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> # contracts = volatility / x
> or
> # contracts = price / x
OOOOOOPPPPSSS..... typing too fast without my brain fully engaged. :-)
You want to trade more contracts in the backtest when the price or the
volatility is lower, so each trade has about the same dollar risk. That
should be:
# contracts = x / volatility
or
# contracts = x / price
--
Dennis
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