Average Trading Volume per Minute & Suitable Position Size

How it works

The indicator first converts each bar's volume into a USD-based figure by either using direct volume or multiplying volume by the midpoint price. It then creates an array of these volume values and sorts them, removing the top and bottom 20% of extreme data points to calculate a more robust median volume-per-minute.

Once the median volume is determined, traders can input a position size percentage (default 8%) which the script multiplies against the median volume to generate a recommended position size. For specific exchanges like BitMEX or Deribit, the script automatically adjusts volume calculations to provide accurate position sizing in USD or contract units.

Why it may be useful

Traditional position sizing often relies on fixed account percentages or guesswork, which can lead to inconsistent trade execution and unnecessary risk. This indicator provides a data-driven approach that dynamically adjusts position size based on actual market liquidity, ensuring trades are proportional to typical trading volume.

By removing extreme volume outliers and using median calculations, the tool offers a more stable and representative measure of market activity. This helps traders avoid positions that are too large (risking poor fills) or too small (underutilizing leverage potential), ultimately supporting more disciplined and adaptive trading strategies.

When to explore it

This position sizing tool is most effective in markets with consistent trading volume and liquidity, such as major cryptocurrency pairs or heavily traded forex instruments. It works best when traders want a systematic approach to determining trade size that adapts to current market conditions rather than using static sizing methods.

Traders should consider using this indicator across different timeframes and adjust the lookback period (default 377 bars) to match their specific trading style and market characteristics. It's particularly useful for traders who want to align their position sizing with actual market dynamics and reduce the risk of over- or under-sizing their trades.

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