Forex position sizer

Below is a spreadsheet of real-time (end of day data), statistically determined maximum recommended position size for accounts in US Dollar, Euro, Japanese Yen, Australian Dollar, Swiss Franc, British Pound, or Canadian Dollar.  The table is for use with trading major forex pairs and crosses in the daily timeframe.

These target maximum units are based on an at-risk amount per trade of $100 in U.S. dollar (and numerically equivalent in other home currencies) to expect for 2 standard deviations (95th percentile) of the daily ranges for each of the corresponding currency trade pair.

In case the spreadsheet data doesn’t load (which happens often as there are a lot of calculations behind it), here’s a link to an image capture of the table taken on February 7, 2010.

You can convert these published units to correspond with your own risk appetite by multiplying the units shown with the number of times of your own portfolio risk amount with respect to $100.

For example, if your forex account has USD $25,000 and you’re willing to risk 1% on each trade, that amounts to $250 risked per trade, which is 2.5 times of $100.  Say if you want to trade EUR/JPY, look up EUR/JPY on Table 1 (since you’re using USD) to find that the target position size is 6175 (as of this writing).  Simply times 2.5 of that number, which equal 15,438 units.

The target maximum number of units is calculated as follow for each currency pair.

  1. Calculate the daily range (high – low) for the past 45 days up to yesterday. The data and tables are updated at the end of each day.
  2. Calculate the standard deviation for the ranges.
  3. Solve the formula:  Units = Risk Amount / [2sigma * Quote(2nd currency/base currency)]

Scroll the horizontal bar beneath the table to move the view to your account’s base currency.

It is best if you copy and paste the data because the connection to Google Finance is not guaranteed. So the table might not work at times.

The pairs/crosses listed in the table are as follow: AUD/JPY, AUD/USD, CAD/JPY, EUR/CHF, EUR/GBP, EUR/JPY, EUR/USD, GBP/JPY, GBP/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY.

If you like this tool, check out my other tools or my posts on quantitative finance.

Did you find what you’re looking for?  Feel free to contact me with any suggestion or opinion so that I can improve this tool for everyone!

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