Problem with Portfolio/Simulator

Problem with Portfolio/Simulator

alienator
2010-06-02 10:11:02

I am noticing that my stop loss does not trigger on the Portfolio. It will hold losing positions even though there stop loss that is supposed to trigger immediately according to the settings in the trading system.

Here is an example:

Symbol: PANL
Exit Type: formula
Is Short: True
Number of Shares: 1560
Position Equity: 21044.4
Last Price: 17.69
Return %: -13.470173187941
Return: -3276
Open Date: 5/28/2010 10:55:40 AM
Open Price: 15.59
Open Signal Date: 5/27/2010 12:00:00 AM
Close Date: 6/1/2010 12:00:00 AM
Close Price: 17.69
Close Signal Date: 1/1/0001 12:00:00 AM
Highest Price: 18.04
Lowest Price: 15.39
MAE: -0.157152020525978
MFE: 0.0128287363694676
Maximum Drawdown: -233.138401559454
Maximum Drawdown %: -14.9447693307343
Open Commissions: 11.36
Close Commissions: 0
Number of Scale-In: 0
Number of Scale-Out: 0
Point Value: 1
Rank (From Long or Short Ranking System): 4
Stop Loss: 4
Stop N-Bars: 14
Stop Profit: 16
Stop Trailing: NaN

QuantShare
2010-06-02 11:56:59

Thank you for reporting this.
It will be fixed in the next release.

In the meantime you can trigger stops by setting the "Past Days" option in the Portfolio to one (1).

alienator
2010-06-09 09:57:28

I also noticed in the simulator that if I put a stop at 4% it wont trigger unless the close of the day is below the stop. In reality the stop should trigger intraday. To get around this I set the stop to trigger of the low is below the stoploss price and trigger the stop immediately. The problem is the sell price the simulator returns is the open price, not the price that the stop was triggered at.

QuantShare
2010-06-09 13:46:14

When you set a stop loss at 4% for example, the simulator will create a sell order for the stock whenever it crosses below that threshold.
If you want to exit the stock exactly at the stop threshold, you must enable the "Active stop immediately" option.

To enable this feature, open the "Update trading system" form; select "Settings" then "Capital".

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