Volatility sizing

Discussion in 'Strategy Development' started by minmike, Aug 1, 2011.

  1. minmike

    minmike

    I have been trying to add some position sizing based on volatility, but every time I try to add even the most optimistic sizing, it reduces profit and sharpe ratio. Anyone had any luck with volatility sizing increasing system performance?
     
  2. Hi,

    Some specifications: You are saying that your system performs better or worse during higher volatility, and would therefore like to increase or decrease size? And in this case how have you defined higher/lower volatility, pure ATR?
     
  3. minmike

    minmike

    It preforms well in both high and low volatility. I'm just a little worried about what would happen if it started preforming poorly in high volatility, so I would like to decrease position sizing.

    On a yearly back test, the results are very stable except for 2008. In 2008 the system made ~5X the next biggest year. with 2008 included the sharpe ratio is .9, without it jumps to 2.25. So I think I would be better off reducing size when things get more volatile. I have tried range over a set number of days and hi-low over a set number of days. Neither seemed to help.
     
  4. Tie your position to volume not volatility.

    Trading windows allow trading at five times the market capacity.

    Successful high money velocity trading is tied directly to a partial fill strategy.

    Presently and unfortunately your trading and designing is closely related to your personal fears and NOT to market activity or capacity.
     
  5. why bother day trading when is "high volatility".i think these kind of events take care of the trading themself.why bother..
     
  6. Despite numerous attempts I have not succeeded well, in filtering out periods from my strategies. I am instead focusing on trying to build them as robust as possible.