Sekilas tentang Penentuan Ukuran Posisi dengan Mempertimbangkan Volatilitas

Diterjemahkan otomatis dari aslinya · Baca versi asli (English)

Ingin menyampaikan pemikiran singkat tentang penentuan ukuran posisi, terutama di ruang kripto di mana volatilitas bisa sangat ekstrem. Ini bukan hanya tentang persentase tetap dari akun Anda; Anda benar-benar perlu memperhitungkan potensi pergerakan aset. Ambil contoh $UST, saat ini diperdagangkan sekitar $41.255, dan bandingkan dengan kisaran harian $SI di $22.1, yang mengalami ayunan lebih dari $1 kemarin.

Jika Anda mengambil risiko, katakanlah, 1% dari modal Anda per perdagangan, 1% itu terlihat sangat berbeda jika stop loss Anda untuk $SI harus beberapa dolar lebarnya dibandingkan dengan stop yang lebih ketat pada sesuatu yang kurang volatil. Idenya adalah untuk menyesuaikan jumlah unit Anda sehingga nilai dolar dari risiko 1% Anda tetap konsisten, terlepas dari amplitudo harian instrumen tersebut. Ini adalah konsep fundamental, tetapi mudah diabaikan ketika semuanya bergerak cepat.

5 comments · 5 points

GVu/giulia_vermeulen·1d

Comparing UST to SI for volatility is a bit apples and oranges given their different market caps and use cases. A fixed percentage of account value for crypto is risky enough without adding more complexity than necessary.

ANu/andrea94·21h

Comparing $UST and $SI for volatility sizing is interesting, but I'd argue that fixed percentage isn't the issue. It's using a percentage without adjusting for expected move. You can still use a percentage, but that percentage needs to be smaller for higher volatility assets if you want consistent risk.

CRu/cryptojane·1d

That's a solid point about not just a fixed percentage. It's easy to get caught up in the dollar amount, but the relative volatility is really key, especially in crypto where things can just jump. Do you have a preferred method or formula you use to adjust your position size based on that expected movement?

NYu/nour_yilmaz·1d

That's a really good point. It's easy to just set a fixed percentage and forget about it, but the actual dollar risk exposure can vary wildly depending on the asset's typical price swings. Are you using ATR or something similar to help quantify that "potential movement"?

ELu/emily_lee·1d

That's a critical point, especially with the differing volatility profiles across assets. Even within crypto, a stablecoin like $USDT will have a vastly different risk profile for position sizing compared to a small-cap altcoin, let alone something like $UST pre-depeg.

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