MetaStrategy-quantity-mismatch-when-broker-reported-for-equity-position-size-is-enabled

The sizing difference is suspiciously precisely 10x.

1. Which Pos Sizer are you using?

2. Does the Strategy assign a value to Transaction.Quantity? (that overrides Pos Sizing)

QUOTE:
1. Which Pos Sizer are you using?

10% of equity and Max Entry Signals set to 10

QUOTE:
2. Does the Strategy assign a value to Transaction.Quantity? (that overrides Pos Sizing)

Just a Transaction Weight (Lowest RSI)

Thanks. I guess we'll have to take a closer look.

The Signals appears to be using the selected broker account value (you can verify by switching accounts), but each signal reflects a 100% equity value - not good!

Yes, I have noticed that too!

No matter how I change the position sizer, each order corresponds to the complete account balance. It seems that the MetaStrategy does not respect the Position Sizer of the child strategy for calculation.

I'm afraid MetaStrategies aren't compatible with Broker Account position sizing. This adjustment is made to the signals after the Strategy has completed, and it's working with the list of signals and the position size specified in the main Strategy settings panel. For a MetsStrategy that's currently set to 100% of equity, which is why the Broker Account is using 100%.

You could, like I do, use a fixed dollar position size in each MetaStrategy component. Or we could possibly unlock the Strategy settings position size to allow you to adjust it there. But that might produce more confusion with users wondering what effect that position sizer has when all of the MetaStrategy components have their own position sizing.

For now we'll make a note in the help that this combination is not supported.

Thanks for the explanation!

Right now my workaround is to match the starting capital of the MetaStrategy with the broker account value and then set the starting date to today minus the strategy index, then run the MetaStrategy (with equity based child strategies) kind of as a "parallel simulation" based on it's own equity.

Unfortunately only after a few days/weeks the equities differ quite a lot due to different filling prices, commissions etc., so this is still an unstable workout and not a proper solution.

I’ll mark this as a #FeatureRequest. It should be possible in the future to have the sizing routine look at which MetaStrategy component each signal belongs to and use its position sizing to get Broker Account position size working. It’s still a bit complicated because should it use the full broker account value or should it be reduced based on the allocation set up in the MS component?

I think the logical approach would be if it uses the allocation based account value. Otherwise it would be quite confusing and difficult to understand.

So then for example, if the account has $100,000 and the MS has two Strategies, each allocating 50%. If Strategy A issues a signal with 10% of equity, it would turn into 5% of the current Broker Account value.

QUOTE:
So then for example, if the account has $100,000 and the MS has two Strategies, each allocating 50%. If Strategy A issues a signal with 10% of equity, it would turn into 5% of the current Broker Account value.

Yes!