SPEC-EAV-001 v0.2 · Layer L2 Risk management
K-01 Position sizing independence
K-01 tests whether position size is calculated from account equity or fixed inside the entry logic. It is judged from the trade record alone: a regression of trade volume on the preceding balance, read together with the coefficient of variation of volume.
What it examines
Trade volume against the account balance immediately preceding each trade.
How it is computed
Regress volume (dependent) on prior balance (explanatory). Read the slope and coefficient of determination together with the coefficient of variation of volume.
What a defect means
If volume is constant regardless of balance, sizing is hard-coded into the entry logic. Risk does not grow as the account grows, and does not shrink as the account shrinks.
Judgment states
| Pass | The structure is observed and meets the threshold. |
|---|---|
| Caution | The structure is observed but sits at the boundary of the threshold. Evidence figures are presented alongside. |
| Defect | The structure is not observed, or clearly falls outside the threshold. |
| Not judgeable | The required input data is absent. Marked distinctly from a pass. |
Threshold
Not fixed. Determined from calibration data. See SPEC-EAV-001 §11.
Basis
Jung Chunghwa, FX Market Structure and Systematic Trading (2026), ISBN 979-11-220192-1-6. Research note R-001, Structural problems of EA-based systematic trading (2026-08-20).
Questions this item answers
- How do I know if my EA's position sizing is tied to account balance?
- Is a fixed lot size a risk management defect?
Related items
Related terminology
Revision · SPEC-EAV-001 v0.2 · 2026-08-21