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                                                   Combine Trading Systems and invest 100% Equity?

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Praveen Baratam
2016-05-05 03:58:22


I have multiple trading systems with different symbols that generate buy and sell signals once every 3-6 months. In all trading systems, long and short categories are merged to allow only one position at a time.

As the signals from these systems hardly ever overlap, I want to know how my Portfolio will perform (Simulate) if I invest 100% of the Equity when ever any of the trading systems generate signals.

Meta-Strategy and Combine TS split the equity among the available systems and simulate the whole thing. I dont want to split my equity but invest the whole into whatever trading system generates signal for that day.



QuantShare
2016-05-06 03:37:47

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You can add this line in the meta-strategy formula to force one position:
SetSimSetting(_NbPositions, 1);



Praveen Baratam
2016-05-06 03:46:18

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Thanks for the response.

I have added the line "SetSimSetting(_NbPositions, 1);" but nothing changed. No trades.

Then added "buy=1; sell = 1;" Now it is buying every day.

I want the Meta-Strategy to invest when any of the trading systems generates a signal (buy/sell) and follow the exit signal of the same trading system for that position.



QuantShare
2016-05-07 04:57:09

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The meta-strategy uses the same logic as the trading system. Please check our blog post. You need to use "buy" in order to generate buy orders.

The volume of your equity curve should store the percentage of capital invested so try this:

buy = volume > 0;
sell = volume == 0;



Praveen Baratam
2016-05-07 15:49:43

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Still not working... When I use the below formula for the Metastrategy... it is showing some trades but not the way it is expected to behave.

Code:

SetSimSetting(_NbPositions, 1);

buy = volume > 0;
sell = volume == 0;



QuantShare
2016-05-09 04:29:03

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The meta-strategy would buy your trading system equity curve, it will not generate individual stock trades.
Then it buys strategy1 then this means that you need to invest in strategy1.

Please check our last blog post about this.

If you need further help regarding this, please contact support by email.



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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.