This is an improvement over the DMA algo presented previously.
The major change is that it now buys equal valued shares, instead of equal number of shares of the different securities (using the code from Andrew Parker).
As you can see, performance is much better overall although like the previous version it didn't do that well for the first 4 years. Still not sure why. Any suggestions?
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Is there a way to combine the dual-moving averaging algo with the stat-arbo algo? Ie, for any given pair you have trending regimes and co-integrating (mean reversion) regimes
@J.J. Kaljuvee: That's a cool idea, I think many people here would be interested to see how this plays out so it'd be great if you wanted to give that a go. You could trade the spread and momentum at the same time or inform whether to trade the spread based on the momentum.
I would start by cloning Fawce's algorithm since its more complex and it is easier to add the DMA functionality there. I would also start with 2 securities and not a larger portfolio as I did here. Figuring out if these two algorithms should just act largely independent or interact in some way is probably the biggest question and you will have to experiment with that to find what works best.
Let me know if there are any problems or unanswered questions!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
