Position Sizing in Trading – QuantInsti

Course overview
Learn, create, implement and backtest various position sizing techniques such as Kelly, Optimal f, and volatility targeting on a trading strategy. Analyse how the performance of the strategy changes after applying these position sizing techniques. Also, learn money management terms and identify inherent risk in the financial markets. Incorporate all learnings in the course to create a conservative position sizing framework.
Apply Position Sizing Strategies

Implement and backtest the position sizing methods such as Kelly, CPPI, TIPP, Volatility targeting, on a sample index reversal strategy.
Explain the inherent risk in Kelly and Optimal F.
Describe the need for money management and explain various money management terms.
Paper trade and live trade using the position sizing techniques covered in the course.
List and explain basic position sizing techniques such as fixed units, fixed sum, fixed fraction and fixed percentage.
Plot the leverage and portion of capital used for each position sizing technique.
Describe the hidden risks in financial markets such as non-stationarity and fat-tail distribution.
Apply simulation methods such as Bootstrapping and Monte Carlo.
Create a conservative framework for position sizing for calculating the capital to allocate.

Skills Required To Learn Position Sizing In Trading
Position Sizing & Simulation

Methods
CPPI & TIPP
Volatility Targeting
Kelly & Optimail F
Bootstrapping & Monte Carlo
Martingale

Python

Pandas
NumPy
Matplotlib
Loops
Functions

Money Management Terms

Drawdown & Volatility
Trade Size
Returns
Win/Loss Ratio
Trading System’s Expectancy

Learning Track 7
This course is a part of the Learning Track: Portfolio Management and Position Sizing using Quantitative Methods. Enroll to the entire track to enable 10% discount.
Prerequisites To Learn Position Sizing In Trading
To start with the course, you need to have a basic understanding of the financial market terminologies. We have used Python as a programming language to teach the concepts. However, Python is not a mandate to do this course. You can also apply the concepts in spreadsheets or any other programming language you are comfortable with.
Position Sizing In Trading Course
Introduction

What is Position Sizing and Money Management?

Position Sizing Terms

Trading Strategy

Implementation of the Trading Strategy

Basic Position Sizing: Fixed Units and Fixed Sum

Basic Position Sizing: Fixed Percentage and Fixed Fraction

Volatility Targeting

Application of Volatility Targeting

Live Trading on Blueshift

Live Trading Template

Constant Proportion Portfolio Insurance

Time Invariant Portfolio Protection

Kelly Formula

Optimal F

Theory Is Grey, but Life Is Green

Numerical Methods

Conservative Framework for Position Sizing

Automate Trading Strategy Using IBridgePy

Run Codes Locally on Your Machine

Capstone Project

Course Summary
About Author
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