OmniTrader Forum OmniTrader Forum
forums calendars search
today this week
 
register logon control panel Forum Rules
You are currently browsing as a guest.
You should logon to access more features
A Self-Moderated Community - ALL MEMBERS, PLEASE READ!
Vote for Members who contribute the most to your trading, and help us moderate content within the Forums.


This message cannot be deleted. It is the first message of the thread.
Administrators or moderators may choose to delete the entire thread


 
SteveL

Veteran
1001002525
Posts: 262

Joined: 8/19/2005
Location: Boulder, CO

User Profile
 
Subject : PortSim %ofEquity w/MoC & ReuseIntradayFunds bug
Posted : 5/8/2019 4:50 PM
Post #46185

There is a bug in PortSim when using this specific combination of settings: 1) MoC entries and exits in your strategies, 2) the "Reuse intraday funds" feature in PortSim, and 3) PortSim’s "All Strategies" setting. With these settings, the trade sort preferentially picks 1-day trades (enter at MoC of day 1 and exit at MoC of day 2), before selecting other possible trades. So, don't believe the Equity Curve that results with those settings.

Below is an impossible equity curve with a bunch of RTM strategies all modified to do MoC enties/exits and reuse intraday funds on the Russell 1000.

Note: There is look-ahead happening in order to preferentially select 1 day trades vs. longer trades. Consequently, there are more trades than there should be (because they are quick) and more likely to be profitable (else they would be in trade longer before reaching the exit criteria).



[Edited by SteveL on 5/8/2019 5:16 PM]

Attached file : 2019-04-12_11-50-50.png (169KB - 619 downloads)

Deleting message 46185 : PortSim %ofEquity w/MoC & ReuseIntradayFunds bug


Nirvana Systems
For any problems or issues please contact our Webmaster at webmaster@nirvsys.com.