TradeStation Portfolio Maestro

Fixed Fractional by Market Value - Money Market Strategy

The Fixed Fractional by Market Value strategy calculates a predetermined percent of the portfolio equity and uses it to enter a position based on the market value of the instrument. The parameters that are used to determine the amount of portfolio equity to be risked, the number of contracts or shares to trade and the Maximum Number of Contracts that can be purchased.

• The percent risk is the percent of the total portfolio equity expressed in the selected currency that is available to invest in a trade.
• The Maximum Number of Contracts is the maximum number of contracts or shares that can be bought (or sold) on any trade.

Example

If we are trading the e-mini S&P futures (each point is worth $50) and would like to place an order using 5% of the equity which is $1,000,000 when ES is at 890, then the number of contracts purchased is 1,000,000*0.05/(50*890) = 1.

For symbols that have point value equal 1 this strategy produces the same results as the strategy “Fixed Fractional by Price”.