January 9, 2020 Downside Risk Management Using HV and Target Volatility

Group Mentoring / By

For Easy Language users, here is the code for the Target Volatility sizing indicator

{Target Volatility Sizing Indicator EasyLanguage. Andrew Falde 2019}

 Inputs: 
 TargetVolatility(.05),
 HVlookback(21);
 
 Vars:
 Allocation(0);
 
 Allocation = TargetVolatility / ((standarddev(c,HVlookback,0) / c) * Squareroot(252));
 
 if Intervaltype = 2 then Plot1(Allocation);