Position sizing based on Yhang-Zhan variation of Garman-Klass volatility

Position sizing based on Yhang-Zhan variation of Garman-Klass volatility

This code has to be used in conjunction with a screener, that I will post soon, in order to build a weighted portfolio based on volatility and momentum. You can choose to use the EWMA (Exponential Weighted Moving Average) or the most sophisticated Yang-Zhang variation of the Garman-Klass volatility to build your positioning. Just multiply the number the graph is showing for the basic import you are normally investing. Let’s say for example that you normally invest 1000 Euros per trade per stock and the code gives you the number 9 for stock A and 5 for stock B. You would want to buy 9000 stocks A and 5000 stocks B (or a different number but always weighted 9 to 5).

This positioning works excellent in portfolios with 20-30 stocks minimum.

Blue skies!!

Share this

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

PRC is also on YouTube, subscribe to our channel for exclusive content and tutorials

  1. Abz • 09/13/2017 #

    Hello,

    could you explain a little bit more about this , what numbers are you refering to 9 and 5 ? i have added the screener that works with this is the 9 – 5 the sharp index you are refering to?

  2. gabri • 09/13/2017 #

    ABZ,
    the 9 and 5 I was referring to are JUST EXAMPLES. You need to use this indicator when building portfolios in order to give a weight-based-on-volatility positioning to every stock.

    Let’s use another example. Let’s use ENEL, ENI,FCA as an example with yesterday close – 16th Sept 2017. We find that the YZidx (Yhang Zhan Index) for these titles are respectively 40.139 for ENEL, 65.129 for ENI and 6.10 for FCA. That means that you will have to buy more ENI than FCA. You can do that in a few ways. You can multiply these index for a minimum value – say 1000 Euros – and get 40.139×1000=40139 Euros of Enel, 65.129×1000=65129 Euros of ENI and 6.10×1000=6100 Euros of FCA.
    Or you can build the folio with [40.139/(40.139+65.129+6.10)]*100=36% stocks of ENEL, [65.129/(40.139+65.129+6.10)]*100=58,5% of ENI’s stocks and with [6.1/(40.139+65.129+6.10)]*100=5.5% of FCA’s stocks.

    • Abz • 09/13/2017 #

      Thanks gabri

  3. Mattzi • 09/13/2017 #

    In your opinion is less than 20 stocks a bad idea? Thank you.

  4. gabri • 09/13/2017 #

    No, you can pick as many or as little as you want. The portfolio composition depends on many factors. I like to use more portfolios with a number of titles varying from 20 to 50 (it depends on the period)

avatar
Register or

Likes

avatar avatar avatar avatar avatar avatar
Related users ' posts
Iván Bonjour L'ensemble de l'indicateur est alimenté à partir de la ligne 9 avec la définition d...
kats BONSOIR c bon merci j ai trouve ce weekend merci de votre reponse cdlt
the_giorgio Hi, nice work I would like to understand something about prorealtime code. With your ...
jacquesgermain sì da aggiungere
Maik2404 auf welchen Wert muss ich die Kompresionsperiode stellen?
jacquesgermain — Période de compression : ce paramètre détermine la période de rétrospection utilisée pour ...
AndPar Buongiorno Nicolas, vorrei provare questo indicatore, ma quando lo inserisco in PRT mi vengo...
Nicolas Basta aggiungerlo al prezzo https://www.prorealcode.com/blog/video-tutorials/how-to-add-an-i...
Aragorna hello Nicolas, this indicator works with the last Beta version of PRT? Ive seen tha many in...
SnorreDK Works extremely well - How? How do u implement this in a startegy? Breakoutstrategy?
Keyeming Thanks, but yes same question as above, some explanations on how to read it would be appreci...
Bateson Bonjour. Merci beaucoup ! J'ai installé l'indicateur sur PRT 11 mais pour des raisons qui ...
CederTrader Hi Denis, does this indicator add to the chart as panel, or on the candles. Thanks
Nicolas Add it on the price chart as described in this video: https://www.prorealcode.com/blog/video...
Denis Hello Nicolas and Ceder Trader, Sorry, I only just saw your replies. The indicator is alre...
Seabiscuit Hi! I like this indicator a lot, been using it on a 30 min timeframe and usually confirms my...
Ramahu Bonjour et merci pour cet indicateur ! je l'observe sur les actions du Nasdaq et la plupart ...
Nicolas Il doit s'agir d'un mauvais copier/coller. Je suggère de télécharger le fichier itf contenu ...
Bard Hello @Nicolas, I can get this to display in a separate indicator panel but not on Price as ...
Stenozar Hi @Nicolas, how can I put the bands on price? Thanks, Stefano
Fabian Hi IV Mcm, have you drawn the rectangles (Dinamic, Range) by yourself in the chart or are...
IV Mcm Myself to illustrate ;)
oraclus Bonjour indicateur très intéressant existe t il un screener qui détecte les actions qui donn...
IV Mcm Ce n'est pas le but de cet indicateur, mais avec un peu d'entraînement vous pourriez le code...
Yantra Thank you for sharing your good work!
luxrun sorry, add prt code add doesn't work
robertogozzi Don't worry about PRT code, I can't make it work either! Great for pointing that out, it's ...
Khaled @Luxrun, good morning, you mentionned "y = exponentialaverage (x)", isn't the period of the ...
luxrun One question, Roberto: the two AvgT are variable, could you explain to me what they regulate...
robertogozzi AvgT stands for Average Type, it's a parameter for the AVERAGE keyword (https://www.prorealc...
robertogozzi Yes, you can use any setting that suits you best! As to which one... it depends on the inst...
DaxRider grazie Robnerto
Nicolas remplacer les valeurs de coloured(0,255,0) par coloured(r,g,b) et ajouter ces noms de variab...
mohamed merci Nicolas!
sacram14 Merci Nicolas pour ce set-up que je ne connaissais pas ! J'ai tenté de reprendre le code pou...
Vonasi Sure that is possible. I will code it and make a post in the English ProBuilder forum and pu...
Vonasi Vama v2 with Hull moving average included can be found here: https://www.prorealcode.com/top...
JMat45 Thank you, Vonasi.
Bard Very interesting approach Vonasi! I'm getting a 404 error when trying to download though?
Vonasi I just tested and I was able to download with no error.
Psari Hi Vonasi, I am a newbie and was wondering whether you could possibly help me with this pro...
Bard I've also just noticed that changing the "Bands Deviation" setting from 1.25 to eg 3 doesn't...
bartekz Hi @Nicolas, Really impressed by your work. I am trying to replicate the Wave-PM indicator t...
Nicolas You don't have to replicate it, download the file and import it into your platform.
juanj
6 years ago
juanj I have actually completely redesigned this indicator with loads of improvements, so will res...

Top