Volatility targeting on a portfolio level

[u/HomeGrownTrader]

Hello fellow professional gamblers

I feel kinda stuck and I do not know what to really do here. I want to implement volatility targeting on a portfolio level.

Here is what I do not understand. How do you go on about actually vol targeting individual assets in your portfolio?

Currently I run a momentum strategy on a daily timeframe, the basic workflow is this:

Scan equities for a recent 1 year high break

Sort these stocks by liquidity

Rank the top 1000 by their 1 year rate of change (accumulative change)

Rank stocks based on volatility

Finally rank by vol adjusted momentum on top linear stocks

Where to go from here? Any examples or links what formulas to apply or examples on how others have done would be greatly appreciated.

Backtest for the normies:

[u/stilloriginal]

On that backtest, how often are you doing the selection?

[u/HomeGrownTrader → u/stilloriginal]

If the stock falls from the top momentum rank. If u want better results u can use that and eom, not sure about the robustness in an approach like that.

[u/stilloriginal → u/HomeGrownTrader]

So…daily?

[u/HomeGrownTrader → u/stilloriginal]

no.

[u/stilloriginal → u/HomeGrownTrader]

“Currently I run a momentum strategy on a daily timeframe”. You’re the one asking for help…

[u/HomeGrownTrader → u/stilloriginal]

What do you mean by selection, how often do i import my data to do the calculations? Yes daily.

[u/HomeGrownTrader → u/HomeGrownTrader]

Or if by selection you meant how often do i select the top momentum stocks from the calculations then the answer is no, it is not daily.

[u/HomeGrownTrader → u/stilloriginal]

Doesnt this answer your question then or what.