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Obuli Govindaraju
2011-11-30 16:23:51


I am in the process of understanding the Trading system simulator through the formula editor.

First of all I want to say that I wish there is more documentation & help on this part of Quantshare.

Here is a basic question I have.

I have a buy rule that says

buy = rsi(14) > 70;

System Type is Long and No. of positions is set to 5 with 100% capital to invest ($100,000).

However when I run this simulator there is only one trade (even though there were several rsi(14)>70 scenario) for roughly $20,000. Why am I not seeing 5 trades since I have set the no. of positions to 5?




chaz
2011-11-30 17:55:59

  0

Obuli,
Check your setup in Symbols & Dates form (timeframe to use, Period, maybe a symols filter or custom symbol list)
Are you running that test Trading System against all the symbols in your QS DB.
Do you have quotes data loaded in your DB?

Create a Screener with that rule & see how many stocks will be selected that pass the screener.

Hope that may help you,
Chaz



Obuli Govindaraju
2011-11-30 23:04:26

  0

Let me clarify my question.

I just have one buy rule and no sell rule. That buy rule is buy = rsi(14) > 70

and I am running this on just one security QQQ

I have $100,000 to invest with number of positions as 5. Given the timeframe of testing there are multiple entry points that meets the buy criteria. However the simulation just takes one trade as opposed to 5.

Also I changed the % to invest from 20% for 5 positions to 100% for the same 5 positions but it all gives the same result.

Why is that?



QuantShare
2011-12-01 03:50:47

  0

Best Answer
Obuli,

Number of positions = Maximum number of distinct securities in the portfolio (at the same time)

You are running the simulation on just one security and therefore the simulator takes only one position.

If you want to invest 100% on QQQ, then set the "number of positions" field to 1.



Obuli Govindaraju
2011-12-01 11:29:41

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I am going to summarize my understanding

- If I have two positions and the simulation is run on 2 securities then the simulator automatically allocates 50% of capital to each
- At any given point of time one security can have only one open position
- If the no. of positions is set to 5 and it is run on 10 securities then the simulator opens only 5 positions on 5 different securities (which is chosen based on a ranking system)

Anything wrong in my understanding above?



QuantShare
2011-12-02 02:17:05

  0

No. Your understanding is correct.



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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.