Percent Winners (% Equity) PosSizer formula
Author: tradercn
Creation Date: 9/3/2014 10:37 PM
profile picture

tradercn

#1
What is the formula of Pct Winners(%Equity) please?
The only detail I got is from http://www2.wealth-lab.com/WL5WIKI/psPctWinnersPct.ashx. But there is no formula which I could apply it manually. Thanks.
profile picture

Eugene

#2
The formula for Win Rate % is:

win rate % = (winning trades * 100) / numTrades, where:

winning trades
a) the number of winning trades in last N closed positions (if "rolling method" is selected) or
b) the number of winning trades in all closed positions the system has made

numTrades =
a) the number of last N closed positions (if "rolling method" is selected) or
b) the number of all closed positions the system has made
profile picture

tradercn

#3
In my understanding, if winning rate is 40%, or the formula result is 40%, since maximum percent equity is 20%, so my next position should be 20%. If it is right, the option: Maximum size will be used when winning percent greater than or equal to 65%, sounds not useful. Because maximum size will be used when winning rate is greater than 20%. Is my thought correct? Thanks.
profile picture

Eugene

#4
No. Sorry, I looked in the wrong place of the code. That was how win rate % is calculated whereas you asked for the actual formula which is:

size = Maximum % Equity per position e.g. 20% * (current win rate % / Maximum Winning Percentage threshold e.g. 65%)

My apologies for the inconvenience.
profile picture

tradercn

#5
Thanks for your classification.
Let's assume Maximum Winning Percentage threshold is 65%. Say, if win rate % is 5%, 13%, 39%, 100%. According to the formula you showed above, the result, or the position will be:
20%*(5%/65%)=1.53%, but the Minimum Position is 5%, so the result is 5%.
20%*(13%/65%)=4%;
20%*(39%/65%)=12%;
20%*(100%/65%)=30%, but the Maximum Position is 20%, so the result is 20%.
Are the above results right? Thanks so much for your patience all the time. :)
profile picture

Eugene

#6
That's right. With the exception of the 2nd case which is not 4% but 5% (i.e. because the resulting figure is less than the minimum position size threshold).
profile picture

tradercn

#7
Thanks so much for your answer. :)
Have a great weekend.
This website uses cookies to improve your experience. We'll assume you're ok with that, but you can opt-out if you wish (Read more).