Use SPY instead of cash?

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Use SPY instead of cash?

Postby athrash » Tue Sep 22, 2015 9:08 am

I'm curious if there's a way to code a mutli-strategy system that uses SPY instead of cash. I'd like to test a system that doesn't produce a large quantity of trades, so if the maximum number of positions allowed is say 10, but there's currently on 3 buys that have been signaled, the system holds the remaining account balance in SPY (or another ETF) until more trades are produced by one of the strategies in the system.

Is there a way to code something to hold a specific asset class (i.e. an ETF) rather than cash?

Thanks.
athrash
 
Posts: 11
Joined: Mon Aug 03, 2015 12:53 pm

Re: Use SPY instead of cash?

Postby Overload » Tue Sep 22, 2015 12:17 pm

It's not possible to have cash be carried in a particular symbol, or to force buys of a particular symbol when the system is otherwise out of the market. But the one setting that is available is an interest rate for cash. This can be found on the Setups > Trade Settings menu, Trade Amounts tab, under the setting "Money Market Rate". Whatever rate you enter in this setting will be the annual interest rate for out-of-the-market cash. So if you entered 5, any cash would earn interest at a 5% annual rate; however, it is calculated and added to the cash balance on a daily basis. Be aware that interest from this setting is only included in the Fixed Trade Equity and Variable Trade Equity reports in the Detailed Analysis. It is not included in the Trades Report or in the Combination Results Listing.

Pete
Overload
 
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Re: Use SPY instead of cash?

Postby athrash » Tue Sep 22, 2015 1:09 pm

Thanks for the quick response Pete.
While I see your point about the interest earned on money market it doesn't do much good when trying to back test what a system would look shifting in and out of SPY or another ETF rather than cash so I don't think that solves the problem. But I appreciate you offering a possible solution nonetheless, thanks.
athrash
 
Posts: 11
Joined: Mon Aug 03, 2015 12:53 pm


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