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referenced in a forum message (How to obtain volatility of all the stocks in the portfolio?) by QuantShare 2938 days ago
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Please check this item:
1140 |
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downloaded by Chris 2940 days ago
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referenced in a forum message (NaN error in Dynamic Position Sizing MM object) by Kiran 3415 days ago
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I'm altering the volatility-based sizing formula in the Dynamic Position Sizing MM object so it allocates size proportional to the square-root(inverse(volatility)) instead of based on volatility.
See ... |
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downloaded by Dennis 3415 days ago
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referenced in a forum message (Enhanced Dynamic Position Sizing money mgmt - some issue) by Kiran 3417 days ago
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I enhanced the Dynamic Position Sizing object to support 4 different rebalance modes - based on StdDev (current), 1/StdDev (inverse volatility), Sharpe Ratio, Sq-rt(StdDev).
Below is the code I added.... |
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downloaded by Ivan 3441 days ago
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23 other stream items are available for Dynamic Position Sizing |
