You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Volatility sizing
- Thread starter minmike
- Start date
Hi,
Some specifications: You are saying that your system performs better or worse during higher volatility, and would therefore like to increase or decrease size? And in this case how have you defined higher/lower volatility, pure ATR?
Some specifications: You are saying that your system performs better or worse during higher volatility, and would therefore like to increase or decrease size? And in this case how have you defined higher/lower volatility, pure ATR?
It preforms well in both high and low volatility. I'm just a little worried about what would happen if it started preforming poorly in high volatility, so I would like to decrease position sizing.
On a yearly back test, the results are very stable except for 2008. In 2008 the system made ~5X the next biggest year. with 2008 included the sharpe ratio is .9, without it jumps to 2.25. So I think I would be better off reducing size when things get more volatile. I have tried range over a set number of days and hi-low over a set number of days. Neither seemed to help.
On a yearly back test, the results are very stable except for 2008. In 2008 the system made ~5X the next biggest year. with 2008 included the sharpe ratio is .9, without it jumps to 2.25. So I think I would be better off reducing size when things get more volatile. I have tried range over a set number of days and hi-low over a set number of days. Neither seemed to help.
Tie your position to volume not volatility.
Trading windows allow trading at five times the market capacity.
Successful high money velocity trading is tied directly to a partial fill strategy.
Presently and unfortunately your trading and designing is closely related to your personal fears and NOT to market activity or capacity.
Trading windows allow trading at five times the market capacity.
Successful high money velocity trading is tied directly to a partial fill strategy.
Presently and unfortunately your trading and designing is closely related to your personal fears and NOT to market activity or capacity.
Despite numerous attempts I have not succeeded well, in filtering out periods from my strategies. I am instead focusing on trying to build them as robust as possible.