> How does your portfolio eq curve look if you 'pair trade' two NC > stocks compared with two correlated stocks?
This would be akin to a synthetic option strategy??? brian_z --- In [email protected], "brian_z111" <[EMAIL PROTECTED]> wrote: > > Ozzyapeman > > > > I know that hedge betting is generally a fool's bet. > > Two fools are always better than one! > > >But there may be > > some rare instances when I want both a Long position and a Short > > position open at the same time (still experimenting with that > concept). > > > Why not? > > Oil and the market can be non-correlated... therefore oil stocks and > the market can be non-correlated? > > An individual stock that stinks can be heading south when the market > is heading north. > > How does your portfolio eq curve look if you 'pair trade' two NC > stocks compared with two correlated stocks? > > brian_z > > > --- In [email protected], "ozzyapeman" <zoopfree@> wrote: > > > > I know that hedge betting is generally a fool's bet. But there may > be > > some rare instances when I want both a Long position and a Short > > position open at the same time (still experimenting with that > concept). > > > > Anyway, I can't get the backtester to have two such trades open > > simultaneously and hope someone can be of help. According to my > > understanding the below code placed at the begining of the formula > > (especially the bolded lines) are correct for hedging. And in the > > backtester General Settings I should set Positions to "Long and > Short", > > and uncheck the box for "Reverse entry signal forces exit". I have > done > > that, but still the backtester does not allow a Long or Short to be > open > > when the reverse is already open. > > > > Any help much appreciated. > > > > SetBarsRequired(10000, 10000); > > SetFormulaName("1-0 Initial Attempt"); > > SetOption("CommissionAmount", 4.00); > > SetOption("CommissionMode", 2); > > SetOption("InitialEquity", 100000); > > SetOption("MaxOpenPositions", 2); > > SetOption("PriceBoundChecking", 1); > > SetOption("UsePrevBarEquityForPosSizing", 1); > > SetTradeDelays( 1, 1, 1, 1 ); > > SetPositionSize(1,spsShares); > > SetOption( "ReverseSignalForcesExit", 0 ); > > >
