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Hi,
I am looking for some best practices.
I would like to use the Alpha/PortfolioConstruction/RiskManagment and ExecutionModel in order to separate the concern but I have some difficulties to see how to acheive it.
For exemple, let's say I want to have a stratégy based on ichimuku. I can send the signal from the Alpha.
But I struggle to see how to use the PortolioConstruction anb RiskManagment as in my case they are related.
I would like, on a buy order, define in the PortfolioConstruction a quantity following a risk management which is based on the stop lose position. Depending of my stop loss I want to set the quantity in oder to lose only a certain % when my stop is reach.
But the stop loss (which is also based on ichimoku) should be handle in the RiskManagment which is called after PortfolioContruction.
Firstly, should I have this ichimoku indicator in all different services ?
To define a target quantity we need a SL how should I handle this problem here, Should I just put an arbitary value in the portfolio target and override it in the RiskManagment (if so I break the separation of concern imo).
Hwo would you do in such scenario ? On the paper the concept seems easy but when I try to implement it it just give me a headache....
Regards
Shile Wen
Hi Sebastian,
If the stop loss criteria is based on the Ichimoku insight, I'd suggest creating a Flat Insight inside the Alpha Model to liquidate the previous Insight.
Best,
Shile Wen
Sébastien Moreau
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