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Rebalance & Combine & backtest two trading strategies

by QuantShare, 3146 days ago
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Using the simulator you can easily create and combine two different trading strategies, one long strategy and one short strategy.

However, if you want to create two long trading strategies, you will have to create your own money management script or use this object.

This money management script allows you to create two different long strategies and generate backtesting results of a trading system that combine these strategies.
You can specify buy and sell rules for each strategy and also a rebalance period.
This period is used to rebalance the equity associated with each strategy at a constant interval.

At the beginning, the simulator gives 50% of the initial equity and 50% of the number of positions to each strategy.
After a number of days equal to the specified value in the rebalance field, the backtester rebalance the portfolio and give each strategy 50% of the current equity.

Example:
After 30 days, strategy1 produced a 20% return and has an equity of 12,000$, and strategy2 had a -10% return and has an equity of 9,000$.
The current total equity is equal to 21,000$. After the rebalance day, each strategy's equity will be equal to 10,500$. Strategy1 will have a negative cash balance while strategy2 will have a positive cash balance and therefore can buy larger positions.
Note that Strategy1 positions will not be scaled-out and strategy2 positions will not be scaled-in. In order to scale positions after the rebalance period, you can add a trading order in the "UpdateCategorySettings" function.

If you don't want to rebalance your portfolio, simply set a very high value.




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Type: Advanced Money Management

Object ID: 529


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.