Volatility adjusted position sizing

Xav243 · 2018-05-31T14:50:13+00:00

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

Viewing 5 posts - 1 through 5 (of 5 total)

Author

Posts
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

Legend

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

Legend

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!
Author

Posts

Viewing 5 posts - 1 through 5 (of 5 total)

You must be logged in to reply to this topic.

New

Stuck on this ProBuilder code?

Describe what this topic is trying to build, in plain English, and ProRealAI writes the ProRealTime™ indicator, screener or system for you.

Available in 7 languages

Try ProRealAI

Volatility adjusted position sizing

ProOrder: Automated Strategies & Backtesting

New Reply

Author

Xav243 @xav243 Participant

Summary

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

Topic Details

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