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