Is there a way to map the following scenario using the Building Blocks?
Two strategies are to be traded.
However, the second strategy should only be traded when the first strategy does not provide enough signals to exhaust the Exposer. The second strategy may only trade if the first strategy no longer provides any signals. I have not yet thought of a way to accomplish this. Does anyone have an idea?
Two strategies are to be traded.
However, the second strategy should only be traded when the first strategy does not provide enough signals to exhaust the Exposer. The second strategy may only trade if the first strategy no longer provides any signals. I have not yet thought of a way to accomplish this. Does anyone have an idea?
Rename
1. the second strategy should only be traded when the first strategy does not provide enough signals to exhaust the Exposer.
2. The second strategy may only trade if the first strategy no longer provides any signals.
Is it 1 or 2? They're different.
What's "the Exposer"?
Probably the best you could do is to add both Strategies to make a MetaStrategy and create an indicator for Transaction Weight such that Strategy 1 always had higher values (more priority) than the Tranactions for Strategy 2. That would come pretty close.
For example:
S1: Transaction Weight: Lowest RSI (this negates the RSI values)
S2: Transaction Weight: (Lowest RSI + 100). Use MathIndOpValue to create this one.
2. The second strategy may only trade if the first strategy no longer provides any signals.
Is it 1 or 2? They're different.
What's "the Exposer"?
Probably the best you could do is to add both Strategies to make a MetaStrategy and create an indicator for Transaction Weight such that Strategy 1 always had higher values (more priority) than the Tranactions for Strategy 2. That would come pretty close.
For example:
S1: Transaction Weight: Lowest RSI (this negates the RSI values)
S2: Transaction Weight: (Lowest RSI + 100). Use MathIndOpValue to create this one.
Exposer was a typo, it should have been Exposure. Thank you for your suggestion, that should work. I will try it out. Many thanks for the help!
...or does it also work as shown below to?
What is the logic if I arrange the strategies as shown? Is the upper strategy processed first and only traded if there is enough money left for the lower one?
What is the logic if I arrange the strategies as shown? Is the upper strategy processed first and only traded if there is enough money left for the lower one?
QUOTE:
The second strategy may only trade if the first strategy no longer provides any signals.
FWIW, this seems quite a mechanical approach to me. In your opinion, does it have any advantage over including negatively correlated strategies in a MetaStrategy instead?
editing...
Just add a Transaction Weight condition to both Buy at Market signals. Then you need to create the Weight indicators like I already indicated to favor the trades in the first Strategy over the second.
When (and if) you trade it "live", you'd just sort the entry Signals by the Weight and choose the ones with the highest value until your buying power is used up.
QUOTE:Previously I indicated combining two separate strategies in a MetaStrategy. After seeing this "visual", I don't think it's necessary.
Is the upper strategy processed first and only traded if there is enough money left for the lower one?
Just add a Transaction Weight condition to both Buy at Market signals. Then you need to create the Weight indicators like I already indicated to favor the trades in the first Strategy over the second.
When (and if) you trade it "live", you'd just sort the entry Signals by the Weight and choose the ones with the highest value until your buying power is used up.
QUOTE:
FWIW, this seems quite a mechanical approach to me. In your opinion, does this have any benefit over including negatively correlated strategies in a MetaStrategy instead?
Yes, it looks mechanical at first glance. I just want to find out whether it is better to use a meta-strategy or to combine strategies in this way. It should result in higher exposure, especially when linking trading systems with low exposure.
QUOTE:
Previously I indicated combining two separate strategies in a MetaStrategy. After seeing this "visual", I don't think it's necessary.
Just add a Transaction Weight condition to both Buy at Market signals. Then you need to create the Weight indicators like I already indicated to favor the trades in the first Strategy over the second.
When (and if) you trade it "live", you'd just sort the entry Signals by the Weight and choose the ones with the highest value until your buying power is used up.
THX, I will test it.
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