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Hi all,
I am experimenting a bit with some algorithms. Here I wanted to add the feature to liquidate all holdings if the spy index dropped by 10% in three days, to a PEG algo which buys new stocks each year. From the backtest it seems, it liquidates everything after one day each year? Can someone please enlighten me, what am I missing here?
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Hector Barrio
Wisse,
MOMP returns percentage, you are liquidating at -0.1% not -10%.
if self.SpyMomentum.Current.Value < -10:will liquidate at a -10% per 3 days.
Also, after the drops, the algorithm will not enter new positions until the end of the year, there is no action in OnData to re-enter positions that have been liquidated until the new universe arrives, and then only the added ones will have positions.
Wisse Bemelman
Hi Hector,Â
That explains a lot. Yes, re-entering is the next thing on the to-do list.Â
Thanks!
Wisse Bemelman
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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