I'm thinking about trying something, but not sure how it would be handled technically. Lets say I have a basket of strategies (Alphas) within a framework algorithm. I want to track each Alphas returns separately whether or not I'm actually trading the stocks, independent of it's weight.


Alpha 1, weight 10%, trades between SPY,TLT

Alpha 2, weight 50% trades SPY, GLD

Alpha 3,4,5 etc.

  • The tickers are not unique to each alpha
  • Each Alpha holds different allocations of each ticker according to the logic of each one.
  • The algorithm may put different allocations to each alpha, not constant, some alphas may not be traded at all for a time, but i want to track what the returns of only that alpha would have been.
  • The actual holdings of the algorithm may vary or be none at all
My goal is to attempt a strategy where I pick the top performing alphas from the past X days/weeks from a large basket of alphas and only trade on those alpha's signals.