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 +10
  • 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
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#3

MM1

10.10.2021 16:32
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#4

Loonly

09.01.2022 11:59
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#5

bentra

09.01.2022 12:10
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#6

bentra

09.01.2022 12:11

It's been the most voted task for ages:

https://roadmap.strategyquant.com/tasks/sq4_3847

KB
#7

kevin.jose.bs@gmail.com

09.01.2022 12:48
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JJ
#8

jjsb41

09.01.2022 13:18
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#9

Jabezz

10.01.2022 02:48
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#10

Emmanuel

11.01.2022 02:10
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#11

mentaledge

19.01.2022 20:55
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#12

Hans

03.05.2022 19:48
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#13

Emmanuel

09.05.2022 03:31
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#14

bentra

09.05.2022 16:14
This is already in b136...

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