“Semi-Martingale” Position Sizing

Discussion in 'Risk and Uncertainty' started by halliluia, Nov 17, 2009.

  1. This Trade hit the Profit Target on the 5th Entry in the Sequence with a 0.4 Lot position size. The first 4 trades in the Sequence, with 0.1, 0.1, 0.2 and 0.3 Lot position sizes respectively, were stopped out with a 10 Pip Stop Loss on each trade.

    Here is how the Trade worked out PROFITABLY starting the Sequence Of Trades with 0.1 Standard Lot which equals 10,000 Units (1 Mini Lot):

    #1 - Initial Entry - SELL 0.1 Lot: SL hit -10 Pips @ $1. per Pip = -$10.
    #2 - 2nd Entry - BUY 0.1 Lot: SL hit - 10 Pips @ $1. per Pip = -$10.
    #3 - 3rd Entry - SELL 0.2 Lots: SL hit - 10 Pips @ $2. per Pip = -$20.
    #4 - 4th Entry - BUY 0.3 Lot: SL hit - 10 Pips @ $3. per Pip = -$30.
    #5 - 5th Entry - SELL 0.4 Lots: TP hit +40 Pips @ $4. per Pip = +$160.

    TOTAL = $160 - $70 in aggregate losses = $90 PROFIT for the Sequence
     
  2. 在ff论坛上发现的一种反向加仓的头寸调整方法:
    连续转向信号,头寸调整采用24级加仓 初始头寸0.1: 0.1 - 0.1 - 0.2 - 0.3 - 0.4 - 0.6 - 0.8 - 1.1 - 1.5 - 2.0 - 2.7 - 3.6 - 4.7 - 6.2 - 8.0 - 10.2 - 13.0 - 16.5 - 20.8 - 26.3 - 33.1 - 41.6 - 52.2 - 65.5直至盈利。
     
  3. 看起來是一種技巧性的攤平策略,不知道該作者有沒有提出實證研究或者是交易紀錄以供參考.....