Volatility adjusted position sizing

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05/31/2018 at 3:50 PM #71875 quote

Xav243
Participant

New

Hello.

I am currently coding a system for which I want to add a volatility adjusted position sizing, i.e. regardless of the type of market I want to risk the same dollar amount.

On paper the formula is like this:

(Equity * Risk %) / (ATR * $ per contract)

so for example if I take the following paramaters

Equity: 100 000 USD

Risk%: 2%

ATR: 25

Market: S&p500 -> $/contract= $250

The formula gives me:

(100 000 * 2%) / (25 * 250) = 0.32 as a position.

I could code the formula for the first 3 parameters but I am stuck with the $ per contract. I was unable to find any answer in the forum.

Could anyone help me with this?

Thanks!

Xavier

05/31/2018 at 4:13 PM #71877 quote

Nicolas
Keymaster

Master

The “$ per contract” can be automatically retrieved with the POINTVALUE instruction.

06/01/2018 at 12:23 AM #71901 quote

Xav243
Participant

New

Thanks Nicolas.

I saw the pointvalue function mentioned in several topics, however this functional gives the €/$ per point, but I need the one per contract/lot

06/01/2018 at 10:39 AM #71927 quote

Nicolas
Keymaster

Master

Since you can’t buy/sellshort less than 1 contract, the $/contract is POINTSIZE*POINTVALUE

Xav243 thanked this post

06/01/2018 at 3:29 PM #71965 quote

Xav243
Participant

New

ok, clear. Thanks Nicolas!
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Volatility adjusted position sizing

ProOrder: Automated Strategies & Backtesting

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Xav243 @xav243 Participant

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This topic contains 4 replies,
has 2 voices, and was last updated by Xav243
7 years, 9 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	05/31/2018
Status:	Active
Attachments:	No files

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