%Risk vs %Vol or Both

Discussions about Money Management and Risk Control.
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Sir G
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%Risk vs %Vol or Both

Post by Sir G »

What are the benefits to position sizing with %Risk & %Vol? Is one better for LT systems and one better for ST systems? In general is one better then the other, or should they be combined?


Roundtable Knight
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Post by Bondtrader »

Gordon I notice that you ask lots of questions that you could in fact answer yourself, by running tests. Why not "learn by doing", why not test? I expect you'll agree that the VeriTrader software is a wonderful bargain and tremendously easy to use, why not run it? Then you could start posting answers instead of questions.

I'll give you a little nudge in the right direction for this %Vol / %Risk inquiry of yours: Apply each of them to a Donchian Channel Breakout system, then apply each of them to a Moving Average Crossover system. Step back and look at your code. Taa-daa! the answer jumps off the page!

rgds, BT

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Post by damian »


I think our mate Gordon the Moderator is prompting discussion threads and thought.

I can't speak for him, but I wouldn't be surprised if he has some answers to his questions (via testing) and would like to build up his understanding, verify his findings, test his beliefs etc via open conversation on this forum.

He poses some excellent topics for discussion. I seldom am able respond as I do not have an answer. However each time I see one of Gordons "what do you think?" posts, I note it down as a worthy avenue of investigation as most of his questions are questions I have not yet asked myself.


edward kim
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Post by edward kim »

Posing a question also gives us further opportunity to expand on a topic than originally intended. Here is what works for my system (R=risk, V=volatility):

1. V is a condition I use for initial R
2. R has more influence for ST systems, while V has a greater impact on LT systems
3. %R has more impact than %V for entries
4. V has more impact on performance than R for exits

Sir G's question gave me an idea about an asymmetric bias in the market topic that I can start on another thread.

Last edited by edward kim on Wed May 07, 2003 11:54 pm, edited 2 times in total.

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Post by CRM114 »

I think our mate Gordon the Moderator is prompting discussion threads and thought.
damian, that was my first thought, too. However, after being conditioned by other sites, my second thought was that Bondtrader was in for some serious flaming. :twisted:

What a pleasure it is to visit this site. It's an oasis of civility. :D

Thanks everyone.

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