I certainly will. I think that dealing properly with volatility difference is essential, and I think since a long time to a way to do it.
Additional question: do you use the distance entry level/stop level to define the weight of your position ?
The point is: let's suppose that all of our positions are of the same weight (10% of the portfolio, for instance), but with percentage distances entry/stop which are different (let's say, from 3% to 7%). The result is that some positions can result in little loss, some other in bigger loss.
A way to deal with it could be to balance the size of the position, so that the risk is always the same. It's a way to cancel the effect of volatility on risk (but also on gains). So, when thinking to this volatility issue, I have often considered that it could be interesting to have bigger positions when the risk is lower, littler positions when risk is bigger.
What do you think about that strategy ?
Btw, now I'm also thinking to another possible strategy. I'm refining my Money Management, and I think that I will introduce a rule, according to which only a defined part of the portfolio can be exposed. For instance, all the existent positions together cannot expose the portfolio to more than 5% of loss. That means that when I enter some positions, I need to wait some times, and only when those positions are "positevely" protected (= the stop loss is over my entry point) I can open new positions.
That could also be a way to deal with volatility, since when opening a riskier position, I'd have to wait more before to enter new positions. But they would still be of the same size.
