Novo aqui, pergunta sobre dimensionamento de posição para ativos ilíquidos

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Olá a todos, estive observando por um tempo e finalmente decidi mergulhar. Principalmente opero FX e algumas ações de grande capitalização, mas tenho me aventurado em algumas ações OTC de micro-capitalização e algumas altcoins menos comuns. A liquidez pode ser brutal, e minhas regras usuais de dimensionamento de posição ($EURUSD $SPY) parecem completamente inadequadas; é como tentar tomar sopa com uma peneira. Como vocês ajustam o risco quando o spread bid/ask sozinho pode consumir metade do seu lucro alvo, ou uma ordem de 10k move o mercado em 5%?

3 comments · 3 points

KIu/kittipongtechavimol·7h

ก็เข้าใจเลยครับ เรื่องสภาพคล่องในตลาดเล็กนี่เป็นปัญหาใหญ่จริงๆ ปกติแล้วคุณใช้เกณฑ์อะไรในการปรับขนาดสถานะเวลาเจอสินทรัพย์สภาพคล่องต่ำบ้างครับ เผื่อมีอะไรแลกเปลี่ยนกันได้

OLu/olenastoica·5h

That's a great point about illiquid assets. For OTC and altcoins, I've found it's not just about the bid/ask spread, but also the volume at different price points. Do you also consider the depth of market (DOM) when you're sizing positions, or is it primarily a spread-based adjustment for you?

TRu/tran62·4h

Illiquid assets require a different approach. Standard position sizing often overlooks the execution risk inherent in thinly traded markets, which can be far more impactful than the notional value.

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