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Portfolio construction

Risk-based position sizing (ATR)

Each position is sized so that a stop placed a few daily ranges away would cost the same share of the account.

2 דקות קריאה · נסו במייעל התיקים ↗

הרעיון במילים פשוטות

The trader's way of building a portfolio: decide how much you are willing to lose on each position (e.g. 1% of the account) and where your stop would be (e.g. two average true ranges away). The position size follows. Volatile tickers get small positions, calm ones large positions, and every position risks the same amount.

איך זה מחושב

ATR(14): the average of the last 14 daily true ranges. Stop distance = ATR multiple × ATR. Units = equity × risk% ÷ stop distance. Weight = units × price ÷ equity. The total is capped at the maximum leverage. Defaults: $10,000 equity, 1% risk, 2 × ATR.

TR = max(high − low, |high − close₋₁|, |low − close₋₁|)
ATR = mean(TR, 14 days)
units = equity × risk% ÷ (k × ATR)
weight = units × price ÷ equity

איך משתמשים בזה

  • When you trade with stops and want each position to risk the same.
  • Set Settings › equity, risk per position and ATR multiple to your own rules.
  • Re-run it when volatility changes; the sizes follow the ATR.

הסקת מסקנות

  • A sum of weights above 1 means the stops, not the cash, are the binding risk: that is leverage.
  • Each position's dollar risk is in the study's notes.

דוגמה

A $10,000 account risking 1% ($100) per position with a 2 × ATR stop. Gold at $2,400 with an ATR of $30: stop $60 away, so 100 ÷ 60 = 1.67 ounces, about $4,000 or 40% of the account. EURUSD at 1.10 with an ATR of 0.0070: stop 0.0140 away, 100 ÷ 0.014 = 7,143 units, about $7,900. Both lose $100 at their stop. In the running example the four positions add up to 132% of the account.

הקלטים של הדוגמה להמחשה; המשקלות והנתונים הם מה שהמייעל שלנו מחזיר עבורם.

ממה להיזהר

  • Equal stop risk is not equal portfolio risk: correlations are ignored, so four correlated positions risk far more than four times 1% together.
  • Gaps through the stop can lose more than planned.

קצת היסטוריה

J. Welles Wilder introduced the ATR in New Concepts in Technical Trading Systems (1978). Richard Dennis and William Eckhardt's Turtle traders (1983) sized every position by "N", the ATR, the best-known use of the method.

תוכן לימודי בלבד. שום מודל תיק לא יודע את העתיד: כולם פועלים על הערכות מהעבר, ושום דבר כאן אינו ייעוץ השקעות.