Once your system produces a trading signal, the next decision you have to make is how many shares, contracts, or units to buy with each trade. The Trader includes a position sizing feature that helps you make this decision.
To access this feature in the Trading Strategy wizard, click on the Modify Trading Strategy parameters button, and next click on the Sizing tab. You’ll see a list of available sizing methods. For example, if you want to trade 100 shares each time, click on the Fixed Size option and then click on the shares parameter. The “Modify Position Sizing Parameter” button becomes active. Click on it and enter 100 shares. Another option is to click on the lock beside shares sizing method until it turns into the red optimization sign. Click on the modify button and you can now enter a range of shares that will be considered by the optimizer.
In addition to ranges, you can let the optimizer choose from among the different methods. Note that many of them have parameters and you can set ranges. However, some of the methods, such as the Kelly formula, do not have any ranges to set. See the help file for details on each method.
On the Trading Strategy Results screen, you can view the sizing method chosen by the optimizer. Select the Optimization data set and then click on the Detailed analysis button. Go to the Trading Rules tab. At the bottom of the rules, you’ll see the sizing method chosen by the optimizer. When you click on Trade by Trade, you’ll see that the number of shares traded each time varies, which depends upon which optimization method is used.