Several weeks ago, when I test my system on a basket of stocks,I met a problem which puzzles me till now:
The 2nd Pic is the result of that system performed on 100 stocks out of a whole market,slippage and commission are taken into account,100 shares are hold in each trade.It's not an acceptable one,but when I changed the rules of money management into 30% of account cash for each trade,the final result is completely different(in the 1st Pic,all the other trading rules are of the same.)
The direct reason is,for the latter rules,many of the trades are wiped out because of the lefte cash:after several trades,the left cash is not enough for the coming position,so the chances of trades are ignored,till a positon is released.
And this situation is met frequently for basket trading,which performence result should I believe?
In the case of actively timing the stocks,should I reduce the number of the stocks in the basket,or do something others?
Thanks in advance.
Are the results of backtesting reasonable?
Are the results of backtesting reasonable?
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When a system bases on a basket of stocks,commodities,or currencies,it possibily meets the problem of the limitation of account cash or other fixed position rules(for example,max 10% account capital for risk,or max 10 position,ect.).They therotically wipe part of the trades,and maybe,the characteristics of the system are changed.
Any suggestion for it,please?
Any suggestion for it,please?
The core of the problem is,some logical algorithms prevent part of trades to be perform,are the the characteristics of the distribution of the trades changed?if not,how much of the part will result the change.In the case of trend trading,maybe some special algorithms wipe the profitable trades,others not,the results of these two kind are much different.
In Trading Blox Builder you would write a Portfolio Manager script that ranked all stocks in the portfolio, each day, according to some "desirability" criterion of your own choosing. If your trading system follows trends then perhaps you want to rank stocks according to "how strongly have they already moved?". You could do that with the built in function Linear Regression Slope (which the early version of TBB doesn't yet have).
Now your Entry Signal Generator block will generate orders to go long and/or go short according to your system rules (breakout etc.).
Next the Money Manager block will only execute some portion of your orders according to the rules you've programmed. For example if you've told the system to invest 10% of your equity on each trade and not to trade stocks on margin, then you can only have about ten positions at any one time. On days when more than ten orders are generated, not all of them will be executed. Which orders do get executed? The stocks with the strongest ranking from the Portfolio Manager.
Wealth-Lab contains a similar concept. It is called SetPositionPriority and you can read about it in the Wealth Script Function Reference, Part XI (Position Management Functions), section 40.
Maybe you want to move your "how do I use Wealth Lab" requests for help, over to the Wealth Lab discussion forums. There are thousands of WL experts over there, with enormous first hand knowledge about using WL in thousands of different ways.
Now your Entry Signal Generator block will generate orders to go long and/or go short according to your system rules (breakout etc.).
Next the Money Manager block will only execute some portion of your orders according to the rules you've programmed. For example if you've told the system to invest 10% of your equity on each trade and not to trade stocks on margin, then you can only have about ten positions at any one time. On days when more than ten orders are generated, not all of them will be executed. Which orders do get executed? The stocks with the strongest ranking from the Portfolio Manager.
Wealth-Lab contains a similar concept. It is called SetPositionPriority and you can read about it in the Wealth Script Function Reference, Part XI (Position Management Functions), section 40.
Maybe you want to move your "how do I use Wealth Lab" requests for help, over to the Wealth Lab discussion forums. There are thousands of WL experts over there, with enormous first hand knowledge about using WL in thousands of different ways.
sluggo,you mean I should take the Priorities of the positions into account,so as to actively reduce the positons before the limitation of cash is hit?
But the problem is still there that different algorithms made the different parts of the positions are picked out,maybe the characteristics of these different parts are different from the whole's,and maybe even different from each other,for example,in a whole(that's,when all the trades are performed),there are 1204 trades,win/lose(profit factor) = 1.12,algorithm I picks 342 trades out,profit factor = 0.91,and algorithm II takes only 213 trades out of the whole,profit factor = 1.34,that's,the latter 129 trades are lose as a whole.
Thus the position rules change the expection,but as Tharp said in his "trading your way to financial freedom",position sizing rules shouldn't change the exception.What's wrong?
But the problem is still there that different algorithms made the different parts of the positions are picked out,maybe the characteristics of these different parts are different from the whole's,and maybe even different from each other,for example,in a whole(that's,when all the trades are performed),there are 1204 trades,win/lose(profit factor) = 1.12,algorithm I picks 342 trades out,profit factor = 0.91,and algorithm II takes only 213 trades out of the whole,profit factor = 1.34,that's,the latter 129 trades are lose as a whole.
Thus the position rules change the expection,but as Tharp said in his "trading your way to financial freedom",position sizing rules shouldn't change the exception.What's wrong?