Position Sizing with the Trend

Modified on 2011/05/24 14:30 by Eugene — Categorized as: PosSizers

This PosSizer implements an interesting money management approach - to vary the trade size depending on current trend.

One of the three Wealth-Lab's standard position sizing choices can be taken as the basis (fixed dollar, percent of equity, or max risk percent). Next, enter some percentage increase to apply to trades when they're going in your favor - i.e., for a long position, the size will stay as is in bearish trend, and will be increased accordingly when a bullish trend is detected (and vice versa for short trades).

This PosSizer has two ways to determine the trend. The first one is based on a short-term simple moving average being above or below a long-term simple moving average. The moving average periods are configurable. Hence it is compatible with any system.

An alternative approach supported is to look at what the system is "telling" the PosSizer. If you mark your entry signals with some keyword - for example, "bullish" and "bearish" - Wealth-Lab will look if the Position.SignalName property contains your "verbal" trend definition and size the trade accordingly. (You can use either the EntrySignal or SMA method - not both at the same time.)


Additionally, see Extraordinary Opportunities.