Contract Sizing with Balance Steps and a Drawdown Breaker
Summary
The document describes a contract sizing method that scales contract count in steps based on account balance. It sets a maximum contract cap and a minimum capital threshold below which trading stops. A drawdown breaker can halt sizing after losses reach a configured fraction of the account’s peak. The peak is saved across terminal restarts, and the method adjusts it for deposits or withdrawals recorded in deal history so a deposit during a drawdown does not conceal the loss from the previous peak.
The example proposes a simulated balance path with a deposit during a drawdown, to compare how the recorded drop behaves with deposit adjustment enabled or disabled. The class is intended to recalculate contract count when the day changes, while a balance cap also applies when lots are set manually. Rearming the breaker requires an explicit manual decision. No trades or performance results are provided. The document also cautions that sizing changes exposure but cannot create a profitable trading edge.
Key ideas
- Contract count rises in balance-based steps and remains subject to a configured cap.
- Trading stops when capital falls below a minimum threshold.
- A drawdown breaker compares balance with a persisted peak and requires manual rearming.
- Deposits and withdrawals shift the recorded peak by the corresponding amount.
- Position sizing scales an existing edge but does not create one.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.