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Multiple Portfolios - Parallel Algorithm Performance Comparison

Hello,

I'd like to compare the performance of multiple Algorithms over the last X amount of days, then base my next trade on that.
Is there currently a way to do this?

Like, I'd like to try three different algorims simultaneously, and then based on what one of these three has performed the best over the last period, then use that algorithm to do the trades.

I've started making my own logger that stores performance based on an index, but I'm not sure that it's the best way to do it.

Thanks
Hugo
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Welcome Hugo - That sounds like a tricky problem. You may be able to run three separate fictional portfolio's of assets and then places trades into the real algorithm portfolio. I've mocked out this pattern in the algorithm below -
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Great stuff. Thanks Jared!
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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.


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