I'm using WL8 for some weeks and discovered that the rotation strategy seems more easy to beat the market than a strategy build with entry signals, stops, exits,..
1. So I'm afraid there's a catch. The only thing I can think of is that the average profit per trade is so small (especially when balancing daily) that it's not profitable after fees.
But there are zero fees brokers and mostly the monthly balancing gives better profits per trade. Somebody live experience with small profit trades?
2. altough I searched on 'rotation' in this forum and read a lot of topics, it is still not clear how 1 stock can be selected 4 times in less than 1 month. While there is a list of 100+ stocks to choose from.
3. There is no NSF list with the rotation strategy, it seems. Check the box or not. But what if stocks have the same value of the weighting indicator? Pressing 'run backtest' again gives exact the same results.
4. I also mis (as seen in other topics) the ability to play more with extra filters/indicators/qualifiers/stops,...
5. How about shorting during the rotation? I wanna buy every week 5 stocks with the lowest value of indicator A and short 5 stocks with the highest value of indicator B.
6. How is it possible that (in the position list) the 'bars held' is many cases more than 1 bar altough the balance is daily?
#rotationstrategy
1. So I'm afraid there's a catch. The only thing I can think of is that the average profit per trade is so small (especially when balancing daily) that it's not profitable after fees.
But there are zero fees brokers and mostly the monthly balancing gives better profits per trade. Somebody live experience with small profit trades?
2. altough I searched on 'rotation' in this forum and read a lot of topics, it is still not clear how 1 stock can be selected 4 times in less than 1 month. While there is a list of 100+ stocks to choose from.
3. There is no NSF list with the rotation strategy, it seems. Check the box or not. But what if stocks have the same value of the weighting indicator? Pressing 'run backtest' again gives exact the same results.
4. I also mis (as seen in other topics) the ability to play more with extra filters/indicators/qualifiers/stops,...
5. How about shorting during the rotation? I wanna buy every week 5 stocks with the lowest value of indicator A and short 5 stocks with the highest value of indicator B.
6. How is it possible that (in the position list) the 'bars held' is many cases more than 1 bar altough the balance is daily?
#rotationstrategy
Rename
Hey Welcome Dirk!
1. Slippage should be low if you’re using WealthData, in my experience at least trading at Fidelity I rarely get negative slippage on market orders.
2. is it rebalance daily? Then why not?
3. If the weight is an indicator like RSI that can extend to many decimal places then two stocks won’t have the exact same weight.
4. I believe we have an open request for that.
5. sounds like a good #FeatureRequest candidate!
6. Because a symbol might be in the top N list for more than 1 day. In this case the strategy holds the position until it’s out of the list.
1. Slippage should be low if you’re using WealthData, in my experience at least trading at Fidelity I rarely get negative slippage on market orders.
2. is it rebalance daily? Then why not?
3. If the weight is an indicator like RSI that can extend to many decimal places then two stocks won’t have the exact same weight.
4. I believe we have an open request for that.
5. sounds like a good #FeatureRequest candidate!
6. Because a symbol might be in the top N list for more than 1 day. In this case the strategy holds the position until it’s out of the list.
Hello Glitch,
Thanks, i'm excited about the WL software. It has amazing possibilities.
For point 6, I've find something that needs some attention.
I looked into the trades when the 'bars held' were more than 1 in a daily rebalance.
The reason can indeed be because the indicator is just favorable for many days.
But in all of the 'worst cases' when the bars held is more than 28 days in the case of an SZO(close,14) as a weight factor, the reason is that the indicator didn't had enough data history to built the indicator. Idem dito with some other indicators.
See example of ticker MAR. Can this be avoid?
Thanks, i'm excited about the WL software. It has amazing possibilities.
For point 6, I've find something that needs some attention.
I looked into the trades when the 'bars held' were more than 1 in a daily rebalance.
The reason can indeed be because the indicator is just favorable for many days.
But in all of the 'worst cases' when the bars held is more than 28 days in the case of an SZO(close,14) as a weight factor, the reason is that the indicator didn't had enough data history to built the indicator. Idem dito with some other indicators.
See example of ticker MAR. Can this be avoid?
Hello Glitch, is above an issue which should/can be avoided?
Let's make the SZO return Double.NaN until its FirstValueIndex (= period * 3 in this case). I think this would exclude the preliminary MAR trade.
What are the other indicators you mentioned? I could also make the similar change for B34.
What are the other indicators you mentioned? I could also make the similar change for B34.
Does it mean that you changed the code so that it's ok for the SZO indicator?
Cannot find those other indicator right away. But will notify when I see it again.
Cannot find those other indicator right away. But will notify when I see it again.
QUOTE:
Does it mean that you changed the code so that it's ok for the SZO indicator?
Yes I did. The change will appear in B34 once it's feature complete, stable and released.
Is there a Rotator script in C# for WealthLab so that I can build in additional features, such as stop loss, etc.?
Thank you,
Larry
Thank you,
Larry
Yes, it's even part of the FAQ > "Can Rotation strategies be tweaked like add a filter or use a custom indicator?"
So you don't have to go searching, all of these topics have examples.
https://www.wealth-lab.com/Discussion/Converting-a-WL6-rotation-script-to-WL7-5613
https://www.wealth-lab.com/Discussion/Sort-limit-orders-by-priority-and-place-only-the-top-10-6061
https://www.wealth-lab.com/Discussion/Rotation-Strategy-Bi-Weekly-scale-9516
https://www.wealth-lab.com/Discussion/Converting-a-WL6-rotation-script-to-WL7-5613
https://www.wealth-lab.com/Discussion/Sort-limit-orders-by-priority-and-place-only-the-top-10-6061
https://www.wealth-lab.com/Discussion/Rotation-Strategy-Bi-Weekly-scale-9516
Eugene and Cone.
Much appreciated.
Larry
Much appreciated.
Larry
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