Is there a way to create a Metastrategy that rebalances to always use, say, 100% Equity (to keep this example simple)? Let's assume, $100k portfolio size.
(For a longer term time horizon trading strategies with hold times of minimum 2 weeks , up to 1 year)
For example purposes, let's consider 2 strategies:
* Strategy 1 only trades SPY, and Strategy 2 only trades QQQ.
* If Strategy 1 has a trade open but no trades from Strategy 2, then I want $100k in SPY.
* If Strategy 2 has a trade open but no trades from Strategy 1, then I want $100k in QQQ.
*If BOTH Strategy 1 and Strategy 2 have trades, then I want $50k in SPY, and $50k in QQQ.
There is no real "urgency" to rebalance to this split, so I'd be fine to set some Rebalancing frequency to Weekly, or if more granular is easier, just have the rebalance done on the next trading day.
I've played around with various setting for how to allocate based on % of Equity at both the individual strategy level and at the MetaStrategy level but I can't seem to figure out the right combination of how to set the configuration in the MetaStrategy UI. (Ideally I'd like to perform something like this across perhaps 5 different strategies and various MetaStrategy % of Equity values)
(For a longer term time horizon trading strategies with hold times of minimum 2 weeks , up to 1 year)
For example purposes, let's consider 2 strategies:
* Strategy 1 only trades SPY, and Strategy 2 only trades QQQ.
* If Strategy 1 has a trade open but no trades from Strategy 2, then I want $100k in SPY.
* If Strategy 2 has a trade open but no trades from Strategy 1, then I want $100k in QQQ.
*If BOTH Strategy 1 and Strategy 2 have trades, then I want $50k in SPY, and $50k in QQQ.
There is no real "urgency" to rebalance to this split, so I'd be fine to set some Rebalancing frequency to Weekly, or if more granular is easier, just have the rebalance done on the next trading day.
I've played around with various setting for how to allocate based on % of Equity at both the individual strategy level and at the MetaStrategy level but I can't seem to figure out the right combination of how to set the configuration in the MetaStrategy UI. (Ideally I'd like to perform something like this across perhaps 5 different strategies and various MetaStrategy % of Equity values)
Rename
MetaStrategies rebalance according to the allocations you set. You can't move some of the allocation between strategies.
Unless someone sees it differently, what you described is a single strategy. You won't be able to do it with blocks, but you can in a C# strategy by combining all the rules and using the new Rebalance() function.
Unless someone sees it differently, what you described is a single strategy. You won't be able to do it with blocks, but you can in a C# strategy by combining all the rules and using the new Rebalance() function.
Agree with Cone, if it's simply trading two symbols I would implement it in a single C# strategy possibly using Rebalance.
That works for me. I still haven't dived into the C# since it's been a while for me (after having used python for the past decade), but I will once I subscribe after the demo period.
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