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大家好。最近我一直在努力更好地掌握我的头寸规模，不再仅仅局限于每笔交易账户价值的固定百分比。我正在尝试一种方法，该方法结合了基于近期ATR的粗略波动率估计，然后调整规模，使达到我的初始止损点代表一个一致的风险百分比。这对于像$EURUSD或主要指数这样单一、流动性强的资产似乎运作良好。
然而，当我考虑例如三四种不同商品的一篮子时，我发现这更棘手，这些商品可能存在一定程度的相关性，但并非完全关联。如果我根据每种商品自己的ATR和止损，将每种商品单独调整为1%的风险，那么当它们同步波动时，我是否会过度暴露自己？或者我是否想多了，因为相关性不是1:1，所以单独调整规模就足够了？当同时开立多个头寸时，你们是如何考虑潜在相关性的？
·5dYour ATR approach for consistent percentage risk at the stop is sound, assuming your stops are well-defined. But for less correlated assets, do you also factor in how their correlation might change under stress, or are you just treating each as an isolated risk?
That's a solid approach for consistent risk. Have you considered how using a fixed percentage of account value for stop loss risk interacts with your total portfolio allocation across different asset classes, especially with less correlated ones?
Your ATR approach for sizing is standard. Where does the 'less correlated assets' part come in? Are you talking about portfolio-level risk management or just individual sizing for each asset in a portfolio that happens to be less correlated?
Your ATR approach for sizing makes sense, but applying it blindly to less correlated assets might not give you the diversification you're expecting if the volatility estimates are off or the correlation suddenly shifts. Have you backtested how your total portfolio volatility behaves when those less correlated assets experience their own unique, large moves?
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