DislikedHSBC, Barclays, Fidelity are the ones I have worked for commercially. I wouldnt call it martingale but averaging is common place among senior traders.
If they wish to risk a total of 10% then they will average in at 1%, 3% and 6% at certain trading levels, usually around major support/resistence areas.
And I dont mean support/resistence levels available/visible to your average retail trader. These are levels whereby pending orders/amounts are visible at interbank levels.
ScoobsIgnored
Martingale is when you set a given distance between opening orders and your aiming to make 1R return from your initial order either right off the bat or as a blended rate between multiple orders.
If a trader has a multi-million dollar pool to manage they often won't open their position for an idea all at once, and instead open partial positions at key areas of support or resistance and slowly build up a position to manage later.
I haven't heard of many risk manager who support upping the size as you pointed out. Often this average in positioning is done with near equal size and what's focused on is the average price between all positions.
I mean, I know my risk manager would get all slap-happy on me if I said something like "this has blown through 3 of my 4 levels where I planned on getting in, so clearly it's not working as well as I thought, so this time I'm going to triple my risk so I might be able to get out of this thing with a small gain." And by slap-happy I don't mean a good thing...
Anyhoo, the point is, averaging into a position trade when you have a lot of capital to manage is found at nearly every respected firm on the street...
...but Martingale, where you double up blindly to make the same 1R return as the first open position, usually doesn't fly.
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