Vol-Targeted Position Size Strategy

2024년 3월 27일

Instructions

Click here for a video demonstration of using the Vol-Targeted Position Size strategy. The link also includes detailed written instructions if you prefer.

Overview

This strategy seeks to maintain a constant-volatility exposure to the underlying asset.

The user inputs a volatility target and a half-life for the exponentially weighted volatility estimate used as a volatility forecast.

The user also inputs a no-trade buffer parameter that controls the fidelity with which the strategy rebalances back to the target position size. The strategy rebalances back to the target position size when the current position falls outside of the region:

targetPosition - tradeBuffer*targetPosition : targetPosition + tradeBuffer*targetPosition :

This region is highlighted in the strategy's chart window, as are the current and target positions.

2024년 3월 27일

릴리즈 노트

Updated label of the position

2024년 3월 27일

릴리즈 노트

Use v2 of VolTargeting library