An other Turtle Trading question ( lot sizes )

[julz]

Hello,

I`m just writing my little turtle trading EA here, the entries and exits are pretty straightforwards. I guess the main thing in the Turtle trading is choose your lotsize carefuly . The Turdle trading docs, says :

N is simply the 20-day exponential moving average of the True Range, which is now
more commonly known as the ATR. Conceptually, N represents the average range in
price movement that a particular market makes in a single day, accounting for opening
gaps. N was measured in the same points as the underlying contract.
To compute the daily true range:

True Range = Maximum(H - L, H - PDC, PDC - L)

So I`m just using iADR() to return N .

The problems start after that :

Dollar Volatility = N × Dollars per Point

Unit = 1% of Account / Market Dollar Volatility

or

Unit = 1% of Account / (N × Dollars per Point)

I don't know how to return Market Dollar Volatility, or for that matter the Dollar per Point that I could multiply by N to get my unit size .

Cheers,

[Dua Yong Rew]

check out position sizing

[[Deleted]]

You would have to work backwards in Forex. You would determine the size of loss (in dollars) that is acceptable. So Account Size X 1% represents the total dolllar amount at risk per trade. Next divide the total Amount at risk by the number of pips in the represented by the iADR. This would give you a lot size based on 1 dollar per pip.

Account Size = 10,000

Maximum Risk = 10,000(.01) = $100.00

If iADR = 133

100/133 = .75 lot Size

This computation is easiest for EURUSD which is $10.00 per pip value for 1 lot, other values would require maximum risk being divided by pip value and then dividing by iADR.