VolatilityManager

class qf_lib.common.utils.volatility.volatility_manager.VolatilityManager(series: QFSeries, frequency: Frequency = Frequency.DAILY)[source]

Bases: object

VolatilityManager uses rolling window to asses the historical volatility of a series. It is then using the results to find appropriate weights to be held in time in order to keep the volatility constant over time.

Parameters:

  • series (QFSeries) – series to be volatility managed

  • frequency (Frequency) – frequency of the series that is passed

Methods:

get_managed_series(vol_level[, window_size, ...])

param vol_level:

volatility level to be maintained expressed in number. for example 0.2 means 20% volatility
get_managed_series(vol_level: float, window_size: int = 20, lag: int = 1, min_leverage: float = 0.25, max_leverage: float = 1) → SimpleReturnsSeries[source]
Parameters:

  • vol_level (float) – volatility level to be maintained expressed in number. for example 0.2 means 20% volatility

  • window_size (int) – length of the window to asses the volatility

  • lag (int) – how many periods do we need in order to implement the reallocation. 1 means that already on close of the current day we adjust for the realised volatility of that day

  • min_leverage (float) – min leverage the the function is allowed to apply

  • max_leverage (float) – max leverage the the function is allowed to apply

Returns:

SimpleReturnsSeries containing returns of the series based on the input series passed in the constructor that is volatility managed according to the above parameters

Return type:

SimpleReturnsSeries