Volatility position sizer
Position-size multiplier from volatility relative to price; at default thresholds it reads a flat 1.5.
This is a position-size multiplier, not a price level. It divides the ATR (Wilder-smoothed true range over atr_period bars, 14 by default) by the close, giving volatility as a share of price. Below low_vol_threshold it returns 1.5, above high_vol_threshold it returns 0.5, and in between it returns 1.0. Bars before ATR has enough history return 1.0.
How to read it
- The line sits in its own pane below the price. Its values are size multipliers, not prices, so the candles do not move it.
- With default thresholds it is flat at 1.5 across the chart, with 1.0 only on the first 13 bars while ATR warms up. A flat line means the size never changes.
- A drop to 1.0 means volatility rose above low_vol_threshold; a drop to 0.5 means it rose above high_vol_threshold. Read the step as a sizing change, not a direction call.
What it outputs
- Size multiplier
- Size multiplier: 1.5 when volatility is below the low threshold, 0.5 above the high one, 1.0 between them and during warm-up.
Settings
- atr_period
- Bars in the ATR average. A shorter period follows the latest bar ranges faster, so the multiplier changes more often; a longer period smooths volatility and changes size more slowly. Default 14.
- low_vol_threshold
- Volatility (ATR as a share of price) below this gives 1.5. Raising it makes 1.5 more common; lowering it makes 1.5 rarer, and at 0 it never applies. Default 0.01 is 1% of price, about ten times the largest SPY one-minute value, so 1.5 covers every bar.
- high_vol_threshold
- Volatility above this gives 0.5. Lowering it moves more bars to 0.5; raising it makes 0.5 rarer. Default 0.03 is 3% of price, far above any SPY one-minute bar, so 0.5 never appears at defaults.
Pitfalls
- At default thresholds the output is a constant 1.5 after warm-up, so a strategy that sizes with it at defaults trades at 1.5x throughout.
- Thresholds are a share of price, so their dollar meaning shifts with the price: 0.0002 is about 15 cents on SPY near 765.
- The scale comes from SPY one-minute bars in September 2026, where volatility stayed below 0.11% of price; another symbol or month can sit at different levels.