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allan nathan
2012-10-01 19:44:50
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Hi,
Is it possible to create a ratio of two assets and backtest the ratio according to ones chosen rules?
I know we can create a ratio.
Thanks,
Allan
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QuantShare
2012-10-02 10:38:14
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What do you mean by "backtest the ratio"? Buy one stock and sell the other one or maybe use the ratio as a trading rule?
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allan nathan
2012-10-02 12:58:46
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buy one stock,sell the other
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allan nathan
2012-10-02 14:50:22
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As an example,Ild like to create a simulation that buys AApl/spy when the RSI(14)<35
I do not want to buy soleyAAPL based off that ratio..
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QuantShare
2012-10-02 17:23:47
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If I understand you correctly:
You want to buy AAPL and SPY when the RSI(14) of AAPL is higher than 35.
Is this right?
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allan nathan
2012-10-02 19:04:39
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Yes,but want to buy AAPL and sell SPY on AAPL weakness relative to the SPY.I was thinking that when the RSI of AAPL/SPY<35,that would be indicative of what I want.
I did not put alot of thought into the strategy,I was really asking to see if the capability is there to 'trade a ratio'. I typically trade a basket of stocks I find fundamentally appealing and trade index derivatives against it taking on correlation risk.
My next step would be to create an equal weighted basket of my stocks,and create a ratio of the portfolio vs the SPY..
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QuantShare
2012-10-03 10:57:21
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You can use the following buy rule:
a = close / GetSeries("SPY", close); // Ratio
buy = rsi(a, 14) < 35;
Use the following MM script to hedge your portfolio:
Hedge a portfolio strategy
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(by QuantShare,
uploaded several months ago)
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