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 Calculate total volatility of portfolio Back to threads - Tags: -- 0

 Jan 2012-03-24 18:49:44 Hi, I would like to watch the overall volatility of my portfolio, based on the average true range. While calculating the ATR for a specific stock is easily done using the ATR() formula, I have troubles implementing this for the overall portfolio. I have two implementation options in mind: Option 1: weighing the ATR of each position with the overall position value (e.g. something like "sum over all positions(ATR(30)/close * position value / overall portfolio value" Here I struggle how to call the overall portfolio value and the single position values to calculate this. Option 2 calculating a weighted composite including all my positions, and applying the "ATR(30)/total value" formula on it. This would also have the main advantage that correlations are properly recognized. Here I have the same issues as with option 1 plus how to translate that into a composite - and I don't know whether the composite feature would allow the proper calculation of the ATR, does it recognize open, high, low, close - or just a close value? I am happy for help, maybe the results help some of you too. Best Jan
 QuantShare 2012-03-26 05:57:53   1 Best Answer In "Option 2", the composite will of course calculate the ATR based on open, high, low and close prices. You can add the following formula: composite = ATR(30); And use "Average" as calculation method. When creating the composite, you can reference portfolio symbols by adding a new "Internal List" condition (In Symbols Selection).
 Jan 2012-03-26 08:37:52   0 Great, thanks for the reply. Is it also possible to recognize the relative share/weight of a single invest in the composite? Means that if 90% of my portfolio are invested in share X, and 10% in share Y, I would like to have the value = 0.9*ATR(X) + 0.1*ATR(Y). That eventually would give me the actual volatility of the portfolio. Thanks Jan
 QuantShare 2012-03-27 07:18:45   0 Currently, the only way to calculate a weighted volatility is by adding a money management script to your trading system. Later, we will add a new "Portfolio.GetPositions()" function in "Tools -> Script Editor".
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