vol_target_position

Defined in fynance.signal

vol_target_position(signal, prices, target_vol=0.15, period=252, w=21, max_leverage=5.0)

Scale a directional signal by causal volatility-targeting leverage.

Multiplies a directional signal by the leverage from fynance.portfolio.sizing.vol_target (inverse of past realized volatility). Strictly causal.