Position size
Drag the two lines: Price moves the scenario, Stop changes the stop distance — the contract count, the leverage and the loss follow. Exactly as on the app's Risk Visualizer screen.
Everything is computed in your browser — nothing is sent anywhere, nothing is stored. The result is a modelled figure: gaps and slippage can make the real loss larger than the number shown.
Where this formula comes from. It is the sizing rule of a real end-of-day S&P 500 strategy. The Strategy Report · Full Size 50/50 Comparison shows what that produced over 63 years and 203 trades, including the drawdowns. The Android app runs the same calculation on your own capital and adds the daily signals.
MAE position sizing for MES and ES — also in AVALONPLUS
The same futures position size calculation, with live quotes and the strategy's daily signals.
Risk Visualizer
The same MAE sizing runs inside the AVALONPLUS Android app, on a screen called Risk Visualizer — same formula, same curve. The difference is that there the stop is a line you can drag: contract count, leverage and the loss at the stop follow while you move it. The current MES/ES quote is pre-filled, so the entry price is not a guess.
Two things the app knows that a browser cannot: how often each stop was actually reached in 63 years of trades, shown right next to the figure — and the strategy's own signals, if you want them.
See the Android app → 30-day Premium trial, then a free plan · or read the Strategy Report firstWhy size from MAE instead of a risk percentage
The idea behind this calculator, in three minutes
Nothing is sent to YouTube until you press play. Privacy policy · Watch on YouTube
What is MAE, and why size a position with it?
Maximum adverse excursion — the deepest a trade ever went against you before it closed.
The definition
MAE is measured from the entry price, as a percentage, not in money: (entry − worst price against you) ÷ entry × 100. It ignores where the trade ended. A trade that closed 12% up but was 6% under water first has an MAE of 6% — and 6% is what your account had to survive.
Why it beats a risk percentage
"Risk 1% per trade" says how much you may lose, but nothing about where the stop belongs. MAE does: it is the observed depth of the drawdowns your setup produces. A stop placed inside that range gets hit by moves your strategy historically recovered from — you would be stopped out of trades that went on to win.
Why a buffer is added
The worst MAE you have seen is a floor, not a ceiling: the next trade can be worse, and a gap can jump straight past a stop without ever trading at it. So the stop goes outside the worst observed MAE, by a margin that reflects how violently your market can reopen.
What is the overnight initial margin?
The amount your broker locks up per contract — and the reason day-trading margins are useless here.
Two different numbers
Brokers quote two margins. The day-trading margin applies only while you are flat by the close and can be a few dozen dollars. The overnight (initial) margin applies the moment you hold a position past the daily settlement — it is set by the exchange and is typically two to three orders of magnitude larger. If you hold anything overnight, the day-trading number is irrelevant to you.
Why it belongs in this calculation
That amount is blocked for as long as the trade is open. It is not available to absorb the loss if price moves against you — so the account needs the margin and the room down to the stop at the same time. That is why both sit in the denominator of the formula below.
Percent or dollars — both work
Exchanges publish margins as a dollar amount per contract; some brokers quote a percentage of contract value. The calculator takes either: switch the unit next to the field. Margins are changed by the exchange whenever volatility shifts, sometimes overnight and sometimes sharply — take the current figure from your broker rather than a number you remember.
How to find the MAE of your own strategy
You need one number: the worst excursion across all your trades.
- Export your closed trades from your backtest or your journal — entry price, exit price, and the extreme price reached in between.
- Per trade, take the worst price against you between entry and exit: the lowest low for a long, the highest high for a short. Where the trade finished does not matter.
- Express it as a percentage of the entry:
(entry − lowest low) ÷ entry × 100for a long. That is this trade's MAE. - Take the largest value across all trades. That is the number this calculator wants — the deepest hole your strategy has put you in.
- Sanity-check the sample. Ten trades tell you little; a few hundred across several market regimes tell you something. If your sample is thin, treat the result as provisional and add more buffer.
Most backtesting platforms export MAE directly. If yours does not, the entry price and the extreme price per trade are enough. And if you have no measured MAE at all: put the stop distance you were going to use into the MAE field and set the buffer to zero. The calculator cannot tell the difference — but you should, because the number is then an assumption rather than a measurement, and everything below it inherits that.
