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Fishstoryyy INVESTOR

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Hi,

I am getting started here on QC and have a general question regarding algorithm design pattern. So far, I try to write every one of my algo using the algorithm framework. Is it always a good idea to write a strategy in algo framework? I might be wrong but it seems like a algo-framework strategy has more overhead than a classic algorithm. What's the pros/cons between the two? I wanted to follow best practice whenever I can from the start so it would be great to hear some advice/suggestions from the community.

Thank you

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Fishstoryyy

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Alexandre Catarino

100.6k Pro ,

Hi fishstoryyy ,

Thank you for your question.
We advise Alpha Authors to use the design they feel more comfortable with.

The main idea behind the Algorithm Framework is modularity that should lead to writing less code. Modularity brings a huge advantage: plug-and-play. We can test different modules (PCM, Risk, and Execution) for the given Universe+Alpha, and see which combination works best for our goals.

On the other hand, if we need to (re)write all modules (PCM, Risk, Execution) to serve a particular Alpha Model, resulting in more code than using the Classic design, it's a sign that we should probably not use the Framework. Or if we need to “hack” the Framework by passing additional information between modules, violating the separation of concerns principle, it's a sign that we should choose Classic instead.

Let me point out that, in some cases, we can leverage our Classic algorithm with Framework modules. For example, we can simply include these statements

self.SetRiskManagement(TrailingStopRiskManagementModel(0.01))

self.SetExecution(VolumeWeightedAveragePriceExecutionModel())

to add a 10% trailing stop executed with a VWAP execution model.

Fishstoryyy

764 Pro ,

Thank you Alex! That's super helpful.

Vladimir

94.7k Pro ,

Thanks, Alex!
Tried it, very promising, but can't figure out how to apply this to
a portfolio of multiple instruments in the same simple way.
Can you help?

Vladimir

94.7k Pro ,

Hi Alex, don't worry, I've fixed it.

Thank you for your help.

Fishstoryyy INVESTOR

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