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Hi All,
I am still new to the platform, I noticed in a lot of the alphas that bonds are brought when there are not active insights/no holdings. Do anyone of an example of these type of algo which purchase bonds when there no are holdings, and sell the bonds when an insight is emitted?
Thanks,
Keith
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Louis Szeto
Hi Keith
You can just make an insight for bond also. Let say you save your new insight in a list call “insight”:
Cheers
Louis
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.
Keith Forward
Hi Louis,
Thank you for the help. Is this a good strategy of buying bonds when the algorithm is not invested? I am fairly new to this. I would have thought that this approach would have increased the PSR, however it actually descrease it. I would have thought it would be best to invest in bonds when the algorithm is not producing insights?
Thanks,
Keith
Louis Szeto
Hi Keith
Long term bonds are more volatile than shorter term, and more susceptible to stock-bond parity relationship since risk premium in various stage of economic cycle, usually used as hedge. If you prefer fixed income, you could consider shorter term bond ETFs like SHY, SHV.
Cheers
Louis
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.
Keith Forward
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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