This paper deals with the study of the power allocation and capacity configuration problems of Hybrid Energy Storage Systems (HESS) and their potential use to handle wind and solar power fluctuation. A double-layer Variable Modal Decomposition (VMD) strategy is proposed. Firstly, using the Sparrow Search Algorithm with Sine-cosine and Cauchy mutation (SCSSA) to optimize the parameters in VMD. Considering the different characteristics of batteries and supercapacitors and the richness of information that may be contained in the high frequency residuals obtained from the primary VMD, the secondary VMD is carried out to decomposition. In response to the modal aliasing phenomenon of the secondary VMD, the high and low frequency demarcation points of the secondary VMD are discriminated by combining the energy entropy (eN) to enable the more accurate power allocation strategy. Secondly, a mathematical model for cost analysis of the HESS is established by considering the daily integrated operating cost of the HESS and the relevant constraints of the renewable generation system. Finally, HESS capacity configuration and validation are based on the power allocation strategy proposed in this paper. The simulation results show that the power allocation strategy proposed in this paper is more accurate and has a better economy for the capacity configuration of HESS.