Hedge/Correlation/Basket Strategy Implementation

I am moving this thread from the main SQX to SQ Programming because I know this would require some extensive work on the core of the UIĀ https://roadmap.strategyquant.com/tasks/sq4_2829
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  • Votes 0
  • Project SQ Programming
  • Type Feature
  • Status New
  • Priority Normal

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KL
#1

keinc301

19.11.2018 15:43

Task created

KL
#2

keinc301

27.11.2018 02:20
Small note, this would require some type of advanced event management between symbols. You could, for example, execute 4 trades on 4 different markets when a set of conditions is met on one market, or this could execute if the same or different conditions were met on more than one market simultaneously, or trades can be executed if the same or different conditions are met on different markets at different times. The depth of strategies that can be created from this should expand the type of strategies that could be found by a wide margin. Because multiple data sets are used, the backtesting would need to handle combining the results together. These basket type strategies can be mini portfolios within their own right so it should fit in with features designed around testing an entire portfolio at once such as portfolio money management and portfolio robustness testing.

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