position sizing for volatility

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  • #124743 quote
    Dr Manhattan
    Participant
    Senior

    Speaking about volatility and position sizing I usually just take:

    atr = averageTrueRange[20](Close)
    positionsize = account / (atr)

    and make some number up in account to fit that particular market. Anyone else have some nice algorithm for position sizing for volatility?

    #145266 quote
    robertogozzi
    Moderator
    Master

    This one I almost always use:

    ONCE nLots                   = 1
    ONCE LotManagement           = 0      //1=enable LOT size management
    ONCE NeverDecrease           = 1      //1=do not decrease lot size when losing,
    //                                      0=decrease lot size according to strategyprofit
    ONCE MinLots                 = 1      //1   Min lots allowed
    ONCE MaxLots                 = 99     //99  Max lots allowed
    ONCE MyDrawDown              = 200    //200 DrawDown as from backtest
    ONCE MyMargin                = 70     //70  Margin required
    ONCE DD                      = 3      //3   DrawDown multiplier
    Capital                      = (MyMargin + (MyDrawDown * DD)) * nLots
    Equity                       = Capital + StrategyProfit
    IF LotManagement = 1 AND BarIndex > 0 THEN
       nLots                     = max(MinLots,min(MaxLots,Equity / Capital))
       IF NeverDecrease = 1 THEN
          nLots                  = max(nLots,nLots[1])
       ENDIF
    ENDIF
    
    • Line  1:     Number of lots (default)
    • Line  2:    1=lot management enabled, 0=disabled
    • Line  3:    1=do not decrease after a loss,  0=decrease the number of lots after a loss
    • line   5:    Minimum lots allowed (can be < 1, if allowed by your broker)
    • line   6:    Maximum lots allowed
    • line   7:    DrawDown show by backtest
    • line   8:    Margin required by the broker
    • line   9:    DrawDown Multiplier (3 is the value I use by default)

    You should start with line 2 se to 0 (lot management disabled), until you have finished optimizing, then write the correct value at lines 7 and 8 and backtest it again to save it and see the results.

    You should backtest using a CAPITAL that is exactly (rounded) the one calculated at line 10 (nLots used here is the initial lot size set at line 1).

    nLots is the number of lots you want to BUY/SELLAHORT.

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position sizing for volatility


ProBuilder: Indicators & Custom Tools

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Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 04/05/2020
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