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Bob,
> You would be right if you are trading at the limit of your risk. In
> that case, you might do the above plus modify the number of contracts
> traded to stay within your risk limit:
>
> NumCon = Floor(Factor * RiskLim / (AverageTrueRange * BigPointValue));
>
> If the AverageTrueRange gets too large, the number of contracts will
> go to zero so you will not trade those signals. But later, if your
> account gets larger, RiskLim may increase so then you will take those
> trades.
Agreed. This is critical to any adaptive risk definition. Much better
phrasing than mine..
Season's best,
Mike
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