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Tobi's avatar

Great post, Mark! It really hit home, as I typically scale assets inversely to the difference between their 6-month high and 6-month low, which meaningfully improves the risk/return profile of many strategies.

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Mark Aron Szulyovszky's avatar

Thanks, Tobi!

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Mark Aron Szulyovszky's avatar

Yeah all of these metrics are the same, some people call it ATR or whatever. It can be computed with closing price or on high/lows. What's usually useful and I definitely didn't mention it (just yet) is to use a couple of windows in parallel.

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Mark Aron Szulyovszky's avatar

Just started an in-depth series on quantitative risk management: exploring volatility targeting, a seemingly paradox phenomena and the blindposts associated with it.

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