Hi,
As discussed in today’s webinar, I usually develop my strategies with 'Retain NSF Positions' unchecked in the Strategy Settings because it gives me more control over the signals I trade and makes live trading simpler.
But there's a drawback. If I want to use a MetaStrategy to optimize combined position sizing, I basically can't. The MetaStrategy forces 'Retain NSF Positions' to stay enabled, which can significantly impact the performance of my strategies.
So, I'd like to make a feature request that allows unchecking 'Retain NSF Positions' in a MetaStrategy.
Thanks!
As discussed in today’s webinar, I usually develop my strategies with 'Retain NSF Positions' unchecked in the Strategy Settings because it gives me more control over the signals I trade and makes live trading simpler.
But there's a drawback. If I want to use a MetaStrategy to optimize combined position sizing, I basically can't. The MetaStrategy forces 'Retain NSF Positions' to stay enabled, which can significantly impact the performance of my strategies.
So, I'd like to make a feature request that allows unchecking 'Retain NSF Positions' in a MetaStrategy.
Thanks!
Rename
I remember now, the reason we retain them is because in the context of a MetaStrategy, you could have much more capital at the time the signal is processed. In that case, the MS would take the position when the component might have marked it as NSF.
If the component strategies don't retain the NSFs, then those positions would be lost.
I guess we can explain this in the help when we implement this request, and I'm thinking we could have a new check box on the MS component that defaults to unchecked. You could check that box if you REALLY did want to discard NSFs.
If the component strategies don't retain the NSFs, then those positions would be lost.
I guess we can explain this in the help when we implement this request, and I'm thinking we could have a new check box on the MS component that defaults to unchecked. You could check that box if you REALLY did want to discard NSFs.
Thanks for looking into it. Let’s see if this request gets any votes.
By the way, this feature request is also about the MetaStrategy and is quite far along:
https://www.wealth-lab.com/Discussion/Optimize-position-sizing-in-MetaStrategy-10819
If that one makes it to development, maybe the requests can be combined. 😉
By the way, this feature request is also about the MetaStrategy and is quite far along:
https://www.wealth-lab.com/Discussion/Optimize-position-sizing-in-MetaStrategy-10819
If that one makes it to development, maybe the requests can be combined. 😉
If I understand the system right, the main issue is not the NSF trade itself, but that **Retained NSF positions change the strategy's future signal stream**.
A trade that was never executed is treated as if it existed: it remains virtually open until its exit, causing the symbol to be considered "occupied." As a result, all subsequent entry signals for that symbol are suppressed during the virtual holding period.
This means that the MetaStrategy is no longer evaluating the original strategy's signals—it is evaluating a modified version of the strategy, where non-executed trades influence future trading decisions. From a realistic portfolio perspective, a trade that never existed should not block future opportunities.
A trade that was never executed is treated as if it existed: it remains virtually open until its exit, causing the symbol to be considered "occupied." As a result, all subsequent entry signals for that symbol are suppressed during the virtual holding period.
This means that the MetaStrategy is no longer evaluating the original strategy's signals—it is evaluating a modified version of the strategy, where non-executed trades influence future trading decisions. From a realistic portfolio perspective, a trade that never existed should not block future opportunities.
Agree with Friedel4711's feedback, hoping this feature can be developed.
Does everyone really understand the trade-off here?
Scenario 1 (current): Retain NSF positions
A MetaStrategy backtest signals for positions that:
1. fills in your live account, AND,
2. is rejected by the MetaStrategy backtest because of insufficient backtest equity.
- Even though the MetaStrategy backtest rejected the position, you will continue to receive signals to exit the position that filled in your account.
Scenario 2 (reqested): Do not Retain NSF positions
1 and 2 are the same, but in this scenario...
- the Position filled in your account will be orphaned.
- you will likely write to support that there's a bug in the MetaStrategy that stranded your account with a position that should have been sold weeks ago.
If this is really an issue, I suggest that you set up and trade your Strategies in the Strategy Monitor in WealthLab 9. Use the new Trading Preference > Strategies can exit only Linked Positions. When a strategy positions fills in WealthLab 9, it will link the strategy with number of shares filled in the account so that you can trade the same symbol with multiple strategies using the same account.
Also, you can "link" existing live positions (discretionary or traded before using WL9) to Strategies in the Accounts tool.
Scenario 1 (current): Retain NSF positions
A MetaStrategy backtest signals for positions that:
1. fills in your live account, AND,
2. is rejected by the MetaStrategy backtest because of insufficient backtest equity.
- Even though the MetaStrategy backtest rejected the position, you will continue to receive signals to exit the position that filled in your account.
Scenario 2 (reqested): Do not Retain NSF positions
1 and 2 are the same, but in this scenario...
- the Position filled in your account will be orphaned.
- you will likely write to support that there's a bug in the MetaStrategy that stranded your account with a position that should have been sold weeks ago.
If this is really an issue, I suggest that you set up and trade your Strategies in the Strategy Monitor in WealthLab 9. Use the new Trading Preference > Strategies can exit only Linked Positions. When a strategy positions fills in WealthLab 9, it will link the strategy with number of shares filled in the account so that you can trade the same symbol with multiple strategies using the same account.
Also, you can "link" existing live positions (discretionary or traded before using WL9) to Strategies in the Accounts tool.
QUOTE:
If this is really an issue, I suggest that you set up and trade your Strategies in the Strategy Monitor in WealthLab 9. Use the new Trading Preference > Strategies can exit only Linked Positions.
does this mean that my wishlist item https://wealth-lab.com/Discussion/Add-Trading-Preference-to-exit-position-based-on-executed-order-size-12192 is implemented in WL9? nice upgrade!
Indeed it does!
Your Response
Post
Edit Post
Login is required