VolatilityManager

class qf_lib.common.utils.volatility.volatility_manager.VolatilityManager(series: qf_lib.containers.series.qf_series.QFSeries, frequency: qf_lib.common.enums.frequency.Frequency = <Frequency.DAILY: 252>)

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) → qf_lib.containers.series.simple_returns_series.SimpleReturnsSeries

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