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Hi, I was playing around with one of the copulas trading strategy on QuantConnect. I realised that the net holdings, leverage and rolling portfolio beta are constant after around Sept 2012. I am not too sure if the algorithm is the one that is giving me the result or there's some economic intuition towards it. Happy to discuss!
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Fauxpas
Would be glad if anyone experiencing the same problem as me above in the tearsheet report, could inform me too! Perhaps we could have a quick discussion as to what is wrong.
Jing Wu
Hi Fauxpas, for this algorithm, there is no new trade after 2012, so the net holdings, leverage and rolling portfolio beta are constant. Check the copula algorithm here
Fauxpas
Hi Jing Wu. Could I check with you if it's limited to 2012 because of self.lookbackdays or self.numdays? Suppose that I would like to extend it to have trades after 2012, what should I do?
Jing Wu
Hi Fauxpas, it is not limited by self.lookbackdays or self.numdays. You can change the holding percentage in CalculateOrderQuantity(symbol, Target percentag holdings) to adjust your leverage
Fauxpas
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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