Position Sizing 部位管理

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Fixed
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Positions are not sized. Each position will trade the number of contracts specified. This is the default.

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Fixed Amount
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Number of contracts is determined by margin. When margin allows, an extra contract is traded. Similarly, number of contracts is reduced when the equity decreases.

For example, if the Inc Margin $ is $10,000 and the starting capital is $10,000, one contract is traded. When the equity goes above $20,000, two contracts are traded. If Dec Margin $ is $5,000, then two contracts will be traded until the equity level goes below $10,000 (2 contracts x $5,000).

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Fixed Amt w/Trial
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Fixed Amt w/Trial is identical to Fixed Amount except Fixed Amt w/Trial has the extra Trailing $ setting for profit protection.

The Trailing $ setting is used to reduce number of contracts when the equity goes below Trailing $. Unlike Dec Margin $, the contract reduction by Trailing $ kicks in only when the equity is increasing (the system is making a profit).

For example, if Inc Margin $ is $10,000 and the starting capital is $10,000, one contract is traded. When the equity goes above $20,000, two contracts are traded. If Trailing $ is $1000, when the equity goes below $18,000 (2 contracts * $1000), the number of contracts traded is reduced to 1.

Consider a similar but different scenario. Suppose the Inc Margin $ value is $10,000, starting capital is $20,000 and Trailing $ is $1000, two contracts are traded. When the equity goes below $18,000, the number of contracts is not reduced because the system is not profitable. The number of contract will reduce only when equity goes below what is determined by Dec Margin $ value.

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Conservative Fixed
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Conservative Fixed is similar to Fixed Amount but with Conservative Fixed, the number of contracts increases in a slower pace.

Let R(N) be the required equity level for N contracts, M be the value specified by Margin $, D be the value specified by Max DD $. Then the required equity level for N contracts is defined by:

R(1) = M + D

R(N) = R(N-1) + M + D * N

For example, if Margin $ is 3000 and Max DD $ is 500, then the required equity level for the first contract is:

R(1) = 3000 + 500 = 3500

The required equity level for the second contract is:

R(2) = 3500 + 3000 + 500 * 2 = 7500


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Percent Risk
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Percent Risk calculates the number of contracts based on amount of risk you want to take on the capital.

If the current equity level is $20,000, Risk % is 20, Worst Loss $ is $1000, then:

number of contracts = $20,000 * 20% / $1000  =  4 contracts

The number of contracts is then checked against margin requirement. The number of contracts allowed by margin is used to limit the number of contracts determined by Percent Risk.

Percent Risk gives you high degree of control over the number of contracts. If you increase Risk %, it will also size up/down the number of contracts rapidly when capital increases/decreases.