Sizing Turtle Trades with the N-Based Volatility Measure

Summary

The post asks how to translate the Turtle Trading system’s N measure into contract size. Its proposed calculation uses average true range over a chosen risk window, then divides one percent of risk capital by ATR multiplied by the assumed price tick and contract multiplier. It also applies minimum and maximum position limits.

The document is a request for feedback rather than a full explanation of the Turtle rules. It supplies no worked example or confirmation that the pseudocode matches the intended method. In particular, the assumptions behind the one-percent risk amount, the unit treatment of tick size and contract multiplier, and the effect of integer division or position bounds are left unresolved. Readers should treat the calculation as a proposal to check against the system’s specifications and their instrument’s contract details.

Key ideas

• The proposed position size divides a fixed fraction of capital by ATR adjusted for tick size and contract multiplier.
• The calculation uses a chosen ATR window as its volatility input.
• Minimum and maximum limits constrain the resulting contract count.
• The post presents an unverified pseudocode interpretation and leaves key assumptions open.

Tags

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