KRev: Estimating Per-Unit Risk with Volatility-Adjusted Stops

Summary

The document describes KRev, an indicator intended to estimate the currency risk per unit of a position if price reaches the third Kase Dev Stop. Traders can use that estimate to compare markets or time frames with a fixed per-unit risk limit. The accompanying method derives stop levels from a moving average and standard deviation of two-bar true range, with larger multipliers at higher levels to account for volatility skew. The indicator is presented as a way to define exits and avoid holding a losing trade in hope of a reversal.

The author cites long-term historical testing by Cynthia Kase’s team and explains the levels using normal-distribution probabilities. Those claims are reported rather than independently demonstrated here. The text also mixes probability descriptions and stop-hit interpretations, so the figures should not be treated as a guarantee for a particular market or trade. No out-of-sample results or comparative tests are provided. The indicator estimates risk from price movement; it does not establish position size, account-level risk, or execution costs.

Key ideas

• KRev estimates per-unit currency exposure if price reaches the third Dev Stop.
• The stop levels are based on the mean and standard deviation of two-bar true range.
• Higher deviation multipliers are used to account for volatility skew.
• The estimate can help compare time frames against a fixed currency-risk limit.
• Historical probability claims do not guarantee outcomes in a specific market or trade.

Tags

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