In view of the fluctuation of wind farm output, a method of capacity allocation of hybrid energy storage system （HESS） based on a two-stage wind power fluctuation smoothing model is proposed, and evaluation indexes for evaluating the energy storage allocation effect are constructed. Firstly, the optimization model of wind power fluctuation smoothing is established, and the wind power sequence and HESS power sequence after smoothing are obtained. Secondly, the discrete wavelet transform is performed on the HESS power sequence, which is reasonably allocated to lithium batteries and super capacitors according to the principle of minimum cost of energy storage allocation combined with the characteristics of energy storage. Then, the capacity allocation of HESS under multiple scenarios is carried out. Finally, the evaluation indexes of energy storage allocation effect are constructed. Through the analysis of examples, it is shown that the proposed method can avoid the change of grid-connected wind power energy and improve the ability to follow the original wind power under the premise of achieving fluctuation smoothing. The evaluation index of energy storage allocation effect verifies the superiority of the proposed method in the capacity allocation of HESS.