What are the correct settings for obtaining the same results with Building Blocks as with Rotation ?
Picture 1 : Building Blocks RSI 14D
Picture 2 : Rotation RSI 14D
Picture 1 : Building Blocks RSI 14D
Picture 2 : Rotation RSI 14D
Rename
Correct - Just set up a Rotation strategy for 1 symbol using RSI 14.
Unlike the strategy you're showing, the Rotation strategy will get you into a new position on the same day you exit the previous position.
(p.s., No need to start a new topic to post an image. Just reply to your own topic.)
Unlike the strategy you're showing, the Rotation strategy will get you into a new position on the same day you exit the previous position.
(p.s., No need to start a new topic to post an image. Just reply to your own topic.)
The results are totally different ! What could be the reasons ?
What makes you think they should not be different when, as Cone just said, the rules are in fact different?
What would be the exact settings for Building Blocks to obtain the same results as with Rotation ?
1. Select Multiple Positions (at the top of the design surface).
2. Set Margin to 1.2 in the Strategy Settings too so that you don't miss trades while using 100% of Equity.
2. Set Margin to 1.2 in the Strategy Settings too so that you don't miss trades while using 100% of Equity.
How can I avoid that the trades are exited every day ?
Use the RSI Rotation strategy.
It looks like you ran it on one symbol? What's the point of that?
Run the backtest on a DataSet, right?
It looks like you ran it on one symbol? What's the point of that?
Run the backtest on a DataSet, right?
I run it on 4 stocks
Above the results with Building Blocks
Let us look into the implementation of the "Symbol is Ranked" condition. What I'm seeing is a bug such that it can be used only once in a Strategy - the second instance is overwriting the data from the first.
Incidentally, in an RSI Rotation you'll do much better buying "Lowest Weight Value" when using RSI rather than "Highest". Lowest for RSI is "more oversold", so generally, you want to give the highest weight to lower RSI values for long trades.
Incidentally, in an RSI Rotation you'll do much better buying "Lowest Weight Value" when using RSI rather than "Highest". Lowest for RSI is "more oversold", so generally, you want to give the highest weight to lower RSI values for long trades.
Verified. We've got that bug fixed for Build 94.
In the meantime, you can't use the Symbol Ranking condition more than once in a Strategy. Sorry about that.
In the meantime, you can't use the Symbol Ranking condition more than once in a Strategy. Sorry about that.
So with Build 94 I will get the same Results with Building Blocks as with Rotation ?
Generally, "no", because the strategy is different than RSI Rotation.
However, with a 4-Symbol DataSet, "maybe". (Edit: "yes" with the constraints outline below.)
The block strategy is programmed (but won't work correctly until Build 94) to not sell until the symbol is ranked in the Bottom 3. That's a different exit rule, in general, than that used by RSI Rotation.
HOWEVER, given the constraints that there are 4 symbols in the DataSet, Position Sizing is set to 100% of Equity, and Margin is set to 1.2, then theoretically the strategy as shown above with "Multiple Positions" selected should give you the same result as an RSI Rotation for 1 symbol on the same 4 symbol DataSet with Daily Rebalance frequency that Buy Symbols with the Highest Weight Value (which is backwards from the desired rule, imho).
However, with a 4-Symbol DataSet, "maybe". (Edit: "yes" with the constraints outline below.)
The block strategy is programmed (but won't work correctly until Build 94) to not sell until the symbol is ranked in the Bottom 3. That's a different exit rule, in general, than that used by RSI Rotation.
HOWEVER, given the constraints that there are 4 symbols in the DataSet, Position Sizing is set to 100% of Equity, and Margin is set to 1.2, then theoretically the strategy as shown above with "Multiple Positions" selected should give you the same result as an RSI Rotation for 1 symbol on the same 4 symbol DataSet with Daily Rebalance frequency that Buy Symbols with the Highest Weight Value (which is backwards from the desired rule, imho).
A Rotation Strategy has lots of special logic to avoid placing trades when the same symbol is in the rotation multiple times in a row, and it also has its special rebalance logic. So you likely won’t be able to get exactly the same results in a Building Block Strategy. It would be possible in a C# coded Strategy though.
I'm looking forward to Build 94 !
In this case, with the constraints given, the results with be identical - already tested it.
Great !
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