The sizing formula
Two things must fit in the account at once: the margin, and the loss at the stop.
stop_distance% = worst_MAE% + gap_buffer% contracts = floor( capital ÷ ( entry_price × (stop_distance% + margin%) × point_value ) )
Why margin is in the denominator
Most calculators divide a risk amount by the stop distance and stop there. That understates what the position costs you: the margin is blocked by your broker for as long as the trade is open, and the loss at the stop has to be absorbable on top of it. Both amounts have to be available at the same time, so both belong in the budget.
What this formula is — and is not
It is contract maximisation inside a set of limits, not a risk budget. The whole account is divided by what one contract ties up, so the position is the largest the account can carry while still covering margin and surviving a stop-out. The MAE does not cap the quantity — it only decides how much is reserved per contract.
That has a consequence worth seeing plainly: the risk per trade is stop ÷ (stop + margin). At 11 % and 7 % that is 61 % of the account, not the 1 % a conventional rule would use. Broker margin alone would reserve 7 % of notional and budget nothing for the stop; this formula reserves 18 %. It is more conservative than the broker's limit and far more aggressive than a percentage-risk rule — and it is a maximisation either way. 50/50 sizing adds one more limit and brings the implied risk to about 31 %.
Why it rounds down
Futures trade in whole contracts. Rounding up by "just one more" is how an account ends up unable to hold a position through a normal adverse move. If the result is zero, the honest answer is that this account cannot take this trade at this stop distance.
Wider stop, smaller position
The two are linked by the formula, not by preference. Widening the stop makes it less likely to be reached and automatically cuts the contract count. The risk moves between "how often" and "how much" — it does not disappear.
50/50 sizing — trading half the account
What the switch does
With Full, the whole account is budgeted against the stop: the formula above uses your capital as it stands. With 50/50, only half of it is budgeted — the other half stays in cash and is never at risk in the trade.
contracts = floor( capital × 0.5 ÷ ( entry_price × (stop_distance% + margin%) × point_value ) )
The stop does not move. Same entry, same stop price, same distance — only the number of contracts changes. That is the whole point: a wider stop is reached less often but costs more when it is reached, while a smaller position costs less every single time the stop is reached.
What it costs and what it buys
A triggered stop costs half as much. Where full sizing loses up to 61 % of the account on one stop, 50/50 loses up to about 31 %. Measured over 1,000 runs with slightly altered prices, the worst drawdown falls from 78.8 % to 47.6 %.
It costs return in every year in which nothing goes wrong: 50/50 roughly halves the compound growth rate. Over three years that is about a third of the profit — and over ten years and more the gap widens sharply, because two compounding curves drift apart exponentially. Not half of the profit, then: with gains reinvested, the halved position also compounds from a smaller base each time.
And it raises your minimum capital — by more than the doubling suggests. Since only half the account counts, it takes twice as much to carry a single contract, and the calculator says so explicitly when your capital is below that line. But carrying one contract is not the same as surviving: in the strategy this page comes from, one contract becomes possible at about $14,000, while only from $24,900 does the account survive every entry point in the worst case tested. Below that, full sizing is the better choice.
When does 50/50 make sense?
| Your account | Use | Why |
|---|---|---|
| under $14,000 | Full size | 50/50 cannot carry a single contract. |
| $14,000 – $24,900 | Full size | 50/50 works, but the account is still too small to survive the worst case tested — and full size earns about 3.8× more. |
| $24,900 and up | 50/50 | The account survives every entry point in the worst case tested. It costs about 3.2× the return. |
| $100,000 and up | 50/50 | Same trade-off as anywhere else. What changes is the drawdown in dollars. |
This is advice, not a rule. Switch when a drawdown hurts in dollars, not when it hurts in percent. Percent feels the same at $10,000 and at $100,000 — dollars do not. The figures come from the S&P 500 strategy this calculator was built for; your own stop distance and margin move the thresholds.
