Position sizing that treats cost as part of the risk
Posted: Tue Oct 27, 2026 7:08 am
Classic sizing: risk 0.5% of the account, divide by the stop distance, get the lot size. The issue is that the stop isn't the only thing you lose on a losing trade. You also pay spread, commission and slippage.
Example with a $10,000 account, 0.5% risk = $50:
The fix I use:
Lot size = risk amount / ((stop distance + expected cost) × pip value)
With 0.9 pips of cost that gives $50 / (5.9 × $10) ≈ 0.85 lots.
It feels like a small change. But it means my drawdown stats match my plan, and my risk per trade is what I think it is. For gold, where costs are often a larger share of the stop, the difference is even bigger.
Does anyone else build cost into sizing, or do you treat it as part of the expectancy calculation instead?
Example with a $10,000 account, 0.5% risk = $50:
- Stop 5 pips on EURUSD.
- Classic sizing: $50 / (5 × $10) = 1 lot.
- Actual loss when stopped: 5 pips + 0.7 pip commission + 0.2 average stop slippage = 5.9 pips, so about $59.
The fix I use:
Lot size = risk amount / ((stop distance + expected cost) × pip value)
With 0.9 pips of cost that gives $50 / (5.9 × $10) ≈ 0.85 lots.
It feels like a small change. But it means my drawdown stats match my plan, and my risk per trade is what I think it is. For gold, where costs are often a larger share of the stop, the difference is even bigger.
Does anyone else build cost into sizing, or do you treat it as part of the expectancy calculation instead?