No. of Positions with rotational strategies

[OmarAouane]

Hello,
I write on this thread as the topic is postion sizing. I am currently struggling to grasp the concept of risk adjusted sizing.

Nick, sent me the following formula as risk position sizing :
Risk = 0.15*Ref(C,-1)/Ref(ATR(20),-1);

I cannot visualize how the close divided by the ATR end up giving me a percentage.

When I use it I am often using leverage versus equal weighted position.
Sorry if the question seems stupid.
Thanks guzys.

[Nick Radge]

The changeable variable is the 0.15. The higher the larger the position size and the lower the amount of positions. The lower the reading the lower the position sizes and the more positions you will have.

Essentially you buy the stocks down the list until all funds are used. At 0.15 you will have between 12 – 16 stocks on average.

[SaidBitar]

Omar Aouane wrote:

Hello,

Nick, sent me the following formula as risk position sizing :
Risk = 0.15*Ref(C,-1)/Ref(ATR(20),-1);

I cannot visualize how the close divided by the ATR end up giving me a percentage.

Risk is in percentage
Close is in $
ATR is in $
so when you divide close by ATR you lose the $ and then multiply by the percentage and the unit of the result is %

[OmarAouane]

Thanks Said for the answer.
My problem for volatility position sizing is more related to which reference should I take to establish the risk size.
I made some the reasearch and I seems I should decide the daily impact i want each stock to have on the portfolio ( in this case 0.15).
Still not very clear tough, as I get some very different backtest results for a small change in risk allocation percentage.

[Nick Radge]

Have you read Stock on the Move by Andreas Clenow? He explains it in depth

[OmarAouane]

Ok
I will then

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