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                                                   Different symbol list for Long/Short / custom portfolio categories

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Kiran
2016-02-29 03:18:21


I have custom 3 categories in my MM script - Stocks, Bonds, Short
1) How can i assign different symbol lists for each category, so it only picks up symbols from the assigned list when placing orders?
2) Also, not clear how the last parameter (null / Order type) implements rebalancing in the Portfolio.UpdateCategorySetting command below does - Portfolio.UpdateCategorySettings("long", 30, 3, Orders.OpenMarketOrder());
- Does it force-rebalance each of the categories to the target %?
- How often does it rebalance? Are the different positions in the category rebalanced proportional to the position size?
- If it's null and no auto-rebalancing is done, how do you prevent drift of the category size over time. Without rebalancing it's unclear what purpose does the category serve, as position sizing/rebalancing would need to be done manually in the MM code.

I read the article but couldn't find explanation to these questions - http://www.quantshare.com/sa-308-how-to-combine-long-short-and-custom-portfolio-strategies-within-a-trading-system

thanks
Kiran



QuantShare
2016-02-29 04:17:01

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1/ You must implement your own trading logic within the MM Script and have a different system/formula for each category

2/ If an order is specified then the pending orders will be placed on the same day. If "null" is specified then no orders is executed and the category adjustement is made when new orders are generated by your system. In other words, specifying an order forces the rebalance.



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