The Successful Trader's Guide to Money Management. Andrea Unger

      1 Chapter 1TABLE 1.1TABLE 1.2TABLE 1.3

      2 Chapter 3TABLE 3.1

      3 Chapter 4TABLE 4.1TABLE 4.2TABLE 4.3TABLE 4.4

      4 Chapter 5TABLE 5.1TABLE 5.2TABLE 5.3

      5 Chapter 6TABLE 6.1TABLE 6.2TABLE 6.3TABLE 6.4TABLE 6.5

      6 Chapter 10TABLE 10.1 Summary of results.

      7 Chapter 11TABLE 11.1TABLE 11.2TABLE 11.3

      8 Appendix IITABLE AII.1 Results of the two systems with a percentf model set at 5.24%.

      1 Chapter 1FIGURE 1.1 Loss 1, win 1.25 – double bet after loss. Note how in the first 1...FIGURE 1.2 Loss 1, win 1.25 – multiply bet by 1.5 after loss. The final resu...FIGURE 1.3 Loss 1, win 1.25 – double stake after loss, a particular favourab...FIGURE 1.4 Loss 1, win 1.25 – multiply bet by 1.5 after loss, even increasin...FIGURE 1.5 Loss 1, win 1.25 – anti‐Martingale system.FIGURE 1.6 Loss 1, win 1.25 – anti‐Martingale system, results may appear exc...FIGURE 1.7 Loss 1, win 1.25 – 1,000 coin tosses slightly unbalanced in favou...FIGURE 1.8 Loss 1, win 1.25 – stake multiplied by 1.5 after a loss, with the...FIGURE 1.9 Loss 1, win 1.25 – anti‐Martingale system on the basis of unfavou...FIGURE 1.10 Loss 1, win 1.25 – stake multiplied by 1.5 after a loss. The sam...FIGURE 1.11 Loss 1, win 3 – anti‐Martingale system. The first 99 picks are u...FIGURE 1.12 Loss 1, win 3 – anti‐Martingale system. In this simulation, the ...FIGURE 1.13 Loss 1, win 1 – anti‐Martingale system. Winning the same amount ...FIGURE 1.14 Loss 1, win 1 – anti‐Martingale system. In this case, winning th...FIGURE 1.15 Loss 1, win 1.25 – anti‐Martingale system. The game is once agai...FIGURE 1.16 Loss 1, win 2 – anti‐Martingale system. Also, in this case, a wi...FIGURE 1.17 Loss 1, win 2.5 – as soon as a win pays out more than the loss, ...

      2 Chapter 2FIGURE 2.1 Loss 1, win 1.25 – an extremely favourable situation for the gamb...FIGURE 2.2 Loss 1, win 1.5 – a win paid 1.5 times a loss. This really boosts...FIGURE 2.3 Loss 1, win 1.25 – results are below statistical balance (win % b...FIGURE 2.4 Loss 1, win 1.25 – the first 100 coin tosses show a balanced resu...FIGURE 2.5 Results after 99 unlucky picks and 999 balanced picks. The Kelly ...FIGURE 2.6 A balanced scenario after 999 picks confirms the Kelly formulaFIGURE 2.7 As in the previous case, the first 99 picks make a greater profit...

      3 Chapter 3FIGURE 3.1 Example of the dynamics of the system used.FIGURE 3.2 Strategy report.FIGURE 3.3 Annual strategy results.FIGURE 3.4 Some trades with the strategy.FIGURE 3.5 Strategy equity curve.FIGURE 3.6 Comparison between performance with one contract and the Kelly fo...FIGURE 3.7 A comparison between the performance that can be obtained in the ...FIGURE 3.8 Comparison of different rounding off methods for the number of co...FIGURE 3.9 Peak equity values applying the Kelly formula.FIGURE 3.10 A half‐million‐dollar drawdown.FIGURE 3.11 The system with a smaller available capital.FIGURE 3.12 5,000 USD less is enough to make the technique that produced a r...

