Position Sizing


Profit Targets relative Prices and relative sizes

The system allows to specify the profit targets size relative to risk per trade and the corresponding target price.

profit_targets  – A string with percentage of size for the whole trade for each trade.

Ex: “0.3,0.1,0.1,0.5” is instructing the system to distribute the allowed size of each trade, calculate from the risk_per_trade, as:

  • 0.3*size for the first position means than 30% of the size will go to this position
  • 0.1*size for the second position means than 10% of the size will go to this position
  • 0.1*size for the third position means than 10% of the size will go to this position
  • 0.5*size for the fourth position means than 50% of the size will go to this position

In the case that the account balance and the risk parameters make any order without a size, i.e, the size is zero, then that order will be ignored and also the trade will not triggered.

In the case that the sum of all of the values is greater than 1.0, and error will occur and not trades are taken

Position Target prices

The profit target prices are required to be specified for each of the positions. The value is a value relative to the order risk in points. The risk in points is calculated from the signal taken.

Example:

profit_targets_prices = “0.4,0.8,1,0”

Means that :

  • The first profit target price will be the entry price plus, in case of Buy, or minus in case of sell, 0.4, or 40%, of the position risk, i.e., if the system opens a position with a risk of 100 points, the first profit target will be the entry price + 40 points (0.4 *100);
  • The second profit target price will be the entry price plus, in case of Buy, or minus in case of sell, 0.8, or 80%, of the position risk, i.e., if the system opens a position with a risk of 100 points, the second profit target will be the entry price + 80 points (0.8 *100);
  • The third profit target price will be the entry price plus, in case of Buy, or minus in case of sell, 1 or 100%, of the position risk, i.e., if the system opens a position with a risk of 100 points, the first profit target will be the entry price + 100 points (1 *100);
  • The fourth profit target price will 0, meaning that there is no profit target and the position will be managed with a trailing stop loss.