Contents

Use OppositeBlocks configuration to control the negation

Author: Mark Fric

June 18th, 2020

Rating:
1 Star2 Stars3 Stars4 Stars5 Stars (No Ratings Yet)
Loading...

When StrategyQuant generates strategies, its default configuration is to generate symmetrical Long and Short rule.

For example:

Long: CCI(14) > 0
Short: CCI(14) < 0

 

Note that it uses opposite comparisons in each rule. This is what we call negation. StrategyQuant first creates Long condition CCI(14) > 0 and it negates it to produce Short condition.

Every block in StrategyQuant has its corresponding opposite block.

For example:

> negates to <
< negates to >
= negates to <>
<> negates to =

These opposite blocks are selected right in the block definition (Java snippet code) and they are not configurable using UI.

 

How to modify default negate behavior

You can override default negations by creating a file \user\settings\OppositeBlocks.csv in your StrategyQuant installation. This file doesn’t exist, there is a OppositeBlocks_example.csv file that shows list of the default negations.

File format is simple, it should contain Block;OppositeBlock separated by lines. The block codes used there are names of block Java snippets – you can see them in the CodeEditor.

An example two lines from the file:

Equals;NotEquals
NotEquals;Equals

This means that Equals (=) comparison will be negated to NotEquals (<>) and vice versa.

So the conditions generated could look like:

Long: CCI(14) = 0
Short: CCI(14) <> 0

 

You can rewrite the file like this:

Equals;Equals
NotEquals;NotEquals

 

This will tell SQ to negate Equals (=) comparison to Equals, and NotEquals to NotEquals and it will produce conditions like:

Long: CCI(14) = 0
Short: CCI(14) = 0

or

Long: CCI(14) <> 0
Short: CCI(14) <> 0

 

Note that you have to restart SQ when you change the file for changes to take effect.

< Previous: Merge / Split PortfolioNext: How to downgrade >

0 Comments
Inline Feedbacks
View all comments