Volatility-adjusted sizing

Volatility-adjusted sizing computes position size as a function of the symbol's current ATR rather than the stop distance directly. The effect is similar to risk-based sizing on an ATR stop, but decoupled - you can use any stop type and still get volatility-aware sizing.

Formula

size_in_units = (capital × risk_per_trade_pct / 100)
              / (ATR × atr_multiplier)

Shape

"position_sizing": {
  "method": "volatility_adjusted",
  "risk_per_trade_pct": 2.5,
  "atr_multiplier": 2.0,
  "max_position_pct": 25
}

Params

• risk per trade percent - risk percent.
• ATR multiplier - defines the "unit of risk" in ATR terms.
• max position percent - hard cap on position size.

When to pick this

• Stops aren't strictly volatility-based but you still want size to scale with realized volatility.
• Strategies that switch between volatile and calm regimes - fixed sizing under-sizes the calm regime and over-sizes the volatile one.

vs risk_based with an ATR stop

The math is similar but the semantics differ:

• Risk-based + ATR stop: dollar risk constant; stop distance varies with ATR; position size scales accordingly.
• Volatility-adjusted: dollar risk constant; position size scales with ATR independent of stop.

The first is more direct for ATR stops; the second is more flexible when stops come from structure or fixed-pct but you still want volatility awareness.