Research method
Position concentration limit
Position concentration limit is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Account equity, volatility, stop distance and exposure
- Horizon
- Before entry and throughout the position
- Best use
- Keep a loss or exposure decision bounded before a trade is placed.
- Input: Account equity, volatility, stop distance and exposure.
- Output: filter.
- Use boundary: Keep a loss or exposure decision bounded before a trade is placed.
The graph1
How the method is built, and where it has been read
Depends on
Often reviewed together
Stop-loss order4 readings
Read in the archive16 readings
1991Keep one risk ceiling after equity highs1994Equal-weight holding count as a construction control1999Pre-trade size filters for expectancy and ruin2000Budget the loss before entry with stops and position limits2002Retest the entry before you exit2002Option income after volatility and capital gates2002Cap, scale, and delever when research buys late2003Staying power starts as a planned-loser sizing rule2006Leverage caps and concentration limits2007A first-trade survival sequence for leveraged futures2010Bound trend risk before the trade is placed2011Event shocks, size caps, and second-order reweights2014A copied scale-in ladder is not a personal risk plan2018Worst-day caps for clustered system books2019Pair-spread layer limits and event shocks2020Pretrade quantity filters that bound account risk
This registry entry describes a research method. It is not investment advice and does not make a performance claim.