[isatrader]

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 ?

Yes, if you look back earlier in my journal thread you'll see that I use the ATR for position sizing as well to cancel out the effect of the different volatilty in each stock. So, the higher the voliatility the smaller the position size as I'm generally only looking to risk 2x the 52 week ATR on an investor position, and so my position sizes are calculated around that to make sure the risk is the same whatever the size of the stock.