- ago
I am Working in a Rotation Strategy with the ROC indikator:

- Backtest 10y
- Stocks: N100, not dynamically
- Compute the ROC(20) of all Stocks in the Index
- Buy the best 5
- Hold them for 20 days
- Repeat

The strategy is selling wrong stocks (PTON) and the Performance has also changed from Build 6? I have made a PDF of the screens in WL7.
Wow can I send them; by email?

br
ka



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Cone8
 ( 6.24% )
- ago
#1
1. What Provider for the "N100" are you using?
2. What's the Position sizing and what Basis Price setting is configured?
3. Is "Retain NSF Positions" selected in the Advanced Strategy Settings?

Also, are the "best 5" the ones that have advanced the most or declined the most?
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- ago
#2
Hi Cone!

The best are these with the highest ROC!
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- ago
#3
The Computation of the Profit could be wrong:
Profit:= (Price_Exit - Price_Entry)*Quantity....this is wrong.
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- ago
#4
As Cone asked, you do retain NSF positions. This is the default behavior and here's what it means - quoting the website FAQ:

QUOTE:
NSF (Not Sufficient Funds) Positions are transactions that failed to become a position in the backtext due to insufficient simulated cash/buying power to take the trade. You can choose to retain or drop the NSF positions on a per strategy basis, on the Strategy settings tab (with live trading consequences). See Wealth-Lab Help > Backtest Preferences for details.

https://www.wealth-lab.com/Support/Faq

Please try disabling the NSF option and rerun your Rotation strategy.
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Glitch8
 ( 10.65% )
- ago
#5
What commission setting are you using? Commission is deducted from profit.
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- ago
#7
Hi Cone!
Sorry, after deleting the Commission and Slippage, the Profit seems to be ok.
But the selection of the next Stock with the highest ROC seems to be wrong.
MRNA has the higest ROC

MELI is bought?


Thanks!
ka
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- ago
#8
These screenshots in Post #7 compare apples to oranges, so there's no connection between MRNA being the symbol with the highest ROC on the By Symbol tab (in history) and the signal to buy MELI (which takes place tomorrow).
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Glitch8
 ( 10.65% )
- ago
#9
I'm having trouble imagining what kind of Strategy this is. You say it's a Rotation, but the icon shows a Building Block Strategy. If you can email us the Strategy so we can help troubleshoot we can tell you what's going on. I'm glad we cleared up the false alarm about incorrect profit calculation. Likely the remaining issue a similar misunderstanding.
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- ago
#10
QUOTE:
I'm having trouble imagining what kind of Strategy this is.

Noticed another inconsistency: the MELI screenshot (Post #7) indicates "Market open next bar" is applied whereas Post #2 suggests it ran with "Market close this bar".
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- ago
#11
Hi All!
Thanks for answering.

Of course its a Building Block Strategy.
I use Zorro to verify the WL7 results.
To What email I can send the strategy?

br
k
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- ago
#12
I've renamed the deceptive topic title so it no longer mentions rotation.

You can send it to
CODE:
rocstrategy@wealth-lab.com
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