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Gabriel,
Pretty close. You've actually touched on 3 rules: (a) position sizing, (b)
scaling, and (c) exposure. Position sizing is essentially fixed fraction,
with volatility adjusted risk. The EasyLanguage code is something like ...
ATR = Average(TrueRange,ATRbars);
CON =(PcntEquity*(Acctsize + NetProfit))/(ATR*BigPointValue);
Sizing gives the number of contracts/shares in a 1-unit position. Then,
units are used to scale into a position at staged price levels. Exposure
limits govern the number of units that can be put on a given position.
These limits are determined by (i) single market, (ii) closely correlated
markets, (iii) loosely correlated markets, (iv) and total long and short units.
Cheers,
Kevin
At 04:22 AM 1/29/2004 -0800, you wrote:
Kevin- My understanding is that the turtles rules just assigned
percentage weights based on dollar volatility and kept total exposure of
correlated groups to some minimum level. Is that right?
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