Position sizing & Fixed-Odds Betting

[rjay]

I've been searching the internet trying to find a calculator to help me out with this but no luck.

I have a daily Fixed-Odds strategy that is about 90% accurate. When it is right it returns on average 50%, when it is wrong then the stake is lost (obviously). The most amount of losers in a row was 12, the most amount of winners in a row was 140. 6 losers in a row happens a few times per year as does about 30 winners in a row. There are about 10 bets open at a time.

How can I determine what % of my account to stake on each bet ? I started to write something in Excel but my brain started to melt ... At the moment I'm staking 10% of my account on each bet hoping that I don't get another 12 losers in a row, but obviously that's not a great strategy !! I'm really looking for something that can help me crunch the numbers but everything I've seen was for regular trading rather than fixed-odds.

 

[abottoml]

This is a simple applet which might help shed some light:

Random Portfolio Simulator

Here, your Win/Loss ratio is 0.5 and your Win Prob is 0.9; Put in a high number of iterations (Lines Qty = 999 say), click on generate, and it shows what your equity curve could look like. It also shows the Kelly Value; the optimal percentage of your capital to invest in a single trade.

You can't really lose with the 90% accurate system you have described. The Kelly Value indicates your position size should be 70% of your equity in this case. If you are entirely confident of that 90% figure, you should go ahead and bet the farm, and not look back.

However, if the real accuracy turns out to be about 65% for example, then you're getting close to 50:50 odds.

 

[bombettor]

Using Kelly value has the problem of large drawdown. I suggest that one use at most 50% of kelly criterion. I personally use 30% of kelly value for my fixed odds trading strategy.

 

[bombettor]

Also, the risk of ruin for 30% of Kelly Value is just 0.007%.

 

[rjay]

The URL in the second post here, no longer works - gives me a Java error on every machine I've tried.

Does anyone know anything similar? (Doesn't have to be web or free)

 

[ybfjax]

http://www.trade2win.com/boards/for...ition-sizing-calculator-forex-strategies.html

You can easily adjust the margin and pip value for any tradable financial product, mainly futures, CFDs, metals, and stocks. The idea is to figure out what drawdown your position sizes can handle given a particular range of prices.