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

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% risk percentage.FIGURE 6.18 Trend of the drawdowns with a 7.5% risk using the fixed fraction...FIGURE 6.19 10% risk, this time considering the real maximum loss.FIGURE 6.20 Trend of the drawdowns risking 10% with reference to the real ma...FIGURE 6.21 Returns with a 15% risk, using the real maximum loss.FIGURE 6.22 Drawdowns with a 15% risk, using the real maximum loss.

7 Chapter 7FIGURE 7.1 Profits after approximately three years with a 5% risk and a thre...FIGURE 7.2 Trend of the drawdowns with a 5% risk.FIGURE 7.3 Summary of the drawdown data.FIGURE 7.4 Percentage returns for 480 trades using the fixed ratio method wi...FIGURE 7.5 Percentage drawdown trend for 480 trades using the fixed ratio me...FIGURE 7.6 Data on the distribution of the drawdowns in Figure 7.5.FIGURE 7.7 Trend of profits with a 4% risk after 480 trades.FIGURE 7.8 Trend of the drawdowns with a 4% risk.FIGURE 7.9 Summary of the data on drawdown distribution with a 4% risk.FIGURE 7.10 Expected returns after the first 160 trades (after about 1 year)...FIGURE 7.11 Expected drawdowns after the first year with a 4% risk.FIGURE 7.12 Expected returns after 2 years of using the strategy with a 4% r...FIGURE 7.13 Expected drawdown values after 2 years of using the strategy wit...FIGURE 7.14 Trend of profits and drawdowns during the first year.FIGURE 7.15 Trend of the equity and drawdowns after the second year of actua...FIGURE 7.16 Final equity and drawdowns after three years of real trading.

8 Chapter 8FIGURE 8.1 Crude Oil strategy performance report.FIGURE 8.2 Crude Oil equity line.FIGURE 8.3 Annual result for Crude OilFIGURE 8.4 Gold future strategy performance report.FIGURE 8.5 Gold equity line.FIGURE 8.6 Annual result for Gold.FIGURE 8.7 Soybean strategy performance report.FIGURE 8.8 Soybean equity line.FIGURE 8.9 Annual result for Soybean.FIGURE 8.10 Portfolio of systems without money management.FIGURE 8.11 Equity line of the portfolio of systems without money management...FIGURE 8.12 Annual trend of the portfolio of systems without money managemen...FIGURE 8.13 Performance report for the system with Crude Oil and a percent f FIGURE 8.14 Performance report for the system with Crude Oil using the fixed...FIGURE 8.15 Performance Report for the system with Crude Oil and a percent v...FIGURE 8.16 Performance report for the system with Gold futures and a percen...FIGURE 8.17 Performance report for the system with Gold futures using the fi...FIGURE 8.18 Performance report for the system with Gold futures and a percen...FIGURE 8.19 Performance report for the system with Soybean futures and a per...FIGURE 8.20 Performance report for the system with Soybean futures using the...FIGURE 8.21 Performance report for the system with Soybean futures and a per...FIGURE 8.22 Performance report of the portfolio with a percent f of 2%.FIGURE 8.23 Equity line of the portfolio with a percent f of 2%.FIGURE 8.24 Annual performance of the portfolio with a percent f of 2%.FIGURE 8.25 Performance report of the portfolio using the fixed ratio method...FIGURE 8.26 Equity line of the portfolio using the fixed ratio method with a...FIGURE 8.27 Annual performance of the portfolio using the fixed ratio method...FIGURE 8.28 Performance report of the portfolio with a percent volatility of...FIGURE 8.29 Equity line of the portfolio with a percent volatility of 2%.FIGURE 8.30 Annual performance of the portfolio with a percent volatility of...FIGURE 8.31 Performance report of the portfolio with a percent volatility of...FIGURE 8.32 Equity line of the portfolio with a percent volatility of 1.55%....FIGURE 8.33 Annual performance of the portfolio with a percent volatility of...