After reading the help files and wiki I still want to understand the method in WL. It uses ATR for position sizing, that is clear.
In order to manage position size. Does it compare ATR(N) with current bar volatility?
What is Percent of Volatility exactly and how does it work? What does ir mean? I don't understand what it means when it's set to 0.5
Thank you in advance
In order to manage position size. Does it compare ATR(N) with current bar volatility?
What is Percent of Volatility exactly and how does it work? What does ir mean? I don't understand what it means when it's set to 0.5
Thank you in advance
Rename
Simply put, the percent volatility position sizing formula is:
Size = ( Equity * percentVolatility / 100) / Volatility,
where
- percentVolatility is a value you choose e.g. 0.5%
- Volatility is the N-period ATR (e.g. 14-day ATR).
Size = ( Equity * percentVolatility / 100) / Volatility,
where
- percentVolatility is a value you choose e.g. 0.5%
- Volatility is the N-period ATR (e.g. 14-day ATR).
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