Risk-based position sizing (ATR)

用通俗的话解释

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.

计算方法

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

如何使用

• 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.

得出结论

• 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.

注意事项

• 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.

一点历史

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.