- ago
Make the WealthSignals Publisher (WSP) honor Transaction.Weight for market orders.

Background:
When you have more trade candidates than cash available for all of them, a backtest uses Transaction.Weight to determine which signals to fill in the backtest. If you don't assign T.Weight, Wealth-Lab assigns random weights. However, a good strategy will use an indicator, like -RSI, to assign a weight so that the most oversold positions are favored to buy, for example.

When trading live, you would sort your entry signals by the T.Weight and place the ones with the highest value (or least negative) up to the amount of buying power in the account. Of course, you must consider exits at market too.

The WS Publisher should do the same!
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- ago
#1
Hmm isn't the WSP already sorting signals by Transaction.Weight?
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Cone7
- ago
#2
If it sorts and then submits all orders, then the sort is of no use. There are two ways to solve this:

1. The WSP should submit only the market orders, by weight, that are estimated to use all the WealthSignal account's buying power after considering market order exits.

Or,

2. Modify WealthSignals to execute these orders like the Wealth-Lab Backtester. The advantage here is that limit and stop orders that executed on the open could add to buying power.
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- ago
#3
#1 now explains why it sometimes submits a signal not at the top of transaction weight. When I try to modify it, then one signal sometimes fails due to lack of buying power. Thanks for explanation Cone, I did not know it worked this way and assumed it just matched the backtester.
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