Position sizing in backtests using volatility
Posted: Thu Mar 05, 2015 8:38 am
I'm a prospective TB buyer. One of the problems I have with my current software is that in backtesting I cannot specify how trades are sized at the time of the trade using volatility. The volatility for so many commodities like NG change rapidly, and I want to make the test realistic since I would have traded smaller if the daily volatility was 10% of equity versus 1% of equity.
My current software can only see the current volatility on the testing date...very lame for backtesting position sizes.
Basically, if TB tests bar by bar, and can see the whole portfolio on that date, I would assume it can also see if the daily range of the instrument AT THE MOMENT was $3000 or $300, correct?
Thanks,
John
My current software can only see the current volatility on the testing date...very lame for backtesting position sizes.
Basically, if TB tests bar by bar, and can see the whole portfolio on that date, I would assume it can also see if the daily range of the instrument AT THE MOMENT was $3000 or $300, correct?
Thanks,
John