Risk Management – Variable Position Size

• 05/26/2025 at 1:18 PM #247615
  titleist311

  Hi everyone,

  I have a question regarding my PRT Code.  I wanted to define the position size so that the same risk in terms of $ value applies for each trade. Once I perform a backtest the position size varies and most of the time it is doing what it should. But there is also a significant number of exceptions where the result deviates too much from the original intention with 1:1 Risk/Reward.

  Please find below the code and attached also a picture of the results with yellow marked deviations.

  SL = (High - Low) R = 500 Tickvalue = 2 OrderQty = Round ((R / SL) / Tickvalue),0) //Conditions for Direction Short IF .... THEN Direction = -1 ENDIF IF NOT OnMarket AND Direction = -1 THEN SELLSHORT OrderQty CONTRACT AT (Low - 0.25*pipsize) Stop SET STOP PLOSS (SL)*pipsize InitialSL = SL ENDIF //Exit Short 1:1 IF ShortOnMarket THEN SET STOP PLOSS (1*InitialSL) SET TARGET PPROFIT (1*InitialSL) ENDIF

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  SL = (High - Low) R = 500 Tickvalue = 2 OrderQty = Round ((R / SL) / Tickvalue),0)   //Conditions for Direction Short IF .... THEN Direction = -1 ENDIF   IF NOT OnMarket AND Direction = -1 THEN SELLSHORT OrderQty CONTRACT AT (Low - 0.25*pipsize) Stop SET STOP PLOSS (SL)*pipsize InitialSL = SL ENDIF   //Exit Short 1:1 IF ShortOnMarket THEN SET STOP PLOSS (1*InitialSL) SET TARGET PPROFIT (1*InitialSL) ENDIF

  The average position size is like 10-15 contracts, so it is not the problem that it is only 1 contract.

  What is wrong in my code and what can I do better in order to have a proper position size for risk/reward calculation?

  Thank you very much for your support.

  Best regards

  Simon

   

  

  titleist311

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  05/27/2025 at 12:32 PM #247649
  JS

  Hi Simon,

  In “Risk Management,” it’s common practice to risk only 1% of your capital per trade and base your position size on this, for example:

  // Money Management

  Capital = 10000
Risk = 0.01
StopLoss = 10

  // Calculate number of contracts

  Equity = Capital + StrategyProfit

  MaxRisk = round(Equity * Risk)

  PositionSize = abs(round((MaxRisk / StopLoss) / PointValue) * pipsize)


  A lot has already been written on the forum about money/risk management, and if you check the library or search for “money management,” you’ll find plenty of useful information…

  2 users thanked author for this post.

  Iván, robertogozzi

  

  JS

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