How to define an alternate asset to buy when no positions are held?

How to define an alternate asset to buy when no positions are held?

Juan Parra
2014-02-24 22:43:56

Hi,

I'm trying to do the following when backtesting a strategy:

- When no positions are held, buy an alternate asset (something like if positions=0 then buy asset b..., something to hold instead of cash).

Thanks a lot if you can help me with this!

QuantShare
2014-02-25 11:31:43

Hi,

You can do that in the "OnEndPeriod" event of the money management script. Example:

double nbPositions = Portfolio.GetNumberOfPositions("long") + Portfolio.GetNumberOfPositions("short");
MMPosition pos = Portfolio.GetPosition("SPY");
if(nbPositions == 0)
{
if(pos == null)
{
Orders.AddLongPosition("SPY", 100, null);
}
}
else
{
if(pos != null)
{
pos.ClosePosition();
}
}

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