I have set up the following example strategy with Buildingsblocks.
The S&P 100 is traded, with equity at 0.5% and a leverage of 1.05.
This means that just over 200 positions are possible.
Nevertheless, there are NSF positions in this strategy. I don't understand why. This should not actually be possible.
When I create the strategy with the or divider, there are no NSF positions.
However, as I have to use the same exit with the or divider, I am limited accordingly. In the example above, I have used the same exit for reasons of comparability.
I don't understand how these NSF positions can come about. There is also no symbol that has been opened twice.
The S&P 100 is traded, with equity at 0.5% and a leverage of 1.05.
This means that just over 200 positions are possible.
Nevertheless, there are NSF positions in this strategy. I don't understand why. This should not actually be possible.
When I create the strategy with the or divider, there are no NSF positions.
However, as I have to use the same exit with the or divider, I am limited accordingly. In the example above, I have used the same exit for reasons of comparability.
I don't understand how these NSF positions can come about. There is also no symbol that has been opened twice.
Rename
You entered "1" for Max Open per Symbol.
Yes, that is correct. Is it related to that? Does WealthLab treat it in such a way that the individual strategies included are counted separately in the NSF positions?
What "individual strategies" do you mean? This isn't a MetaStrategy.
Sorry, I expressed it incorrectly. I meant the two separate areas. One with Consecdown and one with RSI. That's what I meant. I have now tried it with 2 entries per symbol and there are no NSF positions left. Now I understand how it is handled by Wealth Lab. I didn't realise that before, which is why I was a bit surprised. Many thanks for the tip!
In my example, I still find it a bit strange that the results are different. What is the actual reason for this? At first glance, both strategies are the same. Or am I missing something here?
They're not the same. The original strategy manages 2 positions that come from 2 different rules. The "OR" strategy has only 1 entry (BUY) signal.
The "Single Position" switch means 1 position per entry signal.
If you have multiple entry signals, each one can manage their own single position.
The "Single Position" switch means 1 position per entry signal.
If you have multiple entry signals, each one can manage their own single position.
Thank you for your explanation. But somehow I still don't quite understand it. I have created a new example below:
As I understand it, there should also have been an entry in the strategy in the right-hand window. This is just one example, there are more. I don't understand the reason. Both strategies are identical, except for the handling of the positions you mentioned. An entry should be made when the ConsecDown rule is fulfilled or when the RSI rule is fulfilled. Since the signals are limited to 1 per symbol, there is only one entry if both conditions are met. "Retain NSF Positions" is also not the reason. The trade is then also missing on the right-hand side. I think I am misunderstanding something. Can you please go into this again? Thank you very much!
As I understand it, there should also have been an entry in the strategy in the right-hand window. This is just one example, there are more. I don't understand the reason. Both strategies are identical, except for the handling of the positions you mentioned. An entry should be made when the ConsecDown rule is fulfilled or when the RSI rule is fulfilled. Since the signals are limited to 1 per symbol, there is only one entry if both conditions are met. "Retain NSF Positions" is also not the reason. The trade is then also missing on the right-hand side. I think I am misunderstanding something. Can you please go into this again? Thank you very much!
First agree with me that these are not the same strategies. The right window has NSF positions because you're running 2 strategies at the same time but you're limiting to 1 position per symbol. There are 2 different entries and exits and they both can have positions at the same time. When that happens, you'll get NSFs.
And, that's not the ONLY reason you can get an NSF...
Re: MRK
Do the calculation yourself. Look at the other 200 positions (or however many there are) in the backtest, find what the buying power was for the signals on that day, consider the sales and the random transaction weight (because you didn't assign one). There's a lot going on, it's not surprising. Also, consider that you're using Market orders, so when stocks gap up they'll use more buying power, which makes less available for lower-weighted transactions, which are processed later.
For example, HPQ gapped up about $0.32 that day - that makes less buying power for the stocks that are processed after HPQ is bought.
----
Edit - I just noticed you switched to the Dow 30. Indeed, it's difficult to imagine why that trade didn't get put on since the previous MRK position closed a few days earlier.
And, that's not the ONLY reason you can get an NSF...
Re: MRK
Do the calculation yourself. Look at the other 200 positions (or however many there are) in the backtest, find what the buying power was for the signals on that day, consider the sales and the random transaction weight (because you didn't assign one). There's a lot going on, it's not surprising. Also, consider that you're using Market orders, so when stocks gap up they'll use more buying power, which makes less available for lower-weighted transactions, which are processed later.
For example, HPQ gapped up about $0.32 that day - that makes less buying power for the stocks that are processed after HPQ is bought.
----
Edit - I just noticed you switched to the Dow 30. Indeed, it's difficult to imagine why that trade didn't get put on since the previous MRK position closed a few days earlier.
I noticed you're entry prices are "wrong" (I checked a few).
Are you applying slippage?
It would be a good idea for you to completely refresh your Wealth-Data to make sure you have all the corrections.
Are you applying slippage?
It would be a good idea for you to completely refresh your Wealth-Data to make sure you have all the corrections.
QUOTE:
First agree with me that these are not the same strategies. The right window has NSF positions because you're running 2 strategies at the same time but you're limiting to 1 position per symbol. There are 2 different entries and exits and they both can have positions at the same time. When that happens, you'll get NSFs.
I agree.
In any case, there was enough buying power there because the strategy ran in the Dow with only 0.5% equity (you mentioned it).
Missing trades are not unique to MRK. Can you reproduce the problem yourself or do you get different results?
It's very strange about the wrong prices, because I haven't activated slippage.
How can I completely refresh the Wealth Data?
Do I simply uninstall and reinstall or do I have to delete something special?
I was jet-lagged yesterday and think I was looking at the Close instead of the Open when comparing prices. Anyway, it's a good idea to refresh Wealth-Data periodically. To do it, right click on Wealth-Data in the Data Manager > Historical Providers and select "Delete Local Files". Just run a backtest to access/download the data.
Re: MRK
The reason the trade doesn't happen in the second backtest...
The first entered on 7/29 and exited on 8/5/2011 for the "Buy at Market(1)" signal. The one you don't see is due to the backtest-rejected trade (due to the 1 Long setting) for the "Buy at Market(2)" signal on 8/3 and exited on 8/10. That was the signal responsible for the potential trade on 8/9, but it was already in a position.
Re: MRK
The reason the trade doesn't happen in the second backtest...
The first entered on 7/29 and exited on 8/5/2011 for the "Buy at Market(1)" signal. The one you don't see is due to the backtest-rejected trade (due to the 1 Long setting) for the "Buy at Market(2)" signal on 8/3 and exited on 8/10. That was the signal responsible for the potential trade on 8/9, but it was already in a position.
Thank you for the explanation. Now I understand it :-)
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