bayesline.api.equity.IdioVolProportionalAlpha

model IdioVolProportionalAlpha

Expected returns proportional to idiosyncratic volatility, in the held direction.

Each held name’s expected return is its idiosyncratic volatility forecast times scale, signed by the current position (positive for longs, negative for shorts); names not held have no expected return.

Fields

Field	Type	Required	Default	Constraints
kind	Literal[‘idio_vol_proportional’]	No	'idio_vol_proportional'
scale	float	No	1.0	gt=0

field kind: Literal['idio_vol_proportional'] [Optional]

field scale: float [Optional]

Multiplier applied to the idiosyncratic volatility.

Constraints:

• gt = 0