Volatility Targets Raccomandati

Per Tipo di Trader

Staunch Systems Trader

Con backtest SR e zero/positive skew:

Realistic SR	Target Vol
0.25	12%
0.40	20%
0.50	25%
0.75	37%
1.0+	50%

Con negative skew: Dimezza i valori sopra.

Semi-Automatic Trader

Zero/positive skew:

Expected SR	Target Vol
0.20	10%
0.30	15%
0.40	20%
0.50+	25%

Negative skew: Dimezza i valori.

Asset Allocating Investor

Expected SR	Target Vol
0.20	10%
0.30	15%
0.40+	20%

Max realistico SR: 0.40 per large diversified portfolio.

Starter System

Conservative beginner target: 12%

Appropriato per: - SR realistico 0.25-0.30 - First-time systematic traders - Risk-averse investors

Regola Generale

Target = (Realistic SR × Discount) / Conservatism Factor

Dove: - Discount = 0.60-0.75 (backtest adjustment) - Conservatism = 2 (Half-Kelly) o 4 (negative skew)

Probability of Ruin

Target 50%, SR 0.5, 10 anni:

Outcome	Probability
Lose 50% capital	10%
Lose 90% capital	1.1%

Anche Half-Kelly ha significant ruin risk!

Maximum Raccomandato

Never exceed: 50% annualized

Anche con SR 1.0+, risks troppo alti oltre 50%.

Concetti Correlati

• [[Kelly Criterion]] - base per targets
• [[Sharpe Ratio]] - determina optimal target
• [[Skew]] - richiede adjustment
• [[Volatility Targeting]] - implementation