Is there a way to create a custom meta strategy allocation method?
For example I would like to create a 10-day rolling mean of the profit of 20 different strategies, then at the start of every day allocate 100% of available capital to the strategy with highest rolling mean value.
For example I would like to create a 10-day rolling mean of the profit of 20 different strategies, then at the start of every day allocate 100% of available capital to the strategy with highest rolling mean value.
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Custom rebalancing is not supported.
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