Variable position size based on an indicator

Vonasi · Sun, 18 Mar 2018 21:39:13 +0000

I’ve been playing around with ATRP (average true range as a percentage of price) recently and started testing it as a way to modify position size. When volatility/ATRP is low it is normally a sign that the market is topping out and when it is high it is normally a sign that a market is bottoming out. Logically if the market is topping out then it is a good time to reduce position size and if it it bottoming then it is a good time to increase position size. So ATRP helps with tuning position size. So far this theory seems to work quite well although I have only been concentrating on the FTSE100 so far. I’d be interested in knowing if anyone else adjusts position size in a strategy successfully using an indicator?

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03/18/2018 at 10:39 PM #65626

Vonasi

I’ve been playing around with ATRP (average true range as a percentage of price) recently and started testing it as a way to modify position size. When volatility/ATRP is low it is normally a sign that the market is topping out and when it is high it is normally a sign that a market is bottoming out. Logically if the market is topping out then it is a good time to reduce position size and if it it bottoming then it is a good time to increase position size. So ATRP helps with tuning position size. So far this theory seems to work quite well although I have only been concentrating on the FTSE100 so far.

I’d be interested in knowing if anyone else adjusts position size in a strategy successfully using an indicator?

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Variable position size based on an indicator

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