Share New Research 
Hi Community,
I'm working on an example of a mean-reversion strategy applied to cryptos - which code (applied originally to equities instead) is derived from a benchmark Alpha Series in GitHub.
It's an interesting strategy as this trades equally weighted cryptos securities which are highly correlated and liquid at Gdax & ideally towards any short term corrections vs the price deviations from its mean-value.
Using a simple moving average indicator, compares the value of the portfolio against its SMA and ultimately generates insights to long the under-valued symbol and short the over-valued symbol.
I've used the risk management "MaximumDrawdownPercentPerSecurity" module as this should monitor the portfolio holdings and when extended beyond a 25% drawdown limit - should immediately liquidate the portfolio.
Unfortunately it doesn't seem to be the case (most certainly as I've missed something) and given the frequency of trading the position management ultimately fails leading to periodic insufficient buying power..
Could you please advise thank you,
Regards, Marcello
Louis Szeto
Hi Marcello
Although the Risk Management Model would generate portfolio targets that will close the positions with market orders "mimicking" a stop loss, the insight is still active. Thus, it will re-order the stop-loss asset. Please refer to this thread on how to stop loss using the framework.
BestLouis
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.
MARCELLO CULTRERA
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.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!