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You can compute individual stock betas in AB using the following formula:
beta = stdev(stock)*correlation(with market)/stdev(market)
Then you can adjust your positions sizes according to the betas just like you do that with ATR.
--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> Hey all -
>
> I've got a system which is designed to be market neutral on a group of ETFs, but one issue that I've run into is you obviously need alignment in terms of the volatility of the instruments. If you are long EEM and short SHY, you're not going to have much balance.
>
> Now this can obviously be done with position sizing, sizing based on ATR to create larger positions in SHY and a smaller position in EEM, but I was wondering if anyone had tried to align the beta of different funds. So you generate a list of trades and then filter them in some way to create a list that is balanced in terms of volatility.
>
> Any thoughts appreciated.
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