Back

Backtest strategy that acts across multiple pairs

Hi!

I would like to know if i can backtest a strategy that would trade across multiple pairs. Not by testing 5 strategies separately and adding up the equity curve, but test a strategy that would eg:

go long 1 lot EURUSD, and 1 lot USDCHF and at an open loss of 1000 euro go short 1 lot of GBPJPY and 1 lot of AUDNZD and track the overall performance of these trades in backtest.

thank you! Maurik

Update Backtest








Definitely yes!
We can backtest multiple assets from multiple asset classes in the same algorithm. 

Please checkout the docs and QuantConnect University examples to know all we can do with QuantConnect.

I wrote a simple algorithm that uses half of the portfolio value to buy EURUSD and other half to buy USDCHF in Mondays and half of the portfolio value to sell GBPJPY and other half to sell AUDNZD on Tuesdays. On Fridays, we liquidate all the positions.

 

0

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.


Hi Alexandre!

This is great news! I cloned your algorithm to take a closer look.

Anyways, this is all I needed to know to decide if quantconnect can be of value to us.

We will now have a much deeper look at everything the platform has to offer!!

Thank you very much! Maurik

0

Update Backtest





0

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.


Loading...

This discussion is closed