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quantra-go-algo/step_6_from_policy_to_position_sizing_wi_2.py

Created June 24, 2026 01:29
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guardrailed-llm-agent — Step 6: From Policy to Position: Sizing with Volatility Targeting (snippet 2)
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step_6_from_policy_to_position_sizing_wi_2.py
def vol_scale(base_exposure, realized_vol):
# Scale toward TARGET_VOL=0.25 using yesterday's realized vol.
# Yesterday's vol avoids lookahead: we only know today's vol at close.
if not USE_VOL_TARGET or base_exposure == 0.0:
return base_exposure
if pd.isna(realized_vol) or realized_vol <= 0:
return base_exposure
return base_exposure * min(TARGET_VOL / realized_vol, MAX_LEVERAGE)
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