hello,
is it possible for algorithm to get a feedback from live trading as to what its beta/sharpe ratio is -sot hat it can change the long/short mix accordingly?
thanks
-kamal
hello,
is it possible for algorithm to get a feedback from live trading as to what its beta/sharpe ratio is -sot hat it can change the long/short mix accordingly?
thanks
-kamal
@Kamal,
Good idea but you don't need feedback from live trading. Track your P&L, and therefore gain & DD within your own algo. Convert gain to annualized CAGR and then calculate MAR = CAGR/DD as a simplified proxy for Sharpe (or do a rolling Sharpe calculation if you want to), and then use this as the input for whatever adaptive or other purposes you want within your algo.
The contest tells me the P&L, beta, sharpe etc.. My algo here
https://www.quantopian.com/leaderboard/35/59f4a334d2332f0009e6e18d
will enter +ve beta on increasing the longs and -ve beta by increasing the shorts. So, to keep beta =~0, I need to constantly change the propertion of longs and shorts.
Right now, the proportion of longs and shorts is fixed and i want it to become reactive.
thanks
-kamal