Hello,
I have n algo, I like the way it controls leverage and the universe, I want to use it as the base for the future. I have a couple other algos that trade the gap, can you put this code into the first one? It would be for swing trading. Stop (first 15 mins) and trailing stop at 8%.I would like to add a bunch of filters and optimize them in zipline (if that is how you do optimization). The filters would include (plus toggles to turn them on or off):
1-moving average cross-over (go long on upgaps if the trend is flat or going up, go short on downgaps if the trend is flat or going down)
2-correlate trading with the vix as in the base algo
3-correlate trading with the RSI of the vix (say 30 and higher for shorts, 70 and higher for the longs) window to be optimized
4-Assess first 15 minutes of stock performance: RSI (or something else for price direction?) and relative volume, compared to the last 6 months say. Optimize cutoffs for trading.
Optimization strategy to avoid overfitting (tell me if this makes any sense):
-Optimize one filter at a time
-Optimize for one year, then test for the next year.
I dont know the cost for this work, give me the right price.
Contact me and I will send you the algos. Thanks for your help.
Paul