Risk Parity Calculator | QuantumResearch

28 ก.ค.

📊 Risk Parity Calculator | QuantumResearch

The Risk Parity Calculator by QuantumResearch is a dynamic asset allocation tool designed to help traders and portfolio managers distribute risk equally across multiple assets based on their relative volatility.

This script implements a simplified risk parity methodology, where allocation weights are inversely proportional to the recent volatility of each asset. The goal is to construct a portfolio in which each asset contributes equally to overall risk, rather than allocating by notional value or market cap.

🧠 How It Works
The indicator allows you to select up to 5 different assets (crypto, forex, indices, or commodities) and computes the following:

Logarithmic Return Volatility:
Uses log returns to calculate historical standard deviation over a custom period (default 14 bars).

Inverse Volatility Weighting:
Each asset’s weight is determined by 1 / volatility. Lower volatility assets receive higher weights.

Normalization:
All inverse volatility values are summed, and each is divided by that sum to generate the final weight (∑weights = 1).

Visual Output:
The results are shown in a custom table displaying:
Asset Tickers
Their respective portfolio weightings
Color-coded visuals to quickly assess risk-balanced contributions
This method favors diversification and seeks to reduce concentration risk by avoiding overexposure to more volatile assets like BTC or SOL, unless their volatility drops.

⚙️ Key Features

🔢 Supports 5 Custom Assets
Easily choose any combination of assets to construct your portfolio.
⚖️ Equalized Risk Contribution
Allocations scale automatically to reduce overexposure to high-volatility instruments.
🎨 Color-Coded Table
Visualizes relative weights, with color cues based on magnitude.
🔧 Adjustable Lookback
Modify the length used to compute volatility, giving you control over sensitivity.
🖥️ Flexible Table Position & Font Size
Fully customizable to match your layout preferences.

💡 How to Use It
Select your 5 assets using the input panel.
Set the length to control the volatility calculation window.
Observe the table output showing current risk-parity weights.
Use this to rebalance your portfolio, or validate your current exposure.
This is especially useful for portfolio reallocation, ETF modeling, or any strategy seeking risk-balanced diversification.

🛑 Disclaimer
This tool provides a simplified view of risk parity allocation and does not include cross-asset correlations or covariance matrix modeling. It is not a financial recommendation. Past performance and calculated weights do not guarantee future outcomes. Always apply proper risk management and conduct your own analysis.

29 ก.ค.

เอกสารเผยแพร่

Ability now to able/enable the number of tickers.