Currently, one can only allocate fixed percentages to strategies inside a MetaStrategy.
It would be *extremely* useful to have weightings based inversely on Risk i.e. higher the risk, lower the weight. This would be in addition to, not a replacement for, %-based weighting.
If implemented, a lookback period will have to be provided for calculating the risk metric (typically, StdDev of Returns).
The StartIndex will have to be set at (lookback period + 1), if not already set higher in a strategy.
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The basic idea behind using Risk Parity (RP) is to allocate capital based on the risk (volatility) of each asset/strategy, rather than a nominal value. This often leads to a more balanced risk profile. RP can potentially both decrease risk *and* increase returns.
It would be *extremely* useful to have weightings based inversely on Risk i.e. higher the risk, lower the weight. This would be in addition to, not a replacement for, %-based weighting.
If implemented, a lookback period will have to be provided for calculating the risk metric (typically, StdDev of Returns).
The StartIndex will have to be set at (lookback period + 1), if not already set higher in a strategy.
------------------
The basic idea behind using Risk Parity (RP) is to allocate capital based on the risk (volatility) of each asset/strategy, rather than a nominal value. This often leads to a more balanced risk profile. RP can potentially both decrease risk *and* increase returns.
Rename
That’s a really interesting idea, tagged it as a feature request.
One additional point...
IF implemented (and I sure hope it is soon), the developers may wish to set a Maximum (or Min/Max ??) allocation limit also.
To give an extreme example, if there are 2 strategies in a MetaStrategy and their StdDev of Returns is 1% and 99% then their allocation would end up being 99% and 1% respectively. However, the user may not wish to allocate more than, say, 60% to that/any strategy; that's when the Max allocation would kick in.
IF implemented (and I sure hope it is soon), the developers may wish to set a Maximum (or Min/Max ??) allocation limit also.
To give an extreme example, if there are 2 strategies in a MetaStrategy and their StdDev of Returns is 1% and 99% then their allocation would end up being 99% and 1% respectively. However, the user may not wish to allocate more than, say, 60% to that/any strategy; that's when the Max allocation would kick in.
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