What's the best mechanism to dynamically adjust leverage?

M

mizhael

Hi all,

I am thinking of dynamically reducing the system leverage by half, etc. based on VIX...

What's the best way to formulate this, and more importantly when do I turn it back to usual leverage?

For example, I have been thinking of "reducing the leverage when VIX surges", but how to quantify this?

Please shed some lights on me... Thank you!
 
Quote from tatankas:

What you think of ATR?
Adjust leverage based on ATR, does not makes sense to you?
More...

I am interested... How? And why is it good? Thanks!
 
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