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Hello,
1.-Using the Dollar Cost Average technique, I have tried different methods to liquidate the position and I don't understand why at times instead of liquidating the portfolio, it takes short positions.
It has only happened to me applying it to BTC.
2.- I also don't understand the leveraged values in the report.
3.-Additionally, is there a command to expressly prohibit shorts?
4.- Can the Dollar Cost Averaging technique be applied in an alpha live in my account? And in Alpha Stream?
Thanks.
Vladimir
J Viq,
-> I don't understand why at times instead of liquidating the portfolio, it takes short positions.
How did you know that the strategy takes short positions?
Simple end of the day plot of account leverage and real weights of portfolio items does not show any
short positions.
Javier V.
Yes, you are right, but look at the report.
Javier V.
https://imgur.com/NZU7pq9
You can see here.
Thanks!
Derek Melchin
Hi J Viq,
#1/2: There is an issue with the leverage plot in the report. The plot in the attached backtest shows the algorithm never has a negative quantity of BTC. We've created a GitHub Issue to have the report generator fixed. Subscribe to our progress here.
#3: If we set the brokerage model to a cash account instead of a margin, short orders aren't allowed.
#4: No, Alpha Streams have a fixed value when deployed. If the portfolio value of an algorithm consuming the insights exceeds the fixed allocation of the Alpha Streams, the algorithm will be stopped.
Best,
Derek Melchin
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Javier V.
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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