Risk Management

Value at Risk (VaR) Range-Based Calculator

Parametric Value at Risk estimates the maximum expected loss over a holding period at a given confidence level, using volatility as the input. Use your ATR% or historical daily range% as the volatility figure, enter position value, confidence level, and holding period, and get a dollar and percentage VaR estimate.

Position Value ($)

Daily Volatility (%)

Use your ATR% or the standard deviation of daily returns.

Confidence Level

Holding Period (days)

Value at Risk ($) ···

Value at Risk (% of position) ···

Educational tool only, not financial advice. Parametric VaR assumes normally distributed returns, which understates risk during fat-tail events. Do not treat this as a hard loss cap.

Built by Jason Parker, founder of Trading Ranges.