Risk Management is not preserved when merging strategies

I had talked to Tomas about this earlier. I just wanted to make a post here to make sure it was not forgotten. The ability to merge the code of strategies is great however, currently the risk management settings are not preserved for each individual strategy. I don't know if this is intended behavior because every strategy I have used is very sensitive to the risk management settings. We should be able to combine multiple long only strategies and have different risk settings for each set of rules. The same should apply for combining multiple short only strategies and combining long only and short only strategies. Other settings independent to the strategy should be carried over as well including  min/max SL, exiting or not on Friday, trading in certain time ranges, any eventual what-if scenarios, etc.
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  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

KL
#1

kainc301

24.05.2020 05:25

Task created

h
#2

hankeys

24.05.2020 17:36
there are bigger problems - different settings of min/max SL, exiting friday, not exiting friday, etc. etc.
KL
#3

kainc301

24.05.2020 17:42
@hankeys I will add this to the description of the bug thank you.
KL
#4

kainc301

24.05.2020 17:44

Description changed:

I had talked to Tomas about this earlier. I just wanted to make a post here to make sure it was not forgotten. The ability to merge the code of strategies is great however, currently the risk management settings are not preserved for each individual strategy. I don't know if this is intended behavior because every strategy I have used is very sensitive to the risk management settings. We should be able to combine multiple long only strategies and have different risk settings for each set of rules. The same should apply for combining multiple short only strategies and combining long only and short only strategies. Other settings independent to the strategy should be carried over as well including  min/max SL, exiting or not on Friday, trading in certain time ranges, any eventual what-if scenarios, etc.

KL
#5

kainc301

09.06.2020 07:37
Awesome. Thanks for working on this.
MF
#6

Mark Fric

09.06.2020 08:13

Status changed from New to Refused

I'm sory, but i'll refuse this. It is a feature request, not a bug.


Strategies in SQ support only one MM setting as well as one trading options setting, there is no simple way to add support for multiple settings for this right now.

If you want to merge strategies with different settings it would probably have to be done on source code level.

KL
#7

kainc301

09.06.2020 15:19
I understand it's complicated so I'll stick to source code. Is using different settings (like risk/reward, exiting friday, etc) able to be done in algo wizard for different entry rules? If not I will add that as a feature request to be done in AW later.

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