Risk Parity Calculator | QuantumResearch

28 de jul.

📊 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 de jul.

Notas de Lançamento

Ability now to able/enable the number of tickers.