Gamestudio Links
Zorro Links
Newest Posts
Zorro Beta 2.61: PyTorch
by jcl. 06/10/24 14:42
New FXCM FIX Plugin
by flink. 06/04/24 07:30
AlpacaZorroPlugin v1.3.0 Released
by kzhao. 05/22/24 13:41
Free Live Data for Zorro with Paper Trading?
by AbrahamR. 05/18/24 13:28
AUM Magazine
Latest Screens
The Bible Game
A psychological thriller game
SHADOW (2014)
DEAD TASTE
Who's Online Now
2 registered members (AndrewAMD, bigsmack), 1,609 guests, and 6 spiders.
Key: Admin, Global Mod, Mod
Newest Members
AemStones, LucasJoshua, Baklazhan, Hanky27, firatv
19058 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
Seeking Advice: Trading Two Algorithms for SPX500 / US Treasury #488241
05/06/24 18:34
05/06/24 18:34
Joined: Aug 2016
Posts: 66
D
dr_panther Offline OP
Junior Member
dr_panther  Offline OP
Junior Member
D

Joined: Aug 2016
Posts: 66
I'm planning to trade two algorithms, one for SPX500 and the other for US Treasury 10-Year Bonds. Given their distinct risk profiles, such as varying Sharpe Ratios, I'm looking for guidance on how to approach this effectively. What strategies or methodologies should I consider to balance the risk and optimize performance across both instruments?

Additionally, I'm unsure about setting the asset variables, particularly Pip and PipCost, for futures. Any insights or best practices in this regard would be greatly appreciated. Thanks in advance!

Last edited by dr_panther; 05/07/24 17:28.
Re: Seeking Advice: Trading Two Algorithms for SPX500 and US Treasur [Re: dr_panther] #488243
05/06/24 20:33
05/06/24 20:33
Joined: Feb 2017
Posts: 1,731
Chicago
AndrewAMD Online
Serious User
AndrewAMD  Online
Serious User

Joined: Feb 2017
Posts: 1,731
Chicago
For the first question, I'd check out Robert Carver's book Systematic Trading, which goes into great detail on volatility / risk / reward management, maybe more detail than you'd expect from an average trading book.

Pip will be the smallest increment of the price you would see on the ticker feed. The configuration of PipCost depends on 1) your pip configuration and 2) whether you're using T8 (Contracts) or T6 (vanilla bars) for backtesting. The former makes use of the Multiplier value, and the latter is rather multiplied into PipCost.

Re: Seeking Advice: Trading Two Algorithms for SPX500 and US Treasur [Re: dr_panther] #488244
05/06/24 21:09
05/06/24 21:09
Joined: Aug 2016
Posts: 66
D
dr_panther Offline OP
Junior Member
dr_panther  Offline OP
Junior Member
D

Joined: Aug 2016
Posts: 66
Can you explain why the multiplier is negative for futures.

Re: Seeking Advice: Trading Two Algorithms for SPX500 and US Treasur [Re: dr_panther] #488245
05/07/24 00:56
05/07/24 00:56
Joined: Feb 2017
Posts: 1,731
Chicago
AndrewAMD Online
Serious User
AndrewAMD  Online
Serious User

Joined: Feb 2017
Posts: 1,731
Chicago
This way, the column in the asset list takes a different meaning when the value is positive.

Now, in the context of the script, the multiplier is actually positive. laugh


Moderated by  Petra 

Powered by UBB.threads™ PHP Forum Software 7.7.1