Volatility adjusted position sizing

• 05/31/2018 at 3:50 PM #71875
  Xav243

  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

  

  Xav243

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

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

  

  Nicolas

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  06/01/2018 at 12:23 AM #71901
  Xav243

  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

   

  

  Xav243

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

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

   

  1 user thanked author for this post.

  Xav243

  

  Nicolas

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  06/01/2018 at 3:29 PM #71965
  Xav243

  ok, clear. Thanks Nicolas!

  

  Xav243

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