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:
- A position is created with initial risk of 5% of total capital using RiskStopLevel.
- A trailing stop order (e.g. Chandelier exit) is placed below the price.
- As the stop gets closer to the price, your current risk is less than the initial risk.
- Your trading system flashes a green light to enter more position(s) - also using RiskStopLevel.
- The PosSizer subtracts the number of shares that are already owned from the size calculated as the new fixed 5% Risk stop sizing.
- 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.