Hi
The Position Options PosSizer is awesome. But, it doesnt seem to be working in one case.

I set Max Percent risk to 0.6%, and max positions to 10. This gives me results I expect based on other testing.

I have checked position sizing by Excel work on the trade results, and see that my max trade size is about 21% of my account, given the level of the equity curve at the date of trade entry (I used a VLOOKUP).
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I then set the box in the PosSizer 'Equity Limit %' to 50. This should have no efffect, as my trades don't get up to 50% position size. But, it roughly halves APR. Likewise when I set the Equity Limit to 21%, it should have close to no effect. But, it makes all the trades tiny and the APR about one fifth of what it should be.

Any ideas please? Settings for PosSizer attached.

Thanks
Rod

Hi Rod,

I don't see anything wrong with the code. Here's how the option works:

1. Set equity limit % as the smallest of 100% and your number e.g. 50%
2. Initialize the maximum available equity as the new equity limit * available capital
3. Calculate the final trade size using the equity value in #2

QUOTE:
I then set the box in the PosSizer 'Equity Limit %' to 50. This should have no efffect, as my trades don't get up to 50% position size. But, it roughly halves APR. Likewise when I set the Equity Limit to 21%, it should have close to no effect. But, it makes all the trades tiny and the APR about one fifth of what it should be.

If you set the number to 50% you limit your equity to 1/2. Setting the Equity Limit to 21% should have a tremendous effect on the strategy performance as it makes your equity 1/5 of what it should usually be.

Ah, I see. It is total equity. Thanks. So a follow up question please:

How, using Risk Stop position sizing, can I limit the size of a position, rather than limiting the total equity used? (the system often enters 10 positions in a day). Each position is sized based on a Risk Stop of 2.5ATR below the last close. But, I want the maximum size of each position to be, say, 18%. How would one do that?

Thanks and regards
Rod

Limiting the % size of a position isn't implemented currently. I will take a look if it's feasible or not to implement it for "Max % Risk" and possibly "Fixed Dollar" (it doesn't make sense for "Pct of Equity"). Will keep you posted here.

Great - thanks. It would be helpful.
Rod

Rod, in v2020.09 of MS123 PosSizers look forward to a new option "Limit Size to % Equity":



ETA ~ end of August. As you requested, its purpose will be to limit the size of a position to a % equity and it will act independently of the "Equity Limit" option for Max % Risk.

P.S. Here's a curiosity. There's already an option that lets you limit total invested amount ($ or %): Invest All / Max Invested $ / % amount. Somehow one of them slipped in as a duplicate!

@Rod

The option you requested has been implemented. Please update the Extension to v2020.09 or higher and restart WL.

Thanks. You guys are absolutely amazing.

PS: I haven't tested it yet but sure it is fine. Will do so now.

Always a pleasure. Hope this helps.