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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
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dr_panther Offline OP
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dr_panther  Offline OP
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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
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AndrewAMD Online
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AndrewAMD  Online
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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
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dr_panther Offline OP
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dr_panther  Offline OP
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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
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AndrewAMD Online
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AndrewAMD  Online
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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


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