I am wondering if there is ax way to use the StandardDeviationExecutionModel without requiring the use of other modules scubas Alpha, Universe, Portfolio etc. I would greatly appreciate some sample code.
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I am wondering if there is ax way to use the StandardDeviationExecutionModel without requiring the use of other modules scubas Alpha, Universe, Portfolio etc. I would greatly appreciate some sample code.
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Varad Kabade
Hi Manoj Agarwala,
We need to use at least a Portfolio Construction Model, and the algorithm must emit insights so that the PCM creates targets. In order to emit insights, we can use self.EmitInsights instead of a AlphaModel. Alternatively, we can skip the algorithm framework and implement the standard deviation execution strategy in the classic algorithm.
Best,
Varad kabade
Manoj Agarwala
Varad,
Wondering if you have any sample code that you can share demonstrating "we can skip the algorithm framework and implement the standard deviation execution strategy in the classic algorithm"?
Varad Kabade
Hi Manoj Agarwala,
In the attached algorithm, we have implemented StandardDeviationExecutionModel logic in the classic framework. Here we have a constant universe, and the unordered quantity is always one.
Best,
Varad Kabade
Manoj Agarwala
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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