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How Conditions in Strategy Lab affect the Strategy
Last Activity 6/10/2024 12:04 PM
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FJeffreyMartin

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Subject : How Conditions in Strategy Lab affect the Strategy
Posted : 4/9/2016 6:34 PM
Post #35795

In Strategy Lab, what happens when the condition is “True” and either or both “Enter Positions” and “Close Positions” are checked? Conversly, what happens if the condition is false?
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Mark Holstius

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Subject : RE: How Conditions in Strategy Lab affect the Stra
Posted : 4/9/2016 7:17 PM
Post #35796 - In reply to #35795

There are a couple of important points in using the conditions...

If you choose "Enter Position":
The condition needs to be False except when you want to allow a trade.
When it goes true, if there's a trade already in progress it enters it the morning after the condition went true (could be a number of days after the trade was signaled & would've originally entered)
If there's no trade in progress and the condition stays true for a while, it allows the trade to enter when the strategy triggers an entry while the condition is true.
In both those cases, if you haven't checked "Close Positions", the trade will exit whenever the tradeplan signals an exit (the condition can go False and the trade continues to its normal exit).
If it never goes true, you never enter a trade.

If you check "Close Positions":
You want the condition to normally be True so that the normal Strategy trades take place - but when your condition goes False, then the trade will exit early at that point (next morning in OV) and not wait for a normal Strategy exit.
The condition would have to go back to True to allow any additional trades according to the normal Strategy behavior.

Having both checked gets into "deep weeds" as you have to really think about the process and use some fancy nested Boolean logic to make it work the way you want...

Hope that helps,
Mark



[Edited by Mark Holstius on 4/9/2016 7:28 PM]

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John W

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Subject : RE: How Conditions in Strategy Lab affect the Stra
Posted : 4/9/2016 8:29 PM
Post #35797 - In reply to #35795

Also think carefully about choosing either "Specific Symbol" or "Strategy Equity Curve".

Specific Symbol - Let's say you have a condition such as an MA running on a broad market indicator like the $SPX. If the condition is +ve you may want to enter trades long or exit trades short. If the condition is -ve you may want to enter short and close longs.

SEC - If the condition is positive (your equity is growing) you may want enter for both long and short alternatives. If equity is falling then both long and short could trigger an exit.


SYMBOL ENTER EXIT
LONG + -
SHORT - +

SEC ENTER EXIT
LONG + -
SHORT + -
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Jim Dean

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Subject : RE: How Conditions in Strategy Lab affect the Stra
Posted : 4/9/2016 8:34 PM
Post #35798 - In reply to #35797

Formulae based on OVest trategy equity curves are to be avoided due to glitches in the internal calcs, UNLESS the strategy fires LOTS of signals and has few extended out-of-trade periods. Portfolio equity curves are more reliable. Very extensive discussion and proofs were given a long time ago.
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FJeffreyMartin

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Subject : RE: How Conditions in Strategy Lab affect the Stra
Posted : 4/11/2016 2:01 PM
Post #35802 - In reply to #35796

Thank you Mark. I'm coming up to speed and this was very helpful.
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FJeffreyMartin

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Subject : RE: How Conditions in Strategy Lab affect the Stra
Posted : 4/11/2016 2:08 PM
Post #35803 - In reply to #35797

John, I think you have framed this perfectly. I'm looking at the case where my strategies fire infrequently. I worry that a condition that depends on near term history may not have enough data to reliably signal the turn off the strategy. I think this might be what Jim Dean was referring to.
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Diamondjag

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Subject : RE: How Conditions in Strategy Lab affect the Stra
Posted : 8/29/2016 3:25 PM
Post #36344 - In reply to #35803

Not 100% clear on this regarding long or short orders. Let's say you're in some long and short positions running a Condition on the SPY, i.e. the Classic Trend condition is true with the SPY close greater than the 55 and 250 EMA's. If that Condition becomes false, will OV get out of all long AND short positions? You probably wouldn't want to exit the shorts.

Maybe to put it simpler...do the Condition Changes take into consideration the direction of the trade (Long or Short)? or do they just get into and out of all trades, regardless of direction?
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Barry Cohen

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Subject : RE: How Conditions in Strategy Lab affect the Stra
Posted : 8/29/2016 3:36 PM
Post #36345 - In reply to #36344

All trades regardless of direction for that specific strategy.
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Jim Dean

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Subject : RE: How Conditions in Strategy Lab affect the Stra
Posted : 8/29/2016 3:36 PM
Post #36346 - In reply to #36344

Hi Dave

As I understand it, there is only one filter that you can specify, which applies to all trades of that custom strategy.

If you want to trade a given system+list with long and short using different filters, then you should create two diff custom strat's, each with appropriate filters.

That is, imho, normally you would not use "both" mode with any meaningful filter formula.

[Edited by Jim Dean on 8/29/2016 3:38 PM]

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Diamondjag

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Subject : RE: How Conditions in Strategy Lab affect the Stra
Posted : 8/29/2016 4:08 PM
Post #36348 - In reply to #36346

Barry, Thanks for the quick response. I kind of figured that would be the answer. Needed to find out for sure.

Jim, Thanks for the idea to use two separate strategies for long and short.
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