Přejít k obsahu | Přejít k hlavnímu menu | Přejít k vyhledávání

Quick help links

28. 12. 2021

ATR Volatility Money Management Sizing

SQExtensionA_ATRVOLS.sxp

In situations where short-term volatility is rising or falling, it may make sense to change the position size. This snippet in StrategyQuant X that allows you to increase/decrease the size of a trade based of short-term volatility.

More detailed explanation you can find here.

Parameters

Size – Default Size of trade
Multiplier – Multiplier of default size if fast ATR > slow ATR
FastATRPeriod
SlowATRPeriod

How to import custom snippets to SQX: https://strategyquant.com/doc/programming-for-sq/import-export-custom-indicators-and-other-snippets/

clonex / Ivan Hudec clonex / Ivan Hudec113 posts

Subscribe

2 Comments

Oldest

Newest Most Voted

Inline Feedbacks

View all comments

12. 4. 2022 9:30 pm

Excellent ! Thank you ?

0

8. 2. 2024 6:10 pm

For MT4/MT5 missing template for that money management:
Template inclusion failed (for parameter value “MoneyManagement/ATRVolatilitySizing_variables.tpl”):

6

Risk Disclosure:
Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure:
Hypothetical performance results have many inherent limitations, some of which are described below. no representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

Testimonial Disclosure:
Testimonials appearing on www.strategyquant.com may not be representative of the experience of other clients or customers and is not a guarantee of future performance or success.