VIX Or Historical Volatility? by Perry J. Kaufman
Position sizing is an often overlooked variable when it comes to strategizing your trades. There are different ways to decide how big your positions should be and here we look at a unique approach to size your positions using volatility.
First, let’s agree that always trading 100 shares, or one futures contract, isn’t as good as varying your position size based on price volatility. If you don’t agree, my first example will show why it’s a problem ...