Holds a long position sized so its value volatility per bar matches a risk budget. More...

#include <algotradelib/src/strategy/vanilla/sizing.hpp>

Collaboration diagram for algotradelib::strategy::vanilla::VolatilityTargetSizing:

Classes
struct	Params
	The strategy's settings. More...

Public Member Functions
std::size_t	warmup_bars () const
	Returns how many bars to load before the first live bar.
template<class Ctx>
void	on_bar (Ctx &ctx, const BarEvent &bar)
	States the volatility-sized target position on each bar of the instrument.

Public Attributes
Params	params_
	The settings.

Detailed Description

Holds a long position sized so its value volatility per bar matches a risk budget.

The target is q = budget / (price * s), where s is the sample standard deviation of the last window_ returns of the bars it is fed, capped at max_quantity_. The volatility is per bar of whatever interval arrives (a minute bar gives per-minute volatility); nothing converts it to a daily figure. Nothing is stated while the window is incomplete or flat. The budget is in currency, not a fraction of equity.

Definition at line 28 of file sizing.hpp.

Member Function Documentation

◆ on_bar()

template<class Ctx>

void algotradelib::strategy::vanilla::VolatilityTargetSizing::on_bar	(	Ctx &	ctx,
		const BarEvent &	bar )

inline

States the volatility-sized target position on each bar of the instrument.

Template Parameters

Ctx	The runner's context type.

Parameters

ctx	The context.
bar	The new bar.

Definition at line 59 of file sizing.hpp.

◆ warmup_bars()

std::size_t algotradelib::strategy::vanilla::VolatilityTargetSizing::warmup_bars ( ) const

inline

Returns how many bars to load before the first live bar.

Returns: window_ + 2.

Definition at line 50 of file sizing.hpp.

Member Data Documentation

◆ params_

Params algotradelib::strategy::vanilla::VolatilityTargetSizing::params_

The settings.

Definition at line 44 of file sizing.hpp.

Referenced by on_bar(), and warmup_bars().

The documentation for this struct was generated from the following file:

algotradelib/src/strategy/vanilla/sizing.hpp

Classes