Hey, I could not find an implementation for long and short Trailing stop loss compatible with QC Alpha so I've created one
I took the SL and changed it a little bit. for every asset, we keep best historical PNL and calculate new number indicating PNL with respect to maximum PNL
additionally, Every call we clear the history of asset that is not in the portfolio anymore,
please notify me if you found any bug
Enjoy
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After many days of trying to implment a stop loss for a list, this is GREAT!
Thanks for sharing! I'll see is this works.
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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