Volatility Blend Weights
Standard Blend
σ_blend = 0.7 × σ_short + 0.3 × σ_long
Dove: - σ_short: EWMA con λ = 0.06061 (span 32) - σ_long: EWMA con λ molto piccolo (span >>100, or historical average)
Perche Blendare?
Short-term only (100% weight): - Cattura volatility clustering ✓ - Ma: Massime posizioni pre-crisis ✗ - Ma: Ignore mean reversion ✗
Long-term only (100% weight): - Cattura mean reversion ✓ - Ma: Miss regime changes ✗ - Ma: Poor short-term forecast ✗
Blend (70/30): - Best of both worlds ✓ - Smoother (lower costs) ✓ - Safer (no max position pre-crash) ✓
Derivazione Pesi
Weights da regression analysis:
Future σ regressed on: - Current short-term σ - Historical long-term σ
Optimal weights ≈ 0.7 / 0.3 (robusto across instruments).
Esempio Pratico
Pre-crisis scenario:
Short-term σ = 10% (currently calm) Long-term σ = 18% (historical average)
100% short-term:
σ = 10% → Position massima (danger!)
Blend:
σ = 0.7×10% + 0.3×18% = 7% + 5.4% = 12.4%
→ Position più conservativa (safer!)
Alternative Weights Tested
| Short Weight | Long Weight | Forecast Power | Safety |
|---|---|---|---|
| 1.0 | 0.0 | Best | Worst |
| 0.8 | 0.2 | Good | OK |
| 0.7 | 0.3 | Good | Good |
| 0.5 | 0.5 | OK | Better |
| 0.0 | 1.0 | Worst | Best |
70/30: Optimal trade-off.
Cost Reduction
Blend riduce trading costs:
100% short-term: - Noisy estimate - Frequent position changes - High turnover
70/30 blend: - Smoother estimate - ~20-30% less trading - Lower costs
Implementation
# Daily update
short_term_vol = ewma(returns, lambda=0.06061)
long_term_vol = historical_mean_vol # or very slow EWMA
blended_vol = 0.7 * short_term_vol + 0.3 * long_term_vol
position = calculate_position(capital, target, price, blended_vol)
Long-Term Estimate Options
Option A: Historical mean
σ_long = Mean(σ over all history)
Option B: Very slow EWMA
σ_long = EWMA(λ = 0.001) # span ~2000 giorni
Option C: Expanding window
σ_long = Std(all returns to date)
Tutti funzionano reasonably well.
Concetti Correlati
- [[EWMA]] - metodo per short-term estimate
- [[Volatility Clustering]] - short-term phenomenon
- [[Mean Reversion]] - long-term phenomenon
- [[Position Sizing]] - usa σ_blend