Volatility position sizing · TradersWeek

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Output: Research filter
Input: Account equity, volatility, stop distance and exposure
Horizon: Before entry and throughout the position
Best use: Keep a loss or exposure decision bounded before a trade is placed.

Input: Account equity, volatility, stop distance and exposure.
Output: filter.
Use boundary: Keep a loss or exposure decision bounded before a trade is placed.

The graph5

How the method is built, and where it has been read

Depends on

Often reviewed together

Expected value4 readings

Often reviewed together

Stop-loss order5 readings

Often reviewed together

Monte Carlo simulation5 readings

Often reviewed together

Drawdown limit6 readings

Often reviewed together

Fixed contract sizing8 readings

Read in the archive24 of 57 readings

1987Volatility-layered mechanical system with fixed contractsSystem design 1988Two-sided optimization for volatility-scaled breakout rulesSystem design 1989Measured range, scale-in ladders, and spread replay as a cash-reserve designSizing and leverage 1990Weekly range volatility as a tactical regime filterOptions and volatility 1992Sizing capital from degraded records and volatilitySizing and leverage 1993Heat first, then contract count on a weekly close-only breakoutSizing and leverage 1994Set the portfolio risk budget before you sizeSizing and leverage 1994Shared sigma for trend entries, retests and stopsSystem design 1995The promised result as one testable trading procedureDecision process 1996Constructing and optimizing volatility position-sizing profilesSizing and leverage 1996Equity path filters for contract size and drawdownSizing and leverage 1996Variable position size after entrySizing and leverage 1997Stop distance, equity caps, and trading haltsSizing and leverage 1998Return-path volatility and the recovery burdenDrawdown and survival 1999Match futures starting capital to system riskSizing and leverage 1999Finish the entry from one value-at-risk bandSizing and leverage 1999Confirm early scale-ins, then shrink late unitsSizing and leverage 2001Monte Carlo drawdown risk and volatility position sizingDrawdown and survival 2001Convert a survival ceiling into a volatility filterDrawdown and survival 2001A runs test before volatility and expected-value sizingSizing and leverage 2002Bound the next loss before the bear tradeSizing and leverage 2002Size from stop distance to keep dollar risk evenSizing and leverage 2003Share size from daily profit equilibriumSizing and leverage 2003One-day fade-the-gap rules remain unfinished across market climatesEntry and exit rules

This registry entry describes a research method. It is not investment advice and does not make a performance claim.