A Multi-Factor Risk Score and Position Size Estimator

Summary

This daily-chart indicator combines several historical measures to estimate risk and suggest position sizes. Its inputs include capital, assumed win rate and profit ratio, a maximum acceptable drawdown, risk-scaling choice, benchmark, and a seasonal adjustment. It calculates annual high-to-low drawdown and ATR percentage ranges, then weights recent years more heavily. It also compares weighted annual stock returns with benchmark returns, including current-year performance, and displays a risk score, ATR multiple, and position-size estimates.

The script is a heuristic framework rather than a validated sizing model. The supplied text is truncated, so the full risk-score and position-size formulas cannot be assessed. Its annual high-to-low range is not a conventional peak-to-trough drawdown, and the calculations depend on historical observations, user assumptions, and the selected benchmark. The code reports no backtest, calibration, or evidence that its suggested sizes control future losses; users should inspect the formulas and data handling before relying on the outputs.

Key ideas

• The indicator is restricted to daily charts and uses user inputs such as capital, win rate, profit ratio, and acceptable drawdown.
• It weights recent annual drawdown and ATR range observations to summarize historical risk and volatility.
• Weighted stock returns are compared with a benchmark, with current-year performance incorporated into the averages.
• The script presents its risk score and position size as estimates, and the truncated formulas and lack of validation limit interpretation.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.