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trendmanagement / Tmqr-framework-2

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Relative strength TASK #75

Open nikolas-joyce opened 6 years ago

nikolas-joyce commented 6 years ago

Alex i have a task for you on the topic of relative strength of the alphas within a campaign.

I need this by Tuesday 31, October 2017, 10:00 am PST.

I want to be able to: to use the concept of relative strength of a set of alphas to produce a portfolio of "select" alphas that meet a minimum relative strength compared to a stated benchmark.

  1. backtest the concept on a basket of alphas
  2. define the benchmark: long contfuts, short contfuts or absolute return.

So that i can :
Have a select list of alphas that show the most strength so i will not need to manually retire some alphas.