Swap cost in strategies



Each strategy have a different holding period, it can be 1 day for a short target strategy, or it can be 50 days for swing strategies.


Each strategy have a different swap cost.


Since the Build 131, we have a What If scenario including Swap cost. With it, we can have  the real results with swap cost included. This is important.


However, usually we are doing other cross checks like Walk Forward test , Monte Carlo, OPP and other test


In each runs of the Walk Forward Test, we have different value on each parameter (and on each strategy) giving you different holding period, giving you a different swap cost.


We need to include swap cost in the Walk Forward Optimization, in Monte Carlo, in OPP, and other Cross Checks.


Swap cost are important to have accurate results and to compare short term strategies with longer term strategies specially because SQX can offer both in the same batch. 


The success of your strategy depends on the accuracy of the results of SQX.








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  • Votes +2
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

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E
#1

Emmanuel

30.09.2021 22:07

Task created

E
#2

Emmanuel

30.09.2021 22:08
Voted for this task.
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#3

MM1

10.10.2021 16:32
Voted for this task.

Votes: +2

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