position sizing for volatility

• 04/05/2020 at 10:12 PM #124743
  Dr Manhattan

  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?

  

  Dr Manhattan

  Participant

  Topics: 13

  Replies: 28

  Been thanked: 1 time
  09/24/2020 at 5:43 PM #145266
  robertogozzi

  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

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

  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.

   

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16466

  Been thanked: 3641 times
• Author
  Posts