- ago
The Margin factor in a meta strategy is not working.
I try setting it at 1.0, 1.5, 2.0 and other parameters and the backtest results are the same.
Cash is never negative.
It also does not save the margin factor saved setting in each of the individual strategies.

Any suggestions as to how to make it work?
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- ago
#1
QUOTE:
It also does not save the margin factor saved setting in each of the individual strategies.

I just verified that the Margin Factor is saved with each of the child Strategy in a MetaStrategy. Perhaps you forgot to save the MetaStrategy?
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Glitch8
 ( 14.35% )
- ago
#2
I'll investigate, thanks for reporting.
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- ago
#3
Hi.
Regarding Metastrategy margin factor, can you please explain how it works between the margin on the individual systems and the Metastrategy margin, and any difference from WL6?

I just moved from WL6. I had 3 systems in a Combo/Metastrategy using risk based position sizing. Unconstrained each system used more than 100% of their allocations, as for example low volatility stocks can have large positions with risk based system. In WL6 to make it unconstrained, more or less, I used 5x margin for each system and 5x margin for the Combo.

In WL8 I am using the same systems with the same weightings (33.3% each) and and the same risk sizing. I am using the same account size ($100k), commission, slippage, and dividend reinvestment parameters, and same backtest period. I used the same 5x margin on the systems and overall on the Metastrategy. But instead of around 35% max drawdown in WL6 I am getting about 80% drawdown - even with rebalancing turned off (as WL6 doesnt have rebalancing). So - it seems something is different re: the margin parameters in WL8?

In any event, whether it is different from WL6 or not, can you please just tell me what impact the Metastrategy margin has in WL8 vs the system margin, and how those two interact, please?

Thank you!
Regards
Rod

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Glitch8
 ( 14.35% )
- ago
#4
Hi Rod, it sounds like you turned off capital pooling, so each of the 3 strategies would get it’s one $33k equity. The constituent strategy margin factor is applied to that, so if it’s 5:1 then the constituents would have $166k of buying power.

All of the trades get passed through to the parent MetaStrategy, and it would apply its own margin factor to determine how many of the incoming trades can be filled.
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- ago
#5
Thanks for the very fast response Glitch.

I want each strategy to use 33% of the account to calculate sizing, but knowing the total value of all the trades could and should be higher than this as I am using risk percent sizing per trade. I want the total nominal value of trades unlimited, but each one calculated on 33% of capital (and using say 1% risk to stop). Should the variables be as follows?

- Capital poolng: off (as I want sizing based on 33% not 100%).
- Margin per system: A large number so all trades can be taken e.g. 5. Risk sizing will still be based on the 33.3% (say $33.3k, not $165k?) (edited)
- Metastrategy margin: A large number so all trades can be taken e.g. 5.

Is this correct?

Thanks in advance.
Best regards
Rod
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Glitch8
 ( 14.35% )
- ago
#6
If you want to simulate 5:1 margin trading then yes that’s correct.
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