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I'm having a problem with the use of the volatility
within a system. i would like to use the VOLATILITY of
the day the trade was made.For example,if my system
gives me a signal to go short on sept 5th,1999, to
calculate the number of contracts i should have in my
short position,taking into account a stop that is
based on the volatility, it uses the following
formula:
ContractsToTrade=((NetProfit+Capini)*Risk)/(((volatility(length)
of data2)*(PointValue));
but my pb is that the function volatility(length) does
not return the volatility of the market as it was on
sept 5h,1999 but it uses the volatility of today!
if anybody can help...
thanks in advance.
charles.
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