CTA · Core
ATR Unit Sizing
Size each new futures position so that 1 ATR move equals a fixed fraction of equity — the Turtle risk unit, still the cleanest per-trade language.
Definition
Unit = (account × risk%) / (ATR × multiplier × dollars-per-point). A 1-ATR adverse move is a known dollar hit. Different markets become comparable. Pyramids add units, not random lots.
Why it matters
It is how a 20-market book does not accidentally put 40% of risk in silver. Portfolio-level vol targeting is the layer above.
Case
Natgas ATR triples; units collapse. The system is working. A manager who ‘overrides’ to keep the old lot size has abandoned the unit.
How to read it
Risk% per unit and max units. Then how units interact with a portfolio vol cap — two brakes or one.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.