Cone: my apologies. I was editing my post below and accidentally overwrote yours.
For simplicity, lets say I have connected WL8 to an account with assets in it already. Say $10K of a symbol X. Let's say I have a strategy that just invests 100% in one asset, Y, using Rebalance. And in the strategy monitor I configured it to use 25% of the account's equity value.
Should i expect WL8 to set the size to $2,5K?
For simplicity, lets say I have connected WL8 to an account with assets in it already. Say $10K of a symbol X. Let's say I have a strategy that just invests 100% in one asset, Y, using Rebalance. And in the strategy monitor I configured it to use 25% of the account's equity value.
Should i expect WL8 to set the size to $2,5K?
Rename
Rebalance is a backtesting feature that will not work in sync with Auto Trading. It functions only with the Backtester.CurrentEquity, which is highly unlikely to match a live account value. We'll need to document so that that's is clearer.
I can't follow your scenario - you said the account had $10K of X and a strategy buy 100% of one asset. But you didn't specify if the strategy was trading X or what the total value of the account was.
In any case, we now know you can't use Rebalance with a live account. Furthermore, both "Always set Exit Order Quantity..." and "Use Live Positions" are both incompatible with a Strategy that manages multiple positions (in the same asset). Pull up the Trading Preferences dialog and hit F1 for the documentation for each option.
I can't follow your scenario - you said the account had $10K of X and a strategy buy 100% of one asset. But you didn't specify if the strategy was trading X or what the total value of the account was.
QUOTE:If you configure the sizing to 25%, then it's not investing 100% in one asset. Maybe you just meant that the strategy only trades one asset?
Let's say I have a strategy that just invests 100% in one asset, Y, using Rebalance. And in the strategy monitor I configured it to use 25% of the account's equity value.
In any case, we now know you can't use Rebalance with a live account. Furthermore, both "Always set Exit Order Quantity..." and "Use Live Positions" are both incompatible with a Strategy that manages multiple positions (in the same asset). Pull up the Trading Preferences dialog and hit F1 for the documentation for each option.
Hi Cone,
Thanks for the clarification on Rebalance. Let me clean up my question a bit...
I'm trying to understand how the % of equity sizer works. Lets say my I just started using WL8 and my live account is 100% invested in SPY with a total value of $10K.
If I make a strategy that simulates buy and hold of another asset, say TLT, and configure it with strategy monitor to use 25% of the equity value, will WL8 sell some SPY and result in about $2500 of TLT?
Thanks for the clarification on Rebalance. Let me clean up my question a bit...
I'm trying to understand how the % of equity sizer works. Lets say my I just started using WL8 and my live account is 100% invested in SPY with a total value of $10K.
If I make a strategy that simulates buy and hold of another asset, say TLT, and configure it with strategy monitor to use 25% of the equity value, will WL8 sell some SPY and result in about $2500 of TLT?
Since you' said "live account" again, let's drill this home...
The Backtester uses only the CurrentEquity (a keyword) of the hypothetical backtest. It doesn't see the live account. There are ways to access your live account in the backtest, but let's forget about that right now because again, the Backtester itself does not use it.
Now, if your hypothetical backtest CurrentEquity is $10K and all of that is a position in SPY, then 25% of equity is $2500. A strategy will not automatically sell $2500 worth of SPY to buy that amount of TLT unless you program the strategy to do that.
You need both operations: sell SPY and buy TLT. In a backtest, Market exits are processed first, so that buying power will be available for TLT. In practice, you better have a little margin (as I've mentioned before).
For live trading, that Trading Preference for % of Equity is to size Signals which become new Positions. You can see the effect if you run a strategy that generates signals and change the destination account on the Signals tab. If the accounts have different values, the sizes of the signals will change appropriately.
The Backtester uses only the CurrentEquity (a keyword) of the hypothetical backtest. It doesn't see the live account. There are ways to access your live account in the backtest, but let's forget about that right now because again, the Backtester itself does not use it.
Now, if your hypothetical backtest CurrentEquity is $10K and all of that is a position in SPY, then 25% of equity is $2500. A strategy will not automatically sell $2500 worth of SPY to buy that amount of TLT unless you program the strategy to do that.
You need both operations: sell SPY and buy TLT. In a backtest, Market exits are processed first, so that buying power will be available for TLT. In practice, you better have a little margin (as I've mentioned before).
For live trading, that Trading Preference for % of Equity is to size Signals which become new Positions. You can see the effect if you run a strategy that generates signals and change the destination account on the Signals tab. If the accounts have different values, the sizes of the signals will change appropriately.
OK, so i am (was?) having a hard time understanding the differences between what needs to be coded for live stratagies using the strategy monitor and backtesting those same strats.
I think I get it now. Thanks!
I think I get it now. Thanks!
Great. Now that you've come far, and since you're a programmer, here's an example of how you can get data from your live account from a Strategy: BrokerPosition from a Strategy
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