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Constant Risk

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This PosSizer keeps total risk of capital in pyramided positions in a symbol to a specified percent-risk value.

There are two prerequisities to using this tool:

  • Strategy code must be using RiskStopLevel when making entries
  • Having a non-empty entry signal name (i.e. the Position.SignalName property) is required. Type in the initial entry signal into the corresponding field.

Consider this scenario:

  1. A position is created with initial risk of 5% of total capital using RiskStopLevel.
  2. A trailing stop order (e.g. Chandelier exit) is placed below the price.
  3. As the stop gets closer to the price, your current risk is less than the initial risk.
  4. Your trading system flashes a green light to enter more position(s) - also using RiskStopLevel.
  5. The PosSizer subtracts the number of shares that are already owned from the size calculated as the new fixed 5% Risk stop sizing.
  6. The new (pyramid) entry is taken if the difference (see #5) is positive or the trade is rejected.

In short, the % risk size is dynamically adjusted while considering other positions.

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