Hi,

I recently started to use QC and want to learn about updates of universe selection and alpha in the big picture of the algorithm framework before starting to code/test a strategy.

Please find an simplified example of what I want to achieve with algo framework models:

- Day 1 -> Let's say my universe selection + alpha triggers to buy TSLA (with a specific event in time such as earnings for instance, a discrete time signal).

- Day 2 -> TSLA went up and is no longer selected/triggered in universe selection + alpha models (no more earnings event remains this day), but the stock is still up and I want to extract money from it with a trailing stop loss or another risk management model.

- Day 3 -> TSLA still up. My universe selection + alpha now triggers to buy DDOG. I want to: rebalance TSLA according to how much value is left to extract from it (based on alpha model 2 with indicators or risk model) and rebalance to add DDOG.

- Day 4 -> TSLA goes down under my 5% trailing stop-loss threshold and I sell it. DDOG still extracting money.

 

My questions:

- Do my universe selection + alpha models needs to keep selecting and triggering insights on day 2 for me to keep TSLA in portfolio (is TSLA still in portefolio on day 2 if earnings trigger ended) ?

- Otherwise what would be the best updates methods, approach or model (risk, 2nd alpha model, 2nd universe, feedback loop on portfolio, etc) to use for this kind of strategy ?

 

Thanks ! All the best

 

 

Author

Etienne RAINAUT

June 2020