HI,
I made a strategy and have tested it over say 10 years data set....I generated buy and sell signals whose sizing would be based on assumption that the strategy has been going for so long and it has open and closed positions...etc. Compounding also assumes that the initial 100,000 is now 1,000,000 and is sizing signals based on the available capital.
So as at today I want to start executing this strategy and building the portfolio going forward. What is the best way to go about it so when I run it back tomorrow, the signals generated are matching my actual positions and sizing based on my present account balance of 100,000. Further to that, as the market execution might be different in terms of volume and pricing that what the model assumes, when I run the strategy tomorrow for the new signals, how do I get positioning to cater for such (i.e. current open positions obtained from the IBKR API).
Many thanks,
Peter
I made a strategy and have tested it over say 10 years data set....I generated buy and sell signals whose sizing would be based on assumption that the strategy has been going for so long and it has open and closed positions...etc. Compounding also assumes that the initial 100,000 is now 1,000,000 and is sizing signals based on the available capital.
So as at today I want to start executing this strategy and building the portfolio going forward. What is the best way to go about it so when I run it back tomorrow, the signals generated are matching my actual positions and sizing based on my present account balance of 100,000. Further to that, as the market execution might be different in terms of volume and pricing that what the model assumes, when I run the strategy tomorrow for the new signals, how do I get positioning to cater for such (i.e. current open positions obtained from the IBKR API).
Many thanks,
Peter
Rename
The best way for me personally is to use a fixed dollar position size. Easy and no worries. You could also use the "Live Positions" Trading Preference but that only works if you maintain a single position PER SYMBOL amongst all of your Strategies.
Many thanks. That was one of my options with the other to run strategy with a start date for back testing as at exactly N period as to what is maximum required by any condition so then today is "the first day".
Do you foresee any problems in doing that?
Do you foresee any problems in doing that?
It's riskier because you might make a withdrawal or a deposit into the trading account, not exactly compensate for cash and/or margin interest, or you might encounter slippage which all could lead to the simulated equity deviating from the real equity.
For an EOD Strategy, Live Positions (works only with S. Monitor and Streaming windows) has limited utility, imho, except for triggering new signals for a symbol that might already have an active backtest (i.e., hypothetical) position. And, this Use Live Positions is not compatible with all Strategies.
Percent of Equity sizing (and variants) with the Broker Account Value Trading Preference enabled works great, if that's the way you want to size. Also, the "Always set Exit Order Qty.." option will sync exit sizes to positions that you own in the account. Works great.
Percent of Equity sizing (and variants) with the Broker Account Value Trading Preference enabled works great, if that's the way you want to size. Also, the "Always set Exit Order Qty.." option will sync exit sizes to positions that you own in the account. Works great.
Many thanks guys...that makes sense
Your Response
Post
Edit Post
Login is required