Position sizing function not working properly

• 08/12/2019 at 10:06 AM #104595
  Thally

  Hi all,

  I have written a simple trend following strategy that works across multiple markets. A Stoploss is placed behind most recent swing high/low and then a position sizing function uses the distance from the entry to the stop to set position size according to maximum permissible risk. However when running this strategy in realtime I have been finding that position sizes are often much larger than the 1% risk allowance. For example I set my account size to 36,000 so a 1% max position size should be capped at 360. This morning the entered position had a risk of 1547 (4.3% of account size). The code for the strategy is pasted below. Does anyone have any ideas as to why the position sizing function is working incorrectly?

  Thanks

  Roj

  // code-parameter DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FlatAfter = 210000 // window high/low calculation StartTime = 090000 EndTime = 092000 // Spread sp = 1 // money management Capital = 36000 Risk = 0.01 equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSizeL = abs(round((maxrisk/StopLossL)/PointValue)*pipsize) PositionSizeS = abs(round((maxrisk/StopLossS)/PointValue)*pipsize) // calculate high/low IF Time >= StartTime AND Time <= EndTime THEN orh = HIGHEST[20](high) orl = LOWEST[20](low) ENDIF // Count number of trades TradeCounter = 0 // position management // Long IF Not ONMARKET AND close CROSSES OVER orh AND TradeCounter < 5 THEN // long IF (Time >= 90000 AND Time <= 150000) THEN BUY PositionSizeL PERPOINT AT MARKET StopLossL = abs(close - orl) + sp set stop loss StopLossL SET TARGET PROFIT 150 * pipsize TradeCounter = TradeCounter + 1 ENDIF ENDIF // short IF Not ONMARKET AND close CROSSES UNDER orl AND TradeCounter < 5 THEN IF (Time >= 90000 AND Time <= 150000) THEN SELLSHORT PositionSizeS PERPOINT AT MARKET StopLossS = abs(close - orh) + sp set stop loss StopLossS SET TARGET PROFIT 150 * pipsize TradeCounter = TradeCounter + 1 ENDIF ENDIF

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  // code-parameter DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FlatAfter = 210000 // window high/low calculation StartTime = 090000 EndTime = 092000   // Spread sp = 1 // money management Capital = 36000 Risk = 0.01 equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSizeL = abs(round((maxrisk/StopLossL)/PointValue)*pipsize) PositionSizeS = abs(round((maxrisk/StopLossS)/PointValue)*pipsize) // calculate high/low IF Time >= StartTime AND Time <= EndTime THEN orh = HIGHEST[20](high) orl = LOWEST[20](low) ENDIF   // Count number of trades TradeCounter = 0   // position management // Long IF Not ONMARKET AND close CROSSES OVER orh AND TradeCounter < 5 THEN // long IF (Time >= 90000 AND Time <= 150000) THEN BUY PositionSizeL PERPOINT AT MARKET StopLossL = abs(close - orl) + sp set stop loss StopLossL SET TARGET PROFIT 150 * pipsize TradeCounter = TradeCounter + 1 ENDIF ENDIF   // short IF Not ONMARKET AND close CROSSES UNDER orl AND TradeCounter < 5 THEN IF (Time >= 90000 AND Time <= 150000) THEN SELLSHORT PositionSizeS PERPOINT AT MARKET StopLossS = abs(close - orh) + sp set stop loss StopLossS SET TARGET PROFIT 150 * pipsize TradeCounter = TradeCounter + 1 ENDIF ENDIF

   

  

  Thally

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  08/12/2019 at 1:09 PM #104604
  Thally

  I figured it out. Just need to remove the

  >*pipsize

  1

  >*pipsize

   

   

  multiplier at the end – was redundant

  >PositionSizeL = abs(round((maxrisk/StopLossL)/PointValue))

  1	>PositionSizeL = abs(round((maxrisk/StopLossL)/PointValue))

   

   

  works as anticipated

   

  2 users thanked author for this post.

  Nicolas, GraHal

  

  Thally

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