示例#1
0
 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;
 }
示例#2
0
 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
 }
示例#3
0
 public double GetPortfolioLeverage(List<PortfolioPositionSpec> p_suggestedPortfItems, IPortfolioParam p_param)
 {
     return 1.0;
 }