Contract specifications
The point value is the only input that differs between the two S&P 500 futures.
| Contract | Symbol | Point value | Notional at 7,768 |
|---|---|---|---|
| Micro E-mini S&P 500 | MES | $5 | $38,840 |
| E-mini S&P 500 | ES | $50 | $388,400 |
One ES contract equals exactly ten MES contracts. For a small account that decides whether a sensible position size exists at all: at $10,000 capital with an 11% stop and 7% margin, MES gives you one contract — ES gives you none. For any other future, pick "Other contract" and enter its value per point.
A worked example with 63 years of measured MAE
What the numbers look like when the MAE is not estimated but counted.
AVALONPLUS is a rule-based end of day S&P 500 strategy with four signal types. Because every trade since 1963 is on record, the worst MAE of each type is a measured figure rather than an estimate — and each stop is that figure plus at least 3 points for weekend gap risk. It is one way of arriving at the inputs above; the calculator does not require it.
| Signal type | Worst MAE | + 3% gap buffer | Stop used | |
|---|---|---|---|---|
| Trend-following long | 7.96% | 10.96% | 11% | |
| Counter-trend short | 3.88% | 6.88% | 9% | |
| Momentum long | 2.66% | 5.66% | 5.6% | |
| Aggressive long (sizing) | 1.60% | 4.60% | 4.6% |
"Load" copies that row into the calculator. The stops are rounded up from MAE plus buffer, so the loaded buffer absorbs the rounding. Figures come from a hypothetical backtest over 63 years and are historical observations, not limits future trading has to respect. The Strategy Report documents how each one was derived.
Questions
The ones that actually decide the contract count.
What is MAE in position sizing?
MAE is the maximum adverse excursion: the deepest a trade went against you before it closed, measured from the entry price as a percentage. A trade that ended 12% up but was 6% under water first has an MAE of 6%. Sizing from the MAE means the stop sits outside the drawdowns your setup actually produced, instead of at an arbitrary risk percentage.
How do I find the MAE of my own strategy?
Take every closed trade in your backtest or journal. For each one, find the worst price reached against you between entry and exit, and express the distance from your entry as a percentage. The largest of those numbers is your worst MAE. Most backtesting platforms export it directly; if yours does not, the entry price and the lowest low per trade are enough to compute it.
What gap buffer should I add to the MAE?
Enough to survive a price jump that skips your stop entirely. A stop is not a guaranteed fill: after a weekend or a halt, the market can reopen far past it. In the S&P 500 future the largest weekend gap since 2004 was about 3%, which is why 3 percentage points is a reasonable floor for that market. A more volatile contract needs more.
Why does this calculator add margin to the stop distance?
Because both amounts have to be there at the same time. The margin is blocked by your broker for as long as the position is open, and the stop distance is the loss you have to be able to absorb without touching that margin. A calculator that budgets only the stop distance will hand you a contract count you cannot actually hold.
Which margin do I use - day trading or overnight?
The overnight initial margin, every time you hold a position past the daily settlement. Day-trading margins are far smaller but only apply if you are flat by the close, so for anything held overnight they are irrelevant. Exchanges raise and lower margins as volatility shifts, sometimes at short notice, so take the current figure from your broker.
How many MES contracts can I trade with $10,000?
It depends entirely on your stop distance. With the S&P 500 at 7,768, a stop 11% away and 7% margin, each contract ties up 7,768 x 18% x $5 = $6,991, so the answer is 1. Halve the stop distance and you can hold more contracts - and you will be stopped out more often. There is no fixed answer, which is what the calculator is for.
What is the difference between MES and ES for position sizing?
Only the point value: $5 for the Micro E-mini (MES) and $50 for the E-mini (ES). One ES contract is exactly ten MES contracts, so it ties up ten times the capital. For small accounts MES is what makes a sensible position size possible at all.
Does a wider stop mean less risk?
No - it moves the risk, it does not remove it. A wider stop is reached less often, but it forces a smaller position and costs more when it is reached. A tighter stop allows more contracts and is hit more often. This is a trade of how often against how much.
Is this calculator connected to my broker?
No. Nothing on this page is connected to a broker, no data leaves your browser and no order is ever placed. The numbers it returns are modelled: gaps, slippage and a fill worse than the stop price can all make the real loss larger.