ATR based position sizing
Can you please add ATR based position sizing for money management?
Attachments
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Votes +3
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Project Extending SQ
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Type Feature
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Status New
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Priority Normal
History
b
b
bentra
13.11.2020 09:30
Like a secondary option instead of using SL. such as:
Instead of risk % of equity per trade (per SL), it could be risk % of equity per ATR.
or
Instead of risk $100 per trade (per SL), we could choose to risk $100 per ATR.
This works nicely if we peg the ATR to ~10 Daily bar ATR. Holds steady but fluctuates a little. This way we have position sizing rule that is steady (so we do not curve fit to the larger position winning trade iterations when there is a volatile SL or exit rules) but yet is still volatility based and can be blanketed across multiple markets.
Instead of risk % of equity per trade (per SL), it could be risk % of equity per ATR.
or
Instead of risk $100 per trade (per SL), we could choose to risk $100 per ATR.
This works nicely if we peg the ATR to ~10 Daily bar ATR. Holds steady but fluctuates a little. This way we have position sizing rule that is steady (so we do not curve fit to the larger position winning trade iterations when there is a volatile SL or exit rules) but yet is still volatility based and can be blanketed across multiple markets.
m
t
tnickel
13.11.2020 09:30Attachment description moneymanagement.png added
Attachment money management expandable in code.png added
Make it sense to make the position sizing more flexible? the SQ can search for a formular for position sizing?
But more flexibility make more curvefitting.
About position sizing there is many in the web.
https://www.quantshare.com/sa-411-5-position-sizing-techniques-you-can-use-in-your-trading-system
I think the moneymanagement in SQ is expandable
At the moment there is no more explanation for this in the documentation.
We need a documentation for this. Better an example.
t
e
E
Votes: +3
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