Position Size, Volatility, and Trend

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nodoodahs
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Position Size, Volatility, and Trend

Post by nodoodahs » Sun Oct 05, 2008 9:25 pm

Has anyone here varied position size on index futures based on the combination of volatility and trend?

I'm thinking larger in uptrends when volatility is low, and a different set of rules when there is a downtrend.

Any reports?

paloma
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Post by paloma » Sun Oct 05, 2008 10:18 pm

nodoodahs,

If you size positions using a volatility adjusted algorithm, then your position sizes will automatically become larger when volatility is low and become smaller when volatility is high.

Sebastian

7432
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Post by 7432 » Sun Oct 05, 2008 11:14 pm

not about volatility, but a topic on splitting systems into long and short.

viewtopic.php?t=1668

nodoodahs
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Post by nodoodahs » Sun Oct 05, 2008 11:18 pm

paloma wrote:nodoodahs,

If you size positions using a volatility adjusted algorithm, then your position sizes will automatically become larger when volatility is low and become smaller when volatility is high.

Sebastian
True, but does anyone have experience in varying position size based on volatility AND trend?

@7432 Thnx for the link.

sluggo
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Re: Position Size, Volatility, and Trend

Post by sluggo » Mon Oct 06, 2008 8:39 am

nodoodahs wrote:Has anyone here varied position size on index futures based on the combination of volatility and trend?
One of our Trader's Roundtable members, Christian Smart, sells a trading system that does this. It is called "Intensity" and is tracked by Futures Truth (#523 on their chronological list). Since Intensity is explicitly a dynamic position sizing system, with position sizes that change based on (i) volatility, (ii) trend, (iii) equity, and since Futures Truth's tests are performed using fixed (non-dynamic) position sizes, their published results are not especially relevant.

Christian's most recent post on this site is (here). The website he set up to sell Intensity and his other products, is http://www.drsmarttrading.com . Google's cache contains some of the pages from that site (snapshots taken June 2008), but it doesn't seem to be "up" and accessible this morning.

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