ATR Volatility Money Management Sizing

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 ここ.

パラメータ

• 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/