aztrix Veteran  Posts: 116 Joined: 6/16/2004 Location: Sydney, NSW, Australia  User Profile | The problem is that the PortSim buys more shares on entry and/or sells more shares on exit than are actually traded on the exchange for the stock. 😲 Seriously??? This should be classified as a bug IMHO as OT already knows OHLC & V for each share for each day's trade and shouldn't allow the PortSim to buy or sell more shares than were traded on any given day. I appreciate volume traded is volatile and exits may become tricky but realistically we're highly unlikely to trade more than a fraction of the market liquidity anyway. Now much as I'd love to believe that I can move the market 🤑 in reality I just wake up and my coffee is cold. 😆 This might look great for marketing but our strategy testing results are clearly unrealistic and the skewed results could lead to a false sense of security about how good a strategy really is and may ultimately cost us our hard earned $$$ when reality bites. Here is the example I investigated today and it exhibits the entry AND exit bug, FMG (Fortesque Metal Group) on the ASX
That is more than 3 x the market volume traded but if you think that's crazy try this for size. On the exit the following