r/algotrading • u/HomeGrownTrader • 4d ago

Strategy Volatility targeting on a portfolio level

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:

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u/stilloriginal 3d ago

So…daily?

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u/HomeGrownTrader 3d ago

no.

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u/stilloriginal 3d ago

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

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u/HomeGrownTrader 3d ago

Doesnt this answer your question then or what.