I am going to experiment with a hedging strategy this week as time allows. The idea is that the strategy will have visibility into all open positions from all other strategies. When a position is in the red, it will use a rules based method for fading the position until the position is closed out for a loss or until the position goes green. With this technique, my theory is that I will be able to use a much higher max draw down but higher net profit when generating strategy portfolios from FasterQuant and I will be able to dramatically reduce the draw down severity and increase the Sharpe ratio when adding the hedging strategy to the portfolio in AlgoTerminal. Technically, this should be rather easy to do. Will keep the thread posted.
No low hanging fruit with the hedging approach...going to shelve it for now. I am going to focus on improving on what I am currently doing as I have attracted some institutional interest which could lead to something.
Long 1 ES Contracts at 3006.25 for 1 hour bar strategy. Stop order at 2985.75 Limit order at 3067.50 Exit after 10 bars
Long 3 YM Contracts at 27288 for 15 minute bar strategy. Stop order at 27176 Limit order at 27456 Exit after 130 bars
All I can say is that your code is professional and you are a professional through and through. Best of luck. Hopefully your clients aren't stalking you on these threads lol
I appreciate that! Not worried if anyone is stalking me on here. In fact, if you do a search for "AlgoTerminal", this journal shows up on the second page of Google results.