海龟头寸 (turtle position)
Determine the position of the product to purchase according to:
1. max loss that you could tolerate
2. max volatility that you could tolerate (defined as the multiple of the current ATR)
For example:
current ATR = $5
max loss = $1000
volatility multiple = 2
The position will be
p = $1000 / $5 / 2 = 100 (shares)
1. max loss that you could tolerate
2. max volatility that you could tolerate (defined as the multiple of the current ATR)
For example:
current ATR = $5
max loss = $1000
volatility multiple = 2
The position will be
p = $1000 / $5 / 2 = 100 (shares)
Информация о релизе:
This should be used with your stop-loss strategy.
For example:
current price = $950
current ATR = $5
Volatility Multiple = 2
Your stop-loss price should be $950 - $5 * 2 = $940
For example:
current price = $950
current ATR = $5
Volatility Multiple = 2
Your stop-loss price should be $950 - $5 * 2 = $940