I developed two strategies. They come out nicely in back-testing and perform good live. Now I am wondering if it would be smart to run them together on the same account and the same instrument. I can do that live and in Market Replay. But would it be possible to combine two strategies in one for optimization purposes?
For example:
Strategy 1 is a SMA cross. Strategy 2 is an EMA cross.
If one strategy is short and the other long, the market position should be flat.
If both strategies point in the same direction, the market position should be long or short.
I tried to code it, but because of "enter long" or "enter short" orders, the position flips from long to short and is not going flat for some time. A "buy" or "sell" command would fix this problem.
For example:
Strategy 1 is a SMA cross. Strategy 2 is an EMA cross.
If one strategy is short and the other long, the market position should be flat.
If both strategies point in the same direction, the market position should be long or short.
I tried to code it, but because of "enter long" or "enter short" orders, the position flips from long to short and is not going flat for some time. A "buy" or "sell" command would fix this problem.
Comment