How-to-limit-Strategy-s-live-trading-signals-to-a-number

QUOTE:
and I have set the maximum number of open positions to 1 in Position Size in Strategy Monitor.

These Max Open... settings in the Pos.Size dialog apply to the historical backtests exclusively.

It seems logical that the Max Open Positions would cascade into Signals, don’t you think, Eugene?

Sure, for a Market order system (only).
What about Limit or Stop entries?

Retracted - it does say "Max Entry Signals".
If you want to shoot yourself in the foot, you can!

There are two settings, one is Max Open Positions, and a lower one is Max Entry Signals. We're talking about Max Open Positions.

Hi Glitch, Cone and Eugene,

Is there anyway you could incorporate a fix in the upcoming release of WL so that the generated trade signals in Strategy Monitor or the trades which are executed via auto-placed from Strategy Monitor are all constrained by the parameters in Position Size, especially the maximum number of open positions?

pmbf

QUOTE:
What about Limit or Stop entries?

Of course this could be done by implementing a sorting & limiting mechanism in a c# coded strategy. But I see a lot of members who struggling with limiting the number of simultaneously open positions in a strategy with limit/stop orders. Maybe it's time to bring this feature to the "front end", so even to building blocks users, without any coding.

Could be work like this (from another thread):
"Max Entry Signals" will be ignored
Max Open Positions = 10

Day 1
open position count: 0
potential entry signals: 23
limited and sorted entry signals: 10 (Max Open Positions - open position count)
assumption: 7 get filled on that day

Day 2
open position count: 7
potential entry signals: 24
limited and sorted entry signals: 3 (Max Open Positions - open position count)
assumption: 3 get filled on that day

Day 3
open position count: 10
potential entry signals: 15
limited and sorted entry signals: 0 (Max Open Positions - open position count)
assumption: there are no entry signals, so 0 fills

Day 4
open position count: 10
...

We can think about making it an option. But I don't think it should be a default preference. What if you have exit signals (limit/stop) also? Should these be considered when limiting entry signals? If these exits happen to fill then maybe someone would NOT WANT to limit the entry signals. We need to keep this open to different trading styles and needs.

QUOTE:
What if you have exit signals (limit/stop) also? Should these be considered when limiting entry signals? If these exits happen to fill then maybe someone would NOT WANT to limit the entry signals.

Exit signals as market orders could be considered. Stop/limit like normal entry orders, so the position counter would increase/decrease on the next bar. Otherwise there remains a probability that the limit will be exceeded.

QUOTE:
We need to keep this open to different trading styles and needs.

Yes, absolutely. But there should be an option, which never let the Max Open Positions be greater than predefined. When trading with a % equity based positions sizer, this would also determine the max leverage usage/exposure.

If all positions are not equally weighted, like with an advanced positions sizer, Max Open Positions would be less and exposure more important and should be the limiting parameter instead. Like in Post #6, open position count could be replaced with "market value open positions" and Max Open Positions with "max market value positions" (balance * leverage). Maybe this could also be an option. However, as all slots do not have the same market value, the "available capital" must always be recalculated, because how many entries are achivieable is depending on each position market value.

I added the #FeatureRequest tag so this can appear in our Wish List.

Hi All,

Thanks for your active participation on this matter.

From my perspective with a real sample case, I typically set my strategies in Strategy Monitor to auto place so that it would go on auto-pilot mode from trade signal generation to trade order execution.

It will be great if the process, from trade signal generation to trade order execution, could be constrained by the parameters in Position Size.

Hope this request would get onto the wishlist and eventually into later version of WL.

pmbf

Now I understand why I set max open pos and transaction weight but still get a very high number of signals.

I think this is a very good feature proposal and hope it will be evaluated by the team, thank you all.

QUOTE:
Day 1
open position count: 0 
potential entry signals: 23
limited and sorted entry signals: 10 (Max Open Positions - open position count)
assumption: 7 get filled on that day

Or is it possible that after the orders are placed （automatic or manually ）and then when there are 10 orders filled, all other orders will be automatically canceled.

QUOTE:
when there are 10 orders filled, all other orders will be automatically canceled.

This is already a feature for Trading Thresholds.

It works on a "Per-Account" basis, not Per-Strategy, so if you're trading multiple strategies in a single account, the Thresholds might not work for you.

Maybe it was mentioned above already, but the "Max Open" options in the Position Sizing are controls for the hypothetical backtest only. They cannot limit trading. (Max Entry Signals will limit the number of Signals on a bar, but that's different than Max Open Positions.)

See Preferences > Trading > Trading Thresholds in the User Guide.

Thanks Cone,

I did check this thresholds settings
But yes, I was trying to set max number for strategy.

By the way, as I tested it, if I set the Max Entry Signals number and transaction weight.

Then the filtering criteria of signal number will be based on the transaction weight setting, is that correct？Just want to double confirm that.

Yes, the signals with the greatest weight make the list for Max Entry Signals.

Just a +1 to this as a feature request. It would make a great addition, especially for those automating many-strategy trading in parallel.

I've got a coordinated Bensdorp-esque series of strategies backtesting very nicely together as a metastrategy, with the finantic Advanced Position Sizer extension providing the appropriate risk sizing and Max Open Pos. This variable winds up being necessary to balancing very different strategies running in parallel.

Would love to take what I'm learning on the Metastrategy side into production, and I'm finding it challenging to manage trading across multiple strategies without that one missing piece.

The request for limiting Open Position on a Per Strategy basis is here:
/Discussion/Control-Max-Open-Positions-Threshold-in-Strategy-Monitor-9975

The title of this thread is "How to limit Strategy's live trading signals to a number?"

You can do that right now using the Max Entry Signals control, so I'll remove this as an open request.