Hi,
Is there a way to create a simple algo that do the following:
- buy 95% of the portfolio in SPY
- buy 5% of the portfolio in VXX (or VXXB)
Rebalance VXX on a daily basis to keep the 5% ratio.
It is my firts algo trading experience, any help would be greatly appreciated.
Thank you,
Douglas Stridsberg
Hi and welcome!
Yes, that's absolutely possible.
If I were you, I'd start reading up on the documentation and going through the Bootcamp available in the terminal to learn the basics of the framework (such as how to add securities to your algorithm, open positions as %age of portfolio, rebalance, etc.)
To schedule events, have a look at this documentation entry.
Good luck!
Halldor Andersen
Hi Jeffrey.
It is relatively simple to construct this algorithm using QuantConnect. I've attached a backtest where I demonstrate how to invest in the ETFs VXX and SPY and then rebalance the portfolio daily so that weights remain constant, 95% in SPY and 5% in VXX. Good luck!
Thank you very much for the help folks, very useful info!
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