Example:
R=risked amount (assume $1000)
PERIOD = ATR period (assume 10 day)
M= Multiple applied to ATR (assume 1)
C= Most recent closing price (assume $10.00)
ATR(10) = 10 day ATR (assume .5)
Number_of_shares = R/(M*ATR(10)) = $1000/(1*.5) = 2000
Position_size = Number_of_shares * C = 2000*10 = $20,000
On 2/22/2016 10:19 AM, steve@optimusadvisory.com [amibroker] wrote:
I run a strategy that uses 11 inverse funds. I want to tweak it to adapt to each inverse funds' change in volatility (to increase or decrease my position sizes each buy). I'm a novice at Amibroker afl and am trying to understand how to do this via ATR. The trick is I am not scanning a list of symbols for candidates. I have specific rules for each individual symbol I use. Here is some sample code in my strategy.
if( n == "DXKSX" )
{
//Strategy 3 US Gov Bear 10-Year 2X (Direxion)
>>>INDIVIDUAL RULES GO HERE<<<
PositionSize = -25;
}
if( n == "RRPIX" )
{
//Strategy 8 ProFunds Rising Rates US Gov 30 Bond 1.25X//
>>INDIVIDUAL RULES GO HERE<<<
PositionSize = -40;
}
How do I use ATR for position size? Do I need to optimize each symbol individually and then insert that afl code into the above strategy?
Thanks so much. As I said, I'm an idea person, not a programmer. I just want to be able to optimize the best way to increase or decrease position size as each symbols' volatility changes.
You guys are the best!
Graphman.
Posted by: Alan <alan@thenorthams.us>
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