Volatility & Position Sizing Calculator
Input a return series, compute rolling volatility, and see how position size should scale with vol targeting.
Feb 23, 2026, Eric
The Core Idea
Volatility is the enemy of consistent risk-taking. When markets are calm, a fixed-size position carries modest risk. When vol doubles, that same position carries twice the dollar risk per trade — silently, without any action on your part. Vol targeting fixes this: you size positions inversely to volatility so that risk-per-trade stays constant in dollar terms regardless of the market regime.
The formula is brutally simple: size = target_vol / current_vol. If your target is 15% annualized and current vol is 30%, you halve your position. If vol drops to 10%, you size up 1.5×. The chart below makes this scaling visceral — watch the position line collapse exactly when vol spikes.
Controls
Rolling Window
Days used to compute rolling std dev
Load your own return series
Single-column CSV of daily returns (percent like 0.42, or decimal like 0.0042 — auto-detected). Optional header row.
Daily Returns
Green = positive, Red = negative. Shaded region = volatile spike window used in default data.
Annualized Rolling Volatility (20-day window)
Std dev of daily returns over the rolling window, annualized by ×√252. Dashed line = your target vol.
Position Size Multiplier (target vol / rolling vol)
Value above 1.0 = size up (vol below target). Below 1.0 = size down. Capped at 3×. Dashed line = full-size baseline.
Current Rolling Vol (20d)
15.5%
Annualized
Average Rolling Vol
13.0%
Min 4.9% / Max 34.9%
Current Size Multiplier
0.97×
target / current vol
Current Dollar Position
$102,555
1% risk on $100,000
Max / Min Vol Ratio
7.1×
Range of position scaling needed
High-Vol Days (>1.5× avg)
38
Days position was significantly reduced
Days Cut Below 50%
12
Days vol was >2× target
Max / Min Dollar Position
7.1×
Range of $ position sizes
Scenario Comparison: Calm vs. Median vs. Peak Vol
How position sizing differs across the vol distribution in your dataset.
Lowest-Vol Day
Median-Vol Day
Highest-Vol Day
On your calmest day you would size 7.0× larger than on your most volatile day. Without vol targeting, your peak-vol day would carry 7.1× more risk than your calmest day.
What This Means
Current vol of 15.5% is close to your 15% target — position sizing near baseline
Vol vs. benchmarks: At 13.0% average annualized volatility, this series is below the S&P 500's typical 15–20% annualized vol — moderately calm.
Regime breakdown: 38 days (16% of all rolling-window days) were in a high-vol regime (over 1.5× average vol). On those days, a vol-targeted system would have run at 0.77× or less of full position size.