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                                                   Money Market Returns

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Amritendu Maji
2017-07-20 19:18:08


When the system is not invested in any equity, the money sitting in the brokerage earns Money Market Rates. How can we include money market rates in our system?

This may sound trivial given the low MM rates nowadays. However, during back testing over long periods of time, there were periods when the MM rates were in the range of 15% PA and varied daily. How can we incorporate MM rates in our back tests?

Thank you,
Maji



QuantShare
2017-07-23 07:56:52

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Best Answer
Please check this Fixed Interest Cash. This one uses a fixed interest rate. You can modify the money management script to incorporate an asset to use as the money market rate.




Fixed Interest Cash (by QuantShare, uploaded several months ago)
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Type in the trading objects you want to include: - Add Objects
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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.