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Multi-Strategy portfolio

I am trying to have multiple strategies executed in the same model. I want to do one strategy until I start losing money, and then Ill switch to the other strategy. Currently, there seems to only by 1 strategy possible with the variables that are given to us. Could I create my own strategy class in order to get around this issue and then link them both to the provided variables? Or am I looking at this issue the wrong way?

Any help is much appreciated.

1 response

Play the orchestra not the instruments, I like it.In fact I was exploring doing something similar to this for a while, and I came to the same conclusion that it would be rather difficult to implement. I'll give you a high level view of what I came up with.

  1. define some market regimes
  2. create a class for each strategy
  3. assign each class to a regime
  4. implement some sort of regime detecting logic
  5. adjust exposure accordingly

I had limited success with this (just used some neat algos shared on the community), and honestly haven't really put in the time to make a conclusive decision one way or another. I know that I'm a big fan of taking a strategy and making it into a class, that lends itself to scalability. It would be cool to see a sample of what you come up with.


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