How to build CTA strategy for multi assets

Hello, I want to create CTA strategy for futures markets, with MultiCharts.

Let’s say we have 20 instruments and I want to generate a strategy that has equilibrium parameters so that the strategy has some equilibrium performance on each symbol.

This is different from the goal of direct optimization of portfolio,because that are likely to be optimized on one or three symbols and poorly performed on others. The ranking goal are main data, portfolio, but not every market.

I’m not sure it would work. How to involve multiple symbols in the generation. This may require a parallel approach to computing, rather than just cross-checking the generated strategy across multiple markets.

So, how to do that. Please give me some guidance or advice

Hi,

I am afraid the cross-checking would be almost only option. But it could be also done using a custom project. You can setup as many steps as you have in your instruments list and let SQ optimize the strategy for each instrument. If the strategy passes all optimizations (for all markets) it will end up in a final databank. So the custom project process could be set as follows:

1. build a strategy on an instrument #1 and test using OOS data
2. optimize the strategy built using an instrument #2
3. retest on an instrument #2
4. if the strategy passes filters set optimize on an instrument #3
5. retest on an instrument #3
6. optimize on an instrument #4 and so on …

This will be quite a complex setup for the custom project but this way you get strategies that after parameter optimization perform well across all instruments set

Thank you, tomas262

It sounds doable, I’ll give it a try and see what comes of it