      4 Chapter 4FIGURE 4.1 Equity trend for different risk percentages.FIGURE 4.2 Equities and the relevant drawdown levels.FIGURE 4.3 HPR and TWR for the series of 10 trades with just one contract.FIGURE 4.4 HPR values for each trade and TWR for each chosen f.FIGURE 4.5 TWR trend for different f values.FIGURE 4.6 Results with f = 37%.FIGURE 4.7 Different capital levels and numbers of contracts used on the bas...FIGURE 4.8 Applying a 5% fixed risk percentage.FIGURE 4.9 10% risk on each trade.FIGURE 4.10 A risk percentage that's just one point higher blocks the system...FIGURE 4.11 An attempt using optimal f.FIGURE 4.12 Minimum risk percentage to keep trading.FIGURE 4.13 Fixed ratio with delta = €11,000.Figure 4.14 Delta four times the maximum theoretical loss.FIGURE 4.15 Delta double the maximum theoretical loss.FIGURE 4.16 Delta equal to the maximum theoretical loss.FIGURE 4.17 A delta equal to half the maximum theoretical loss is too aggres...FIGURE 4.18 True range in case of low above previous day's close.FIGURE 4.19 True range in case of high below previous day's close.FIGURE 4.20 Results attempting to limit the volatility of your capital to le...FIGURE 4.21 Results attempting to limit the volatility of your capital to le...FIGURE 4.22 %Vol allows the use of more aggressive, although not exactly rec...FIGURE 4.23 Too high a risk quickly reduces the capital to a minimum.FIGURE 4.24 Using %Vol you can even proceed with just a 2% risk.FIGURE 4.25 First trades using an allowed volatility of 2%.FIGURE 4.26 Similar returns using different approaches.FIGURE 4.27 Final equity trend as the risk percentage changes.FIGURE 4.28 Trend of the equity as delta changes.FIGURE 4.29 Trend of the equity as the maximum allowed percent volatility ch...

      5 Chapter 5FIGURE 5.1 The final results are almost the same but with different trends....FIGURE 5.2 Another comparison confirms the fluctuations in the equity line w...FIGURE 5.3 A comparison between a classic %f line and a Fixed Ratio line wit...FIGURE 5.4 A comparison between the fixed ratio method and a version taking ...FIGURE 5.5 A comparison between a standard line and one that risks more on a...FIGURE 5.6 Reducing the base percentage from 5% to 4% blocks the mixed curve...FIGURE 5.7 Trend of the principal equity and the crossover with the moving a...FIGURE 5.8 Trend of the equity with %f = 5%, blocking some trades.FIGURE 5.9 A %f of 7.5% produces results that are practically the same for t...FIGURE 5.10 The method that doesn't trade in the downturns ends up producing...FIGURE 5.11 Ceasing trading at the worst times can produce impressive result...FIGURE 5.12 With stops below average the fixed ratio equity improves.FIGURE 5.13 Fewer drawdowns with an aggressive delta and stops below the mov...FIGURE 5.14 A very aggressive delta, which produces good results with accept...FIGURE 5.15 %vol of 3%; the results are the same but the line is more regula...FIGURE 5.16 An extreme %vol, not trading at unfavourable times, changes the ...

      6 Chapter 6FIGURE 6.1 Distribution of percentage returns with a 5% risk.FIGURE 6.2 Drawdown values for the 1,000 simulations with a 5% risk.FIGURE 6.3 Distribution of returns with a 5% risk in 5,000 simulations.FIGURE 6.4 Trend of the percentage drawdown with a 5% risk in 5,000 simulati...FIGURE 6.5 Trend of returns risking the minimum that's mathematically possib...FIGURE 6.6 Trend of returns for 1,000 simulations with a 3% risk.FIGURE 6.7 Trend of the percentage drawdowns for 1,000 simulations with a 3%...FIGURE 6.8 Percentage returns for 1,000 simulations using the fixed ratio me...FIGURE 6.9 Drawdown trend for 1,000 simulations using the fixed ratio method...FIGURE 6.10 5,000 simulations to verify the percentage drawdown distribution...FIGURE 6.11 1,000 simulations using the fixed ratio method with a delta = 20...FIGURE 6.12 Percentage drawdowns using the fixed ratio method with a delta =...FIGURE 6.13 Distribution of percentage returns with a 10% risk.FIGURE 6.14 Distribution of percentage drawdowns with a 10% risk.FIGURE 6.15 Distribution of percentage returns using the fixed ratio method ...FIGURE 6.16 Distribution of drawdowns with a delta of 2,500 using the fixed ...FIGURE 6.17 Returns with a 7.5%