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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,

2017-07-23 07:56:52


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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