Saturday, July 31, 2010

Position Sizing

Position sizing scripts are automatically called to determine the number of shares / contracts / units to buy or sell when an order is generated by a trading strategy script.

Position sizing scripts can evaluate pending orders and determine their size based on numerous variables such as current account statistics, open and closed trades and historical symbol behavior.

Separating the logic of when to enter or exit a trade via trading strategy scripts, and how much to invest in it via position sizing scripts, simplifies testing different combinations of the two.

Position Sizing Screenshots

Position Sizing Script Position Sizing Setup
A position sizing script open in the script designer. The portfolio accounts and their position sizing scripts.
Position Sizing per Trade
The orders created by the trading strategy scripts. (Notice the quantities which are created by the position sizing scripts).

Position Sizing Scripts

The IQBroker automated trading platform ships with a library of premade position sizing scripts that can be used without any programming, while custom scripts can easily be developed using the resource designer and IQLanguage.

ID Name Author Last Update
FS Fixed Size Admin 2010-04-25
FAE Fixed Equity per Trade Admin 2010-04-27
KF Kelly Formula Admin 2009-06-17
FF Fixed Fractional (Risk) Admin 2010-04-27
PRM Profit Risk Method Admin 2010-04-21
FR Fixed Ratio Admin 2009-06-17

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