LEAN is the open source
algorithmic trading engine powering QuantConnect. Founded in 2013 LEAN has been built by a
global community of 80+ engineers and powers more than a dozen hedge funds today.
Inverse Correlation Strategy Using Indian Market Data
Raul
edit
2
Using the custom data from Quandl, I've selected 2 inversely correlated assets to build a simple strategy where the algorithm buys the asset that has performed the best in the last 9 days, and closes any other open positions.
The assets are from the Indian market: The NIFTY index and the USD/INR currency pair.
Besides of having an interesting Sharpe ratio and nice returns, I've tested the resilience of the results by shifting the rotating window from 3 days up to a 30 day window to optimize the variable for the best performance:
The resulting sharpe is fairly robust regardless of the precise value of the rotating window period.
I'm absolutely sure the strategy could perform way better; e.g. by refreshing the number of days it should consider for the calculation window, the criteria of buying and selling, and increasing the pool of assets to choose (maybe recalculating the correlation between assets, and choosing the strongest ones?), etc.
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.
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...
To attach images, drag and drop them into the textarea.
