Hello community, am exploring how to manage multiple strategies based on volatility of the equity curve.
Let say the target volatility is 10%, it will scale up or reduce exposure based on the volatility of that strategy performance. Is that something achievable with MetaStrategies tab or any function?
Another question I have is on rotation strategies, let say if I want to take volatility of each stock into consideration of the exposure when rebalance, is that something possible or integrate with the current rebalance function?
Appreciate for your insights!
Let say the target volatility is 10%, it will scale up or reduce exposure based on the volatility of that strategy performance. Is that something achievable with MetaStrategies tab or any function?
Another question I have is on rotation strategies, let say if I want to take volatility of each stock into consideration of the exposure when rebalance, is that something possible or integrate with the current rebalance function?
Appreciate for your insights!
Rename
I'm not sure what you're measure of volatility is, but you could use "Sizing with the Trend" PosSizer from the PowerPack to add logic to a [C# coded] strategy to adjust size based on some measure of the equity curve. Alternatively, it's probably easier and more versatile to just make a new PosSizer with the logic required.
Rebalancing (in terms of Position Sizing) for exposure of individual instruments in "Block" Rotation strategies is out of scope. However, you can certainly add that kind of logic in a C# coded Rotation strategy.
Rebalancing (in terms of Position Sizing) for exposure of individual instruments in "Block" Rotation strategies is out of scope. However, you can certainly add that kind of logic in a C# coded Rotation strategy.
Hello,
Yes, two possible ways come to mind to implement making a stock's volatility enter the equation:
1. Create a custom indicator that considers volatility as part of your rotation's logic and feed it as the Indicator (weight factor).
2. Add a Condition Building Block to your Rotation Strategy, something like "Indicator Compare to Value" - for example, on screenshot below symbols will only be included if their ATRP is below 10%. This feature was introduced in B62. https://youtu.be/RxikkJgQk8Y
QUOTE:
Another question I have is on rotation strategies, let say if I want to take volatility of each stock into consideration of the exposure when rebalance, is that something possible or integrate with the current rebalance function?
Yes, two possible ways come to mind to implement making a stock's volatility enter the equation:
1. Create a custom indicator that considers volatility as part of your rotation's logic and feed it as the Indicator (weight factor).
2. Add a Condition Building Block to your Rotation Strategy, something like "Indicator Compare to Value" - for example, on screenshot below symbols will only be included if their ATRP is below 10%. This feature was introduced in B62. https://youtu.be/RxikkJgQk8Y
Thank you team, thats a good idea to leverage the existing setup and add additional indicator as weighting.
Just curious for the pos sizer customisation, do I need the power pack subscription?
Just curious for the pos sizer customisation, do I need the power pack subscription?
QUOTE:
Just curious for the pos sizer customisation, do I need the power pack subscription?
Either a one-time purchase of the PowerPack extension with an Annual plan (299 USD) or a Premium plan (399 USD) which includes all WL extensions (except those created by 3rd party developers).
Okay, Rebalancing has two meanings in this context, and I probably thought of the wrong one - Position Sizing.
Clarifying, it would be "out of scope" to change the sizes of the trade candidates based on volatility, but you can certainly change the trade candidates based on any measure with the new Additional Conditions feature.
Clarifying, it would be "out of scope" to change the sizes of the trade candidates based on volatility, but you can certainly change the trade candidates based on any measure with the new Additional Conditions feature.
Thank you team, just following up on the conversation, for the weighting, what does that implies actually. Do I need to create a custom indicator for weighting so that each stock has their ouput (e.g. 0.3) sum up to 1 or how does that works? My idea is to use volatility targeting, let say by default 33% for each stock, it will reduce when there is a high volatility, when it has a low volatility, it still capped at 33% weight hmm
Your Response
Post
Edit Post
Login is required