Volatility-Targeted Trend
A simple trend signal (price vs a slow EMA, with a small ATR buffer) whose POSITION SIZE is scaled so the position's expected volatility matches a target: when the market is calm the position is larger, when it is wild it is smaller (capped by a maximum exposure). Research on volatility-managed portfolios shows this improves risk-adjusted returns because volatility clusters while returns do not sc
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4h BTC / ETH / SOL perpetuals. "Target volatility" is annualised (e.g. 40%). "Max exposure" caps the size as a multiple of equity (1 = no leverage). The Properties order size is ignored: the script sets the quantity itself. Commission 0.06% per side. Back-test BTCUSDT 4h (Bybit, 0.06% fee/side, funding not included): 2021–2025 +234% (PF 1.73, max DD 33%, 101 trades); unseen 2025–2026 +20% (PF 1.22, 48 trades). Past results don't predict future ones. Concept: A. Moreira & T. Muir, "Volatility-Managed Portfolios", Journal of Finance (2017); trend filter by moving average.
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Back-tests and forward tests are simulations; past results do not predict future ones. Nothing here is financial advice. Trading carries a high risk of loss.