Balancing Multi-Instrument Position Risk with Tick Value and ATR

Summary

This article proposes balancing position sizes across instruments using each symbol’s tick value and average daily volatility. It combines those inputs into an estimate of risk per standard contract, then scales position volume relative to the highest estimated risk in the selected set. The example uses daily ATR and terminal symbol properties to calculate volumes for simultaneous intraday trading, aiming to make ordinary volatility exposure more comparable across instruments.

The document also surveys ways to provide symbol inputs in MetaTrader, including CSV, binary files, SQLite, remote interfaces, and terminal input parameters, and discusses arrays versus vectors for storing data. It distinguishes routine volatility balancing from protection against exceptional market moves, which it says requires separate limits and operational safeguards. The calculation normalizes estimated exposure; it does not eliminate correlated losses, abnormal price moves, or other portfolio risks. Results depend on the volatility estimate, symbol specifications, and the chosen risk budget.

Key ideas

• The proposed balancing criteria are symbol tick value and average daily volatility.
• The method estimates risk per standard contract from tick value and daily ATR, then adjusts volume across symbols.
• The article treats abnormal market movements as a separate risk that balancing alone cannot control.
• Input options include text, binary, and database files as well as terminal parameters.
• Position-size outputs depend on the selected volatility period, symbol specifications, and risk budget.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.