- ago
How can i size each trade so that it risks 5% of total capital but at the same time it does not use more than 20% of capital? In WL there are equity % sizing and max risk % sizing, but how to get both to work together?

One example:
10k equity, if risk 5% max and position size cap at 20% of capital, with entry price 10, if stop loss is 10%:
max risk dollar amount = 10k * 0.05 = 500
per share risk = 10 * 0.1 = 1
risk based position size: 500/1 = 500 shares

equity percentage sizing: 10k * 0.2 = 2000
2000 / 10 = 1000

So the final position size should be min(1000, 500) = 500


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Cone8
 ( 2.12% )
- ago
#1
This sizer is included with the finantic Indicators extension.

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- ago
#2
@rainfield

The Advanced Pos Sizer "Percent Volatility" built into WLab does the same (as long as your stop is ATR-based).
https://www.wealth-lab.com/Discussion/Dual-Risk-Management-Position-Sizer-9458
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