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I would like the ability to specify position sizing based upon volatility of the holding, as defined by the ATR, and a risk level.

For example, I would like to specify a 0.5% (variable) risk level per position and then use a volatility exit like Close(0) - 3 x ATR(10,0) to define my exit point. The system would then size my position such that:

Max. loss = Close(0) - (Close(0) - 3 x ATR(10,0)) * # shares purchased = 0.5% total equity.

Basically, I want to specify:
1) risk level as a % of total equity
2) a volatility stop based upon ATR

The program then sizes my position accordingly. This would add to the discrete position sizing options currently available (% of equity and fixed $).
Results: Total score: 126, # of Votes: 34, Average: 3.7
96 (24)
30 (10)
Scores are calculated as (importance) × (# of votes), where importance ranges from 1 to 4.
Requested by: scottkissinger
On date: 03/26/07
Category: Portfolio