Sizers¶

Sizers determine position sizes for orders.

Position Sizers Module - Order size calculation strategies.

This module provides position sizer implementations that determine the size of orders based on various strategies like fixed size, percentage of capital, risk/reward ratios, etc.

Available Sizers:

FixedSize: Always uses a fixed size for orders.
FixedReverser: Reverses positions with fixed size.
PercentSizer: Uses a percentage of available cash.
AllInSizer: Uses all available cash for each order.
RiskReturnSizer: Sizes based on risk/reward ratio.

Example

Using a sizer with cerebro: >>> cerebro = bt.Cerebro() >>> cerebro.addsizer(bt.sizers.FixedSize, stake=100) >>> cerebro.addsizer(bt.sizers.PercentSizer, percents=10)

Overview¶

Sizers calculate how many shares/contracts to trade based on portfolio value, risk parameters, or custom logic.

Built-in Sizers¶

FixedSize: Fixed number of units
FixedReverser: Fixed size with position reversal
PercentSizer: Percentage of portfolio
AllInSizer: Use all available cash
AllInSizerInt: All-in with integer shares

Using Sizers¶

cerebro = bt.Cerebro()

# Fixed size sizer
cerebro.addsizer(bt.sizers.FixedSize, stake=10)

# Percentage sizer (10% of portfolio per trade)
cerebro.addsizer(bt.sizers.PercentSizer, percents=10)

# All-in sizer
cerebro.addsizer(bt.sizers.AllInSizer)

Per-Strategy Sizer¶

cerebro.addstrategy(
    MyStrategy,
    sizer=bt.sizers.PercentSizer,
    sizer_percents=5
)

Creating Custom Sizers¶

class RiskSizer(bt.Sizer):
    params = (
        ('risk', 0.02),  # Risk 2% per trade
    )

    def _getsizing(self, comminfo, cash, data, isbuy):
        # Calculate position size based on risk
        risk_amount = cash * self.params.risk
        atr = self.strategy.atr[0]  # Assume ATR indicator exists

        if atr > 0:
            size = int(risk_amount / atr)
        else:
            size = 0

        return size

# Use custom sizer
cerebro.addsizer(RiskSizer, risk=0.01)