Hey, I could not find an implementation for long and short Trailing stop loss compatible with QC Alpha so I've created one
I took the SL and changed it a little bit. for every asset, we keep best historical PNL and calculate new number indicating PNL with respect to maximum PNL
additionally, Every call we clear the history of asset that is not in the portfolio anymore,
please notify me if you found any bugĀ
Enjoy
OkiTrader
After many days of trying to implment a stop loss for a list, this is GREAT!
Thanks for sharing! I'll see is this works.
Chibuike Azubuike
Ofir Shmulevich
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