I am going to experiment with a hedging strategy this week as time allows. The idea is that the strategy will have visibility into all open positions from all other strategies. When a position is in the red, it will use a rules based method for fading the position until the position is closed out for a loss or until the position goes green. With this technique, my theory is that I will be able to use a much higher max draw down but higher net profit when generating strategy portfolios from FasterQuant and I will be able to dramatically reduce the draw down severity and increase the Sharpe ratio when adding the hedging strategy to the portfolio in AlgoTerminal. Technically, this should be rather easy to do. Will keep the thread posted.
Adventures in Automation
- Thread starter fan27
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Congrats! I am really glad that a seriuos project like yours attracted institutional interest.
Thanks!
Well...nothing landed yet, but thanks for the encouragement!
All I can say is that your code is professional and you are a professional through and through. Best of luck. Hopefully your clients aren't stalking you on these threads lol
I appreciate that! Not worried if anyone is stalking me on here. In fact, if you do a search for "AlgoTerminal", this journal shows up on the second page of Google results.