I have Wealthab 8
I wanted to make sure that the Strategy Monitor will give me daily signals, so I am testing the use of this.
What I did was use a WL.com Published Strategy called "2MinuteSystem".
I placed it in the Strategy Monitor. I also ran a BackTest on it.
1) Strategy Monitor it is giving me Sell Signal for 9/7/22.
2) I also ran in BackTest and open position on 1/19/22.
I thought I would be seeing the same signal. Why not and how can I see the same signal.
I want to ensure that if I get a signal in Strategy Monitor that it is reflecting the same signal in BackTest.
Thank you,
Larry
I wanted to make sure that the Strategy Monitor will give me daily signals, so I am testing the use of this.
What I did was use a WL.com Published Strategy called "2MinuteSystem".
I placed it in the Strategy Monitor. I also ran a BackTest on it.
1) Strategy Monitor it is giving me Sell Signal for 9/7/22.
2) I also ran in BackTest and open position on 1/19/22.
I thought I would be seeing the same signal. Why not and how can I see the same signal.
I want to ensure that if I get a signal in Strategy Monitor that it is reflecting the same signal in BackTest.
Thank you,
Larry
Rename
To make a comparison for the same exact strategy, right click the strategy in the SM and choose "Open in a strategy window". Anything else can be error prone due to different parameters.
What DataSet?
Is it linked to a Provider?
What Position Sizing?
Advanced Strategy Settings?
The Strategy Monitor runs "a backtest" too, but always "Retains NSF Positions" (and doesn't use granular processing).
So you'll get the "same result" but even the backtest will vary due to NSF Positions if you don't apply a Transaction Weight condition to the Buy At Market signal.
Is it linked to a Provider?
What Position Sizing?
Advanced Strategy Settings?
The Strategy Monitor runs "a backtest" too, but always "Retains NSF Positions" (and doesn't use granular processing).
So you'll get the "same result" but even the backtest will vary due to NSF Positions if you don't apply a Transaction Weight condition to the Buy At Market signal.
Eugene and Cone,
Works.
Thank you,
Larry
Works.
Thank you,
Larry
I am seeing completely different signals being generated for a Strategy when backtested vs run in SM. Per the advice of https://www.wealth-lab.com/Discussion/Strategy-Monitor-signal-different-than-backtest-8561 I opened the Strategy from SM and ran that. It also generated completely different signals (same as my original strategy backtested results).
Any ideas?
Any ideas?
For ideas of your troubleshooting you may find questions in Cone's Post #2 inspirational.
I did see that post. I am setting the transaction weight and Retains NSF Positions is true. From what I can tell everything else is configured the same.
How is the Strategy Item configured? -
1. scale,
2. data provider,
3. Filtering,
4. update type (polling, streaming, etc.)
5. parameters
6. WFO or PV selected?
Also, you know that "Use Live Positions" affects the S. Monitor, right?
Re: completely different signals
Got a specific example?
1. scale,
2. data provider,
3. Filtering,
4. update type (polling, streaming, etc.)
5. parameters
6. WFO or PV selected?
Also, you know that "Use Live Positions" affects the S. Monitor, right?
Re: completely different signals
Got a specific example?
If the signals are different there must be a reason, it won't just happen magically.
1) Maybe the date range is different
2) Maybe there are NSF positions so each run produces different positions and signals
3) Maybe the position sizing is different
If you cannot isolate the cause you can email the Strategy to support@wealth-lab.com and I can run it locally and report back my findings regarding differences in signals.
1) Maybe the date range is different
2) Maybe there are NSF positions so each run produces different positions and signals
3) Maybe the position sizing is different
If you cannot isolate the cause you can email the Strategy to support@wealth-lab.com and I can run it locally and report back my findings regarding differences in signals.
I figured the issues out and thanks for talking it through with me. To figure this out I used a date filter >= 1/12/24 (latest). Then compared to date filter >= 1/11/24. What I realized is that, just as said above, the strategy is taking into account what I already own (duh).
So when run on 1/11 (date filter >=1/11), I would get 5 signals (max # set to 5). The next day, since I now own those 5 positions, it removes those from the list and gives me the next 5 top signals, all based on transaction weight.
When I run on 1/12 (date filter >=1/12) I got the same signals but since I didn't have any positions, it gave me the top 5.
Same thing happens in SM but looks directly in the associated account assuming use live positions are enabled.
So when run on 1/11 (date filter >=1/11), I would get 5 signals (max # set to 5). The next day, since I now own those 5 positions, it removes those from the list and gives me the next 5 top signals, all based on transaction weight.
When I run on 1/12 (date filter >=1/12) I got the same signals but since I didn't have any positions, it gave me the top 5.
Same thing happens in SM but looks directly in the associated account assuming use live positions are enabled.
Your Response
Post
Edit Post
Login is required