public double GetPortfolioLeverage(List<PortfolioPositionSpec> p_suggestedPortfItems, IPortfolioParam p_param)
{
PortfolioParamUberVXX param = (PortfolioParamUberVXX)p_param;
// the strategy knows that p_suggestedPortfItems only has 1 row, either VXX (for long VXX) or SVXY (for short VXX)
if (p_suggestedPortfItems[0].Ticker == "VXX")
return param.PlayingInstrumentVixLongLeverage;
else
return param.PlayingInstrumentVixShortLeverage;
}
public double GetPortfolioLeverage(List<PortfolioPositionSpec> p_suggestedPortfItems, IPortfolioParam p_param)
{
return 1.0; // TWM and UWM are already leveraged, so don't increase leverage more
}
public double GetPortfolioLeverage(List<PortfolioPositionSpec> p_suggestedPortfItems, IPortfolioParam p_param)
{
return 1.0;
}