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:
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.
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.
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.