I have started to use a strategy performance indicator „annualized volatility“, described publicly by RobotWealth. I use it live for my strategies, find it very practical and this is to suggest to include it in the Zorro strategy performance report.

They advise to calculate this „annualized volatility“ as a standard deviation of daily relative returns and multiply it by square root of 252. Then scale the trades to keep this „annualized volatility“ in 12-15% range. This whole process is to psychologically resist the drawdown in real trading. The data record should be 6 months or more.

If there is a statistically more appropriate way to set up such scaling for live trading, which is already available in the Zorro performance report, will you please advise ?