ATR Position Sizing: Inputs and Limits
Position sizing is a calculation based on a capital budget and chosen assumptions. Average True Range (ATR) describes recent price variation; it does not identify the direction of the next price move or establish a maximum loss.
1. Understand the volatility input
True range compares a session's high-low range with the absolute distances from the previous close to the current high and low, using the largest value. This captures gaps that a high-low range alone can miss. See Fidelity's ATR explanation.
Quant Terminal's current daily input averages the latest 14 valid true ranges from aligned daily candles. This arithmetic average can differ from Wilder-style smoothing used on other chart platforms. Insufficient or stale quote inputs leave the current model unavailable rather than supplying a made-up level.
2. Separate modeled levels from allocations
The calculator distributes a capital assumption across three modeled entry levels. A capital allocation is not an exact share allocation: rounding to whole shares can change the actual spend and average entry. A saved plan is a research snapshot, not an order sent to a broker.
| Input or output | What to check |
|---|---|
| Quote and currency | Provider, timestamp and whether the quote is stale |
| ATR input | Daily candle coverage and the averaging method |
| Capital assumption | The amount entered and the effect of whole-share rounding |
| Entry and stop references | Model assumptions; these are not executed orders |
3. Recheck a saved scenario
Compare a saved snapshot's quote time and assumptions with current inputs before reusing it. Changing volatility or prices can alter the model. A hypothetical stop reference does not assure an exit price during a gap, halt or liquidity shortage.
Methodology and source limits
This is an explanation of the current calculator, not evidence that an ATR strategy is profitable. Provider availability and daily candle alignment affect the estimate. The model does not account for every execution cost or market condition, does not establish fair value and does not place broker orders. Actual losses can exceed modeled distances. Free Explorer includes 7 ticker analyses per IP per UTC day; interactive position sizing requires Pro.
Sources
- Fidelity: Average True Range: general indicator concepts and its smoothed formulation. Product-specific arithmetic averaging and rounding are described separately above.
Check supported sizing inputs
Open Terminal to review current quote provenance and available research. Interactive sizing requires verified Pro access.
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