Position size calculator which includes fees in the risk

External question — Personal Finance Stack Exchange Author: Jericho Original post: https://money.stackexchange.com/questions/153022 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Problem: I have a position calculator for scalping, but currently it does not include entry/exit fees in my risk calculation. Since scalping, in most scenarios, requires leverage, those fees really add up, and add more risk to each trade . To clarify further, here's an example 2R trade. Example: Portfolio and variables: My portfolio size is $10000 My risk per trade is 2% My fees for entering and exiting the trade are 0.04% each Trade details: Entry : $20000 Stop Loss : $19850 Target : $20300 Position calculation details: Max to risk : $-200, Potential reward : $400 Risk:Reward : 2 Max size in shares : 1.33, Max size in dollars : $26666.66, Entry Fee : $-10.66, Stop Loss Fee : $-10.58, Take Profit Fee : $-10.82 (obviously I would have to use at least x3 leverage here to execute this trade, so don't get hang up on "your position size is greater than your entire portfolio" :) Conclusion : In this example you can see that fees really add up in both scenarios: if stop loss triggered: entry fee + stop loss fee = $21.24 if target reached: entry fee + take profit fee = $21.48 If my stop loss gets triggered, i'm loosing my 1R , which is $200 , plus additional $21.24 in fees. That all sums up to $221.24 , which is more than -1.1R , not the projected -1R . Question: Which mathematical formula could I use to include the fees in my position size calculator, so my "targeted loss" with fees is exactly 2% ? Code example: I've recreated my position calculator in javascript and uploaded it here so you can play around with it. The provided calculator includes both long and short calculation, but the core math/logic is this: maxToRiskAmount = portfolioBalance * MAX_RISK_CONSTANT * -1; rewardPerUnit = target - entry; riskPerUnit = stopLoss - entry; riskReward = rewardPerUnit / -riskPerUnit; totalCostPerUnit = stopLoss - entry; maxUnitSize = maxToRiskAmount / totalCostPerUnit; maxPosSizeUSD = (maxToRiskAmount / totalCostPerUnit) * entry;

External answer — Personal Finance Stack Exchange Author: WoSS Original post: https://money.stackexchange.com/a/154157 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Dunno if you got an answer to this, but I have been going round and round the last week with the same problem and think I may have found a method for the calculation. Risk Premium (your risk per unit) is what we were both using to size on, versus max account risk. I have found that if you multiply Entry price by maker fee (for limit in) and Stop price by taker fee (for Market stop out) then add these both to your risk premium (risk per unit), you get an overall risk premium per unit including the per unit fees. If you then size based on this risk premium it seems to work (within a few cents anyway) Give it a try.