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julie detriech
2017-05-28 16:34:41
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Hello,
I am quite new to Quantshare and still don't fully understand the intricacies. I am trying to combine a long/short portfolio based on past returns with a
periodic rebalancing (monthly or quarterly) but I can't figure out first how to go about rebalancing?
- Should I sell/cover existing positions in the strategy (in which case how do I sell/cover ALL existing positions and replace them with new ones?)? Here's my strategy code:
topperc=Comp(Roc(close,30),"Percentile")>=90;
botperc=Comp(Roc(close,30),"Percentile")<=10;
Buy=topperc;
Short=botperc;
*I am not sure how to include the rebalancing here?
- Or should it be included in the money management part? Here is the money management script I am working with:
if( Divers.CurrentDate.Day <= 7 && Divers.CurrentDate.DayOfWeek == DayOfWeek.Monday)
{
Functions.AddMetric("Rebalanced", 1);
// Rebalance Monthly
double equity = Portfolio.GetTotalEquity("long") + Portfolio.GetTotalEquity("short");
double nb = Portfolio.GetAllowedNumberOfPositions("long") + Portfolio.GetAllowedNumberOfPositions("short");
double expectedSize = equity / nb;
Divers.Output("Expected Size: " + expectedSize);
MMPosition[] positions = Portfolio.GetOpenPositions();
for(int i=0;i < positions.Length;i++)
{
MMPosition pos = positions[i];
double sizeDiff = pos.PositionEquity - expectedSize;
int diff = (int)(sizeDiff / pos.LastPrice);
if(diff == 0)
{
// Nothing to do
}
else
{
bool enterShort = (diff > 0) ? true : false;
enterShort = (pos.IsLong) ? enterShort : !enterShort; // Revert enter if the position is short
diff = Math.Abs(diff); // Set positive number of shares
if(enterShort)
{
Divers.Output(pos.Symbol + " (Short): " + diff + " Share(s)");
Functions.AddShortPosition(pos.Symbol, diff, Orders.OpenMarketOrder());
}
else
{
Divers.Output(pos.Symbol + " (Long): " + diff + " Share(s)");
Functions.AddLongPosition(pos.Symbol, diff, Orders.OpenMarketOrder());
}
}
}
}
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