Hi apart from averaging a position based on the average trading range of a given set of pairs to calculate how big a position to put on each one
E.G
Position size of 4 lots...
GBP: Average range = 150
AUD: Average Range = 80
Total = 230
Therefore
AUD: 80/230 = 35%
GBP: 150/230 = 65%
GBP: 35% of 4 lots = 1.4 lots
AUD:65% of 4 lots = 2.6 lots
Is there a better way that anyone knows of to distribute positions sizes over multiple pairs? I can't really think of any that wouldn't involve and indicator. The problem is that the Average daily range no matter how many periods its over is just an average and may not represent current volatility.
Any ideas?
Thanks
E.G
Position size of 4 lots...
GBP: Average range = 150
AUD: Average Range = 80
Total = 230
Therefore
AUD: 80/230 = 35%
GBP: 150/230 = 65%
GBP: 35% of 4 lots = 1.4 lots
AUD:65% of 4 lots = 2.6 lots
Is there a better way that anyone knows of to distribute positions sizes over multiple pairs? I can't really think of any that wouldn't involve and indicator. The problem is that the Average daily range no matter how many periods its over is just an average and may not represent current volatility.
Any ideas?
Thanks
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