17. Indices and multiple security strategies - 1.


17. Indices and multiple security strategies - 1.
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2/20/2021


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The lesson covers:
  • Considered working with stock indices
  • Considered working with futures on the example of a strategy with conditions:
    If the index calculated by the SBER @ TQBR / SRM9 @ FORTS formula is less than the average value for 10 periods, then Sberbank shares are sold.
    If the index calculated by the SBER @ TQBR / SRM9 @ FORTS formula is greater than the average value for 10 periods, then we buy Sberbank shares.

  • The function of constructing a continuous futures is considered
  • A strategy with a continuous futures is built with the condition:
    If the current value of the SBER @ TQBR / SBER_СF @ FORTS index is 0.005 units above the average, sell the instrument Sberbank Shares and buy the instrument of Sberbank shares.
    If the current value of the SBER @ TQBR / SBER_СF @ FORTS index is 0.005 units lower than the average, buy the Sberbank Shares instrument and sell the Sberbank shares instrument.

  • Based on the strategy, an example of building a scheme with cancellation of an order is considered


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