Trailing Stop, How to refill stop orders?

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Trailing Stop, How to refill stop orders?

posted Feb 16, 2017

Tools and Tips Value Risk Management Pipeline

Hi Quants,

Got my algorithm working, but I want to add more. I am looking at Benjamin Graham Fundamentals, and trying to find value in the mkt. I buy on the 3rd day of the month 10 stocks.

I have a function trail_stop, and this contains my trailing stop for the stocks. The stop works well, but when I lose too many orders I lose my leverage, since I only buy at the start of the month. This gives too much time for no return.

My goal would, obviously, be to refill those orders with either other stocks in my pipeline, or some kind of hedge system. Right now, I am shorting the VXX on a moving average.

If the leverage is calculated everyday in the function count_positions, then why can I not
hedge=1-(current_leverage)
And find the hedge that makes my algorithm 1.0?

1 response

Hello Quantdog,
Every time a position is added or liquidated your hedge is going to change. You may be better off trying to stay within an acceptable range. You could also add another schedule_function that could calculate your hedge before it is needed or something to that effect.
Hope that helps.

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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.