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The inspiration for this is from the “In and out strategy” developed by people much more intelligent than I on quantconnect.
It's probably too crazy to ask, perhaps worth a shot. Coding Multiple assets no easy task. Would it even be possible to code something like this?
agressive_indicator : SPY 200 MA / SPY 30 Day Current Draw Down > 1
passive_indicator: SPY 200 MA / SPY 30 Day Current Draw down <=1 and >= -1
defensive_indicator: SPY 200 MA / SPY 30 Day Current Draw Down <-1agressive portfolio: SPY=50%, QQQ=50%
passive portfolio: TLT = 40%, BIL = 20%, SPY 40%
defensive_portoflio: TLT = 30%, BIL = 70%30 minutes before daily close check if indicator changes then rebalance assets
Foren Power
Correction:
Non Compete
I dont see why not, but i might be missing something. is it the drawdown thats the blocker? this is an implementation of drawdown:
https://github.com/QuantConnect/Lean/blob/master/Algorithm.Framework/Risk/TrailingStopRiskManagementModel.py
Foren Power
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