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Hi all, I've been searching for an example on how to do this, but haven't found anything. I've written 2 separate algorithms that perform well individually. I have reason to believe they are non-correlated and if ran simultaneously on a single Portfolio (ie, 50% of equity to Algo A, 50% of equity to Algo B), I believe the overall performance would be better than either individually. I'd like to backtest this hypothesis. Any advice or sample code?
Thanks,
Chetan
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Derek Melchin
Hi Chetan,
For example code of running multiple strategies in a single algorithm, see the InternFund algorithms.
Best,
Derek Melchin
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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.
Chetan Prabhu
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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