Position-Sizing
event risk throttle: dynamic exposure scaling based on vol regime
·1889 words
2:30 AM monday. Q2 week 2 starts in a few hours.
Been sitting with something since Thursday when I posted the Q2 week 1 numbers. Said we were running at 60% position size - waiting for the health scoring system to validate before going full deployment.
dynamic position sizing - kelly criterion meets regime detection
one of the dumbest things i did in 2023 was running fixed position sizes. every trade was the same size regardless of conviction, volatility, or recent performance. looking back it’s obvious why i hemorrhaged $180k - i was sizing up the same during high-vol crashes as during calm trending markets.
risk management - position sizing with kelly criterion in python
·1261 words
position sizing = most important part of algo trading.
kelly criterion = mathematically optimal.
python implementation.
the problem # fixed position sizing:
may day 1 - smaller position sizes
cut position sizes in half. only trading 3 strategies now.
first day of may went… fine? +$180 on one trade. nothing else triggered.
new risk rules # old position sizing: 2.5% risk per trade = $850 max loss (on $340k account)
actual risk management rules that work
·485 words
after losing $60k in 4 months i finally built risk management that doesn’t suck.
what wasn’t working # my “risk management” before: