Position Sizing Indicator

[waveslider 10]

You need to know how long your average losing trade lasts.

 

This indicator calculates risk per day then sizes your position accordingly based on average true range.

 

I like to scale into positions so I have it entering positions a third (approximately) at a time.

 

Can't post ELD at the moment for some reason.

 

 

 

inputs: ATRLength( 14 ),risksize(1200), maxpositionsize(50000),avgtradelen(3.5) ;

 

 

value2=risksize/((AvgTrueRange( ATRLength )*avgtradelen));

 

 

 

if (value2*close)>maxpositionsize then value2= maxpositionsize/close;

 

value1=value2*3;

 

Plot1(value1*.31, "Init" ) ;

 

Plot2(value1*.33, "2nd" ) ;

 

plot3 (value1*.36, "3rd");

WS POSITION SIZER.ELD

Edited February 5, 2008 by waveslider
added eld