Increase/Decrease contracts based on total capital?

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01/09/2021 at 1:51 PM #157090 quote

umebon
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Hi

Is it possible to make a MM in a system that increases/decreases contracts based on total capital?
Say if my initial capital is 10000 and I want too risk 0.01 of that in trades. If I have a winning trade I want the capital to be updated to the actual amount on my account so that MM updates and increase the number of contracts if possible.

01/09/2021 at 2:05 PM #157092 quote
Nobody
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Veteran
```
// dynamic position sizing  n = position size

capital = 10000
n = (10000/close + strategyprofit/close) * coef

// adjust n by whatever coeeficient give you the leverage/ exposure that is comfortable risk parameter   coef = leverage adjusment
```
umebon thanked this post
01/09/2021 at 3:07 PM #157099 quote
J.
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Average
The way I do it is like this:
```
STARTINGCAPITAL = 10000 //10k USD

SIZE = 1 / STARTINGCAPITAL //divide your initial contract size by startingcapital

CAPITAL = STARTINGCAPITAL + STRATEGYPROFIT //current capital
CONTRACTS = CAPITAL * SIZE //calculate position size
```
But you have to explicitly close the positions to update your strategyprofit by selling or exitshorting, and then you can open a new position.

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Increase/Decrease contracts based on total capital?

ProOrder: Automated Strategies & Backtesting

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umebon @umebon Participant

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This topic contains 2 replies,
has 3 voices, and was last updated by J.
5 years, 1 month ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	01/09/2021
Status:	Active
Attachments:	No files

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