Can I combine single strategies on different BBs before I submit them ?

Alphathon
#1
#2

Short answer, no. You have to submit your single strategies before building a portfolio with them.


If you just want to combine your single strategies for testing purposes without submission you can try backtesting a list of algoEngine objects like below.


algoEngine(“AUTa”) %>%

 payout(emaCross,px = getBB(“AUTa”),short=30,long=100) %>%

 evaluate() -> stratAUT


algoEngine(“UTIa”) %>%

 payout(emaCross, px = getBB(“UTIa”),short=50,long=150) %>%

 evaluate() -> stratUTI


backtest(list(stratAUT,stratUTI))


We would still recommend submitting your strategies rather than using this approach as we will be doing volatility scaling on submitted strategies so the results you get from the above will be slightly different.

#3

Update :


We have updated the portfolio class to take in algoEngine objects as assets. Please try out the code snippet below


algoEngine(“FOOa”,type = “MM”) %>%

    payout(emaCross,px=getBB(“FOOa”), short = 20, long = 80) %>% evaluate() -> stratA

 algoEngine(“AUTa”,type = “MM”) %>%

   payout(emaCross,px=getBB(“AUTa”), short = 20, long = 80) %>% evaluate() -> stratB

 portfolio(list(stratA,stratB)) %>% payout(equalWeight) %>% evaluate() -> prt

 analyse(prt)


We are still recommending to submit your strategies first, however as it will be a good way for us to give you feedback on it.