6.5
Index Vol Targeting
PYTHON PLUGIN
Indexes
Risk Management
Description
Strategy 6.5: Scale exposure inversely with realised vol to target constant vol
Strategy Logic
Strategy 6.5: Index Volatility Targeting.
Scale exposure inversely with realised volatility to target a constant
portfolio volatility. weight = target_vol / realised_vol.
Signal strength encodes the weight.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| target_vol | 0.1 | float |
| vol_lookback | 21 | int |
| max_leverage | 2.0 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 20.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 12.0% |