fastquant
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Rework on combining multiple strategies.
Description: The combination could be as
- Diversified Strategy: works for diversifying strategies
- Combine signals under 1 strategy
Detailed example: Assume that different signals for Strategy 1 and Strategy 2 occurs on the following timestamps
Timestamp | Strategy 1 | Strategy 2 | Diversified Strategy | Combined signal OR | Combined signal AND |
---|---|---|---|---|---|
1 | BUY | BUY1 | BUY | ||
2 | |||||
3 | BUY | BUY2 | |||
4 | SELL | SELL1 | SELL | ||
5 | SELL | SELL2 | |||
6 | BUY | BUY | BUY 1&2 | BUY | BUY |
7 | |||||
8 | SELL | SELL | SELL 1&2 | SELL | SELL |
9 |
For Diversified Strategy
:
- It works as if the two strategies are implemented at the same time.
- Note that it allows consecutive Buy Signals at timestamp 1 and 3 (from Strat 1 and Strat 2 respectively)
- It might require additional parameter such as
position_size
to allow consecutive buy signals and sell signals - This assumes that there are 2 different strategies that triggers the 2 trades
For Combined Signal OR
- The buy or sell signal is generated if ANY of the signals of the strategies are sent
- Unlike the
Diversified Strategy
it would not allow consecutive buy and sell signals
For Combined Signal AND
- The buy or sell signal is generated if ALL of the signals of the strategies are sent