vol_target

Defined in fynance.algorithms.sizing

vol_target(X, target_vol=0.15, period=252, w=21, max_leverage=5.0)

Causal volatility-targeting leverage series.

Leverage that scales inversely with the past realized volatility so the strategy targets a constant annualized volatility target_vol: \(\\ell_t = target\\_vol / \\hat\\sigma_t\), capped at max_leverage. Strictly causal — uses fynance.features.indicators.realized_volatility.

Parameters:

Xarray_like

Price/level series.

target_volfloat, optional

Target annualized volatility. Default 0.15.

periodint, optional

Annualization factor. Default 252.

wint, optional

Rolling window for the realized volatility. Default 21.

max_leveragefloat, optional

Cap on the leverage. Default 5.0.

Returns:

np.ndarray

Leverage series aligned to X (0 where volatility is not yet defined).