Skip to main content

Documentation Index

Fetch the complete documentation index at: https://mintlify.com/theonetrade/backtest-kit/llms.txt

Use this file to discover all available pages before exploring further.

addSizingSchema registers a named position sizing calculator that computes how many units to buy or sell for a given trade. Backtest Kit ships three sizing methods out of the box—fixed percentage of account balance, Kelly Criterion, and ATR-based—each with optional position constraints. Once registered, a sizing schema is invoked via PositionSize.fixedPercentage, PositionSize.kellyCriterion, or PositionSize.atrBased inside a strategy’s getSignal function to produce a cost value before returning the signal.

​
Function Signature

addSizingSchema(sizingSchema: ISizingSchema): void
ISizingSchema is a discriminated union selected by the method field:
  • ISizingSchemaFixedPercentage (method: "fixed-percentage")
  • ISizingSchemaKelly (method: "kelly-criterion")
  • ISizingSchemaATR (method: "atr-based")

​
Common Parameters (all methods)

​
sizingName
string (SizingName)
required
A unique identifier for this sizing configuration. Used as the routing key in PositionSize.* calls.
​
method
"fixed-percentage" | "kelly-criterion" | "atr-based"
required
Selects the sizing algorithm. Must match the corresponding interface (ISizingSchemaFixedPercentage, etc.).
​
maxPositionPercentage
number
Optional cap expressed as a percentage of account balance (0–100). The calculated size is clamped so it never exceeds this fraction of the account.
​
minPositionSize
number
Optional floor for the calculated position size (absolute value in quote currency).
​
maxPositionSize
number
Optional ceiling for the calculated position size (absolute value in quote currency).
​
callbacks
Partial<ISizingCallbacks>
Optional lifecycle callbacks:
  • onCalculate(quantity, params) — called after every size calculation with the result and input parameters. Useful for logging or auditing.
​
note
string
Optional developer note.

​
Method-Specific Parameters

​
method: "fixed-percentage"

​
riskPercentage
number
required
Percentage of account balance at risk per trade (0–100). The position size is derived from the distance between entry and stop-loss so that the maximum loss equals riskPercentage of the account.

​
method: "kelly-criterion"

​
kellyMultiplier
number
default:"0.25"
Fractional Kelly multiplier (0–1). 0.25 = quarter Kelly, which reduces variance compared to full Kelly while still achieving long-run growth. Lower values are more conservative.

​
method: "atr-based"

​
riskPercentage
number
required
Percentage of account balance at risk per trade (0–100).
​
atrMultiplier
number
default:"2"
Multiplier applied to the ATR value to set the stop distance. A larger multiplier gives more room for noise.

​
Default Sizing Behavior

If a strategy does not call PositionSize.* inside getSignal, the signal’s cost field defaults to CC_POSITION_ENTRY_COST (default: $100 per DCA entry). This flat-dollar default is suitable for backtesting without capital management, but production strategies should always compute size explicitly.

​
Example

import { addSizingSchema, PositionSize, addStrategySchema, getCandles } from 'backtest-kit';

// Fixed-percentage: risk 1% of account per trade
addSizingSchema({
  sizingName: 'conservative',
  method: 'fixed-percentage',
  riskPercentage: 1,
  maxPositionPercentage: 10,   // never exceed 10% of account in one position
});

// Kelly Criterion with quarter multiplier
addSizingSchema({
  sizingName: 'kelly-q',
  method: 'kelly-criterion',
  kellyMultiplier: 0.25,
  maxPositionPercentage: 20,
});

// ATR-based with 2× ATR stop distance
addSizingSchema({
  sizingName: 'atr-dynamic',
  method: 'atr-based',
  riskPercentage: 2,
  atrMultiplier: 2,
  callbacks: {
    onCalculate: (quantity, params) => {
      console.log(`Sized ${params.symbol}: $${quantity.toFixed(2)}`);
    },
  },
});

// Use sizing inside a strategy
addStrategySchema({
  strategyName: 'sized-strategy',
  interval: '5m',
  getSignal: async (symbol, when, currentPrice) => {
    const accountBalance = 10_000; // fetch from your portfolio API
    const priceStopLoss = currentPrice * 0.985;

    const cost = await PositionSize.fixedPercentage(
      symbol,
      accountBalance,
      currentPrice,
      priceStopLoss,
      { sizingName: 'conservative' },
    );

    return {
      position: 'long',
      priceTakeProfit: currentPrice * 1.03,
      priceStopLoss,
      cost,   // ← dynamically calculated position size
    };
  },
});

Build docs developers (and LLMs) love

Get started for freeTalk to us