Home › Forums › Logical Invest Forum › Modified Hedge 2x Sub Strategy to account for rising rates
- This topic has 0 replies, 1 voice, and was last updated 1 year, 2 months ago by Howard.
- 04/05/2022 at 9:54 am #83288HowardParticipant
The current Hedge 2x strategy finds the optimal composition between UBT and UGL. This works when equity and (us treasury, gold) exhibit negative correlation, but in times like these, equity and us treasury could rise and fall together and have positive correlation. I have tried to modify the Hedge 2x strategy so that it picks either (UBT or TBT) and UGL. QT config file below, result looks pretty good. Do you think it makes sense? Anything I miss?
Hedge 2x v2.1
#Hedge 2x v2=#Hedge 2x v2,2,1,1,0.00
UBT=Treasury 20y 2x,2,1,1,0.00,,0,0
StockSet72=Hedge 2x v2.1,1,3,StockSetStrategy72,2022-04-05,2022-04-05,#Hedge 2x [email protected],[email protected],[email protected],[email protected]
StockSetStrategy72=2,2,used only a sub strategy,0111,10,,1
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