Only Specific Instrument in Simulator

Only Specific Instrument in Simulator

ymlee
2017-11-04 08:59:50

How could I short only a few specific instrument for hedging purposes?

Example:

Idx = GetSeries(".HSI", close) ;

Buy = cross(close,sma(100)) and idx > sma(idx,200) ;
Sell = cross(sma(100),close) ;

Short = idx < sma(idx, 200) and symbol = "1234.HK | 5678.HK | 7100.HK" ;
Cover = idx > sma(idx, 200) ;

QuantShare
2017-11-06 02:48:41

Best Answer

Instead of
Short = idx < sma(idx, 200) and symbol = "1234.HK | 5678.HK | 7100.HK" ;

You need to put something like
Short = idx < sma(idx, 200) and (stringequal(name(), "1234.HK") or stringequal(name(), "5678.HK") or stringequal(name(), "7100.HK"));

However, proper hedging should be done using a money management script.
Example:
Hedge a portfolio strategy

Hedge a portfolio strategy (by QuantShare, uploaded several months ago)

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