Wealth-Lab Wiki

API ChartStyles Community Components Community Indicators IndexDefinitions Knowledge Base Misc Optimizers Pending Deletion PosSizers Providers Standard Indicators TASC Traders Tips TASCIndicators Tutorial Videos Visualizers
RSS

Navigation


Quick Search
»
Advanced Search »


TSSF (Trading System Safety Factor)

RSS
This PosSizer fluctuates the position size between a minimum and maximum value based on the Trading System Safety Factor (TSSF). TSSF was invented by Russian asset manager Mikhail Korolyuk in the early 2000s in an article "Be in phase". In short, the TSSF evaluates a trading system's rolling performance using a time window of N trades through the following formula:

Average Win / Absolute Average Loss / ( ((110% - %Win) / (%Win-10%) + 1) )

You have the option to specify the position's minimum and maximum thresholds (as percentage of equity), plus define the TSSF level above which the maximum position size is applied. When TSSF drops below a certain threshold, indicating that the system's conditions are sub-optimal, positions will be sized at the minimum size. Finally, define the initial size as a percentage of equity which will be used to size the first N trades (20 by default) before the rolling TSSF value becomes available.

Example

For the last 30 closed trades, your winning rate was 56%, the average winner and average losing trade were $590 and ($486) respectively. Consequently, the rolling TSSF ratio is 0.56 and it will apply to any new position being opened while your closed positions count isn't changed.

Image

  • The TSSF is based on closed position data, open positions are excluded from the calculation.
  • For an in-depth article illustrating applications of the TSSF, see: Be In-Phase

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.

Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


ScrewTurn Wiki. Some of the icons created by FamFamFam.