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Percent Winners position sizing (% Equity)

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Like the Wealth-Lab's built-in "Percent Winners" money management method, this PosSizer fluctuates the position size between a minimum and maximum value based on the percentage of closed positions that were profitable to date. However, one substantial difference is that instead of the fixed dollar values, the PosSizer fluctuates the size between a minimum and maximum percentages of equity. Of course, this is a much more universal approach (for more details, see our notes about Fixed Ratio's Delta - partially applicable here).

By analogy with the Wealth-Lab's "father" PosSizer, you have the option to specify the position's minimum and maximum thresholds (as percentage of equity), plus define a system's winning percentage level used to apply the maximum size.

Check "Enabled" under "Rolling Method Options" to change the PosSizer's behavior so that it will use rolling percentage of winners based on a specified number of last trades. When "Rolling method" is disabled (by default), the percentage of winners is calculated from the first closed trade to the the last closed trade. When enabled, the "Rolling Method" will:

  • Size positions based on the initial size (%) until the number of closed positions exceeds the user-specified "Number of trades"
  • After that, it average the winning percentage over user-specified number of last trades ("Number of trades") - like a moving average of the N trades

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Ideally, the percent of profitable trades should stay reasonably constant.

  • Based on closed trades only.
  • When "Rolling method" is disabled, and there are no closed positions yet, positions are sized at the max possible size.

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Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


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