OPEN-SOURCE SCRIPT
Updated Vol-Targeted Position Size Strategy
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:
This region is highlighted in the strategy's chart window, as are the current and target positions.
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:
Pine Script®
targetPosition - tradeBuffer*targetPosition : targetPosition + tradeBuffer*targetPosition :
This region is highlighted in the strategy's chart window, as are the current and target positions.
Release Notes
Updated label of the positionRelease Notes
Use v2 of VolTargeting libraryOpen-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
For quick access on a chart, add this script to your favorites — learn more here.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
For quick access on a chart, add this script to your favorites — learn more here.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.