 Using Position Sizing to Limit Your Downside Potential 188 Model 17: Using Your System Quality NumberSM to Determine How to Limit Risk 188 Model 18: Two-tier Position Sizing 191 Model 19: Multiple Tier Approach 193 Model 20: Using the Maximum R-Drawdown 193 Definitive Guide to Position SizingSM x Model 21: Scaling Out to Smooth Equity Curves 194 Model 22: Basso-Schwager Asset Allocation Technique Applied to Systems 197 Conclusion 198 PART IV MISCELLANEOUS POSITION SIZINGSM INFORMATION Introduction to Miscellaneous Position SizingSM Information 203 Chapter 15 Position SizingSM Strategies to Avoid! 205 Martingale Position Sizing Models 205 Model 23: When Probability Is Out of Line, Increase Your Position Sizing 206 Model 24: One Up, Back One 208 Model 25: One Up, Back One, Version 2 208 Model 26: Regression toward the Mean Position Sizing 211 Other Dangerous Models to Avoid 212 Model 27: Intuitive Position Sizing 212 Model 28: Joe Ross Method 213 Model 29: Percent Risk Based Upon Winning Percentage 214 Model 30: Kelly Criterion 214 Model 31: Optimal f 215 Conclusion 218 Chapter 16 Putting It All Together: An Interview with Chris Anderson 221 Definitive Guide to Position SizingSM xi Chapter 17 Position SizingSM Software Examined 235 My Experiences with Position Sizing Software 235 Software to Keep Track of Your Trades 237 Simulation Software 244 Position Sizing Software 247 System Specific Software with Position Sizing Capabilities 248 Multi-Purpose Software that Includes Position Sizing 250 High-End Software 260 Conclusion 263 Chapter 18 Some of Your Questions Answered 265 Category 1: Miscellaneous Questions 265 Category 2: Expectancy versus Position Sizing 269 Category 3: I Don’t Understand One of the Models 271 Category 4: Position Sizing and Risk of Ruin 275 Category 5: Account Size and Liquidity 277 Category 6: Multiple Accounts 282 Category 7: How Do I Position Size? What Do You Think of My Method? 283 Category 8: What Do You Think of This Form of Position Sizing? 288 Category 9: Math Questions 290 Chapter 19 Self-Evaluation 291 Appendix I 299 Appendix II 361 Glossary 363 Index 375