This month, we're not going to publish the article code - simply because you already have it, coming with Wealth-Lab 6: "Moving Average Crossover". We picked the most recognized system on the planet to determine if sizing trades based on its current winning percentage improves performance by maximizing capital usage when the odds of a winning trade are high.

Since the emphasis is being put on money management, the prerequisite for testing this month's technique is having the MS123 PosSizer Library installed. Next step is to apply this PosSizer: Percent Winners position sizing (% Equity).

Note: the Wealth-Lab's built-in percent winners PosSizer can't be used for two reasons: it works with fixed dollar sizing and doesn't support current (rolling) winning percentage.

System rules:

1. Go long when the 10-day simple moving average (SMA) crosses above the 60-day SMA.
2. Sell when the 10-day SMA crosses below the 60-day SMA.

And the most important piece, Rolling winning percentage money management:

1. Allocate 10 percent of account equity per position for the first 30 trades.
2. If the winning percentage of the most recent 30 closed positions is at or above 55 percent, use the
maximum position size (15 percent of equity).
3. If the winning percentage of the most recent 30 closed positions is below 55 percent, determine the position size by multiplying the maximum allowed position size (15 percent) by the ratio of the current winning percentage and 55 percent. The position size will be the greater the result or 5 percent (the minimum allowed trade size).

Trading System Lab: Winning percentage position sizing