OPEN-SOURCE SCRIPT
Updated

Vol-Targeted Position Size

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Instructions

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

Overview

This script calculates position size in units (shares, contracts, etc) given a target volatility contribution of the position and a nominal portfolio size.

The calculation is based on a volatility forecast obtained from the exponentially weighted historical volatility. The user can input the half-life of the exponential weighted scheme.

The indicator also plots the no-trade region - the region around the target position size that defines the limit of the divergence of the target and actual position.

Relevant information for the most recent price data is displayed in a table.
Release Notes
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Release Notes
Use v2 of VolTargeting library

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.