Strategy style

Author: SQ team

January 22nd, 2019

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StrategyQuant X allows you to choose from 3 different strategy “styles”. By style we mean how the strategy is constructed.

Every trading strategy consists of set of IFTHEN rules, managing IF something happens THEN do some action. There are however some differences in how exactly these rules are constructed.

SQ3 (old) style

In previous version of SQ the generated strategies looked like this:

LONG ENTRY RULE:             IF Long Entry Conditions THEN Open Long order

SHORT ENTRY RULE:           IF Short Entry Conditions THEN Open Short order

LONG EXIT RULE:                 IF Long Exit Conditions THEN Close Long order

SHORT EXIT RULE:               IF Short Exit Conditions THEN Close Short order

It is a simple and logical format, but what if both Long and Short conditions are valid at the same time? Then you’d have to open both Long and Short order, or the Short order cancels the Long one.

Or what if both Long entry and Long exit conditions are valid at the same time? Then you wouldn’t know whether to entry of exit.

This leads to problems that are covered by the new SQ X architecture.

SQ X new style

In SQ X new architecture the first rule is a special Signal rule that checks all the trading conditions.The rest of the rules then check the produced trading signals and open or close trades.
he strategy looks like this:

 

SIGNAL RULE:                      

LongEntrySignal = Long Entry Conditions
ShortEntrySignal = Short Entry Conditions
LongExitSignal = Long Exit Conditions
ShortExitSignal = Short Exit Conditions

 

LONG ENTRY RULE:            

IF LongEntrySignal = true and ShortEntrySignal = false
and LongExitSignal = false
THEN Open Long order

SHORT ENTRY RULE:           IF ShortEntrySignal = true and LongEntrySignal = false
and ShortExitSignal = false
THEN Open Short order

LONG EXIT RULE:                 IF LongExitSignal = true and LongEntrySignal = false
THEN Close Long order

SHORT EXIT RULE:               IF ShortExitSignal = true and ShortEntrySignal = false
THEN Close Short order

 

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