- 07/02/2020 at 5:37 pm #79308David SParticipant
I have constructed a list of tickers in QT following the instructions in https://logical-invest.com/quanttrader-application/backtesting-software-tutorial/
Selecting the top N highest ranked tickers works as expected and desribed in the tutorial. As a further step, how can I set up a short portfolio though? I’d like to short the M weakest tickers in a list.
I can select “short” but it appears to be shorting the strongest tickers which is a bit counter-intuitive.07/03/2020 at 6:04 am #79314Frank1 GrossmannKeymaster
You can use the parameters “Mean reversion weight” and “Mean reversion period %” to invert the performance of the stocks. Set “Mean reversion period %” to 100% so that it uses the full lookback period and now you put the “Mean reversion weight” to -200% which means that it substracts 2x the performance from the performance.
This way +2% will be +2% – 4% = -2% and -2% + 4% = +2%. This way the worst stock will be on top and you can do a normal ranking and buy or short these bad stocks. I am not sure however that it works well as these stocks could do big upward jumps because of mean reversion.
Regards Frank07/04/2020 at 5:58 am #79330David SParticipant
Thank you, Frank, that works as you described.08/08/2021 at 2:57 pm #82228math_champParticipant
Hi Frank, I wanted to check, does the “Mean reversion weight” apply to the returns only, or is it taken into consideration as well when calculating the volatility?08/11/2021 at 7:40 am #82230Frank1 GrossmannKeymaster
It only applies to the returns. Volatility stays the same. To inverse sort order insert -200 Mean reversion weight (100-200=-100) and 100% Mean reversion period
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