Dual-Risk-Management-Position-Sizer

CODE:

        //size the position
        public override double SizePosition(Transaction t, BarHistory bars, int idx, double basisPrice, double equity, double cash)
        {
            _atr = ATR.Series(bars, _periodATR);
...
            double volatility = _atr[idx] * factor;
            if (Double.IsNaN(volatility)) return 0;
            double size = 0;
            double vola = (bars.SymbolInfo != null ? volatility * bars.SymbolInfo.PointValue : volatility);

                size = (equity * this._percentVolatility / 100d) / vola;
...

            return (volatility <= 0) ? 0 : size;
        }

CODE:
size = (equity * this._percentVolatility / 100d) / vola;

CODE:

       //initialize
        public override void Initialize()
        {            
            _percentVolatility = Parameters[1].AsDouble;

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript15 
{
    public class MyStrategy : UserStrategyBase
    {
      IndicatorBase rsi2, atr10;
        //create indicators and other objects here, this is executed prior to the main trading loop
        public override void Initialize(BarHistory bars)
        {
         rsi2 = new RSI(bars.Close, 2);
         atr10 = new ATR(bars, 10);
         PlotIndicator(rsi2, WLColor.Red, paneTag: "rsi");
         DrawHorzLine(20, WLColor.Fuchsia, paneTag: "rsi");
         PlotIndicator(atr10);
         PlotStopsAndLimits(dotSize: 3);
         StartIndex = 10 + 1;
        }

        //execute the strategy rules here, this is executed once for each bar in the backtest history
        public override void Execute(BarHistory bars, int idx)
        {
            if (!HasOpenPosition(bars, PositionType.Long))
            {
            if (rsi2.CrossesUnder(20, idx))
            {
               Transaction t = PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
               t.Weight = -rsi2[idx];
            }
            }
            else
            {
            Position p = LastOpenPosition;
                if (idx - p.EntryBar >= 5)
               ClosePosition(p, OrderType.Market, 0, "5 day exit");
            else
            {
               if (rsi2.CrossesOver(50, idx))
                  ClosePosition(p, OrderType.Market, 0, "rsi > 50");
               else
               {
                  double stop = bars.Low[p.EntryBar] - (3.0 * atr10[p.EntryBar]);
                  ClosePosition(p, OrderType.Stop, stop, "3 ATR Stop");
               }
            }
            }
        }

      public override double GetMaxRiskStopLevel(BarHistory bars, PositionType pt, int idx)
      {
         double _stop = bars.Low[idx] - 3 * atr10[idx];
         return _stop;
      }
   }
}