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Dynamic Position Sizing

by clonex, 2723 days ago
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If you are a momentum trader then volatility is your friend.The current script analyzes and calculates the volatility of the security you are about to buy/short and update the number of shares according to this volatility. The 60 day standard deviation is used to calculate the volatility.

Example:
You have three instuments in your strategy

A: stddev = 1,2
B: stddev = 1,8
C: stddev = 2,2
Sum is: 5,2

Asset A now uses 1,2/5,2 % of equity
Asset B now uses 1,8/5,2 % of equity
Asset B now uses 2,2/5,2 % of equity

So assets with higher volatility get more free equity and assets with lower volatility get less free equity.
This script can significantly increase your AR and decrease DD.

I created this script with strong help QS support. Thank You QS!


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Type: Advanced Money Management

Object ID: 1140


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Market: All

Style:
Technical Analysis

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Technical Analysis


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.