Cone8
 ( 26.65% )
- ago
How about this idea?

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- ago
#1
I like it!

Rotation strategies are very underrated and WL's wizard certainly makes it very easy to create one in just a few minutes.

Besides your proposal, in my wish list for the current Rotation Strategy Wizard, I had:
- Position Sizing: allow to specify margin (currently it's deactivated).
- Exit strategy: allow to specify stops - I have some rotations strategies with a weight factor (indicator) stubbornly maintaining the position, while it actually loses dramatically (some times >50%!).


Are any of those 2 feasible, considering the architecture? If so, I can create 2 separate FR for voting.
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Cone8
 ( 26.65% )
- ago
#2
Re: Position Sizing
The idea of rotation is to be 100% exposed. Would you really trade 2:1 margin "always"? imho, that's an expensive proposition, high risk of a margin call, and an unlikely strategy.

Re: Exit Strategy
Definitely.
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- ago
#3
Good point!
The idea was not so much to trade the full account at 2:1 margin; but eventually to have a portion of an account (let's say 20%) dedicated to this system, which in turn could be leveraged.

In a MetaStrategy, I can actually already add a rotation strategy and specify different position sizing; so, if I add just the rotation strategy to a MetaStrategy, I can actually bypass the current position sizing limitations of a Rotation Strategy. But, as I mentioned above the idea would be to trade multiple strategies with the same account, having just a part of it dedicated to a certain rotation strategy that would eventually be leveraged. And it would make the simulation easier if the option would be enabled.
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- ago
#4
QUOTE:
so, if I add just the rotation strategy to a MetaStrategy, I can actually bypass the current position sizing limitations of a Rotation Strategy.

Good idea for workaround. If we can avoid making Rotation more complex than it is, it may be worth not doing it.
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Glitch8
 ( 8.38% )
- ago
#5
How is this intended to work?

"Exit all positions when this condition is true."

it's exiting all symbol positions based on the conditions below, so what symbol(s) are the conditions based on?

Seems like this would need to be thought out and/or re-worded.
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Cone8
 ( 26.65% )
- ago
#6
Applying "NOT" to the timing filter would be required to enter a position.
A Position is exited when kicked out by the Rotation or by the filter.

If a "top" symbol isn't bought due to the filter, there's room to make an option to look for the next best candidate.

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Glitch8
 ( 8.38% )
- ago
#7
OK let's get this activated for Build 62.
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Cone8
 ( 26.65% )
- ago
#8
It seems the orginal idea was to turn the strategy on/off based on some drag and drop criteria.
Example - exit and stop trading completely if the SPY is below its 50-day MA.

In my last post, I was thinking more along the lines of individual instruments.
Example - buy the "top 5" lowest RSI, but each candidate must also meet the criteria defined... like be above it's 50-day MA.

Probably you could achieve both solutions with a checkbox.
If checked, the criteria applies to all candidates, otherwise each one individually.
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Glitch8
 ( 8.38% )
- ago
#9
Let's not make it too complicated. What makes the most sense IMO is some draggable Conditions. If all the Conditions resolve to true for a symbol, then it can be considered for inclusion.
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Cone8
 ( 26.65% )
- ago
#10
Sure that works.
An entire market filter could be realized by just using a Symbol Qualifier (e.g., SPY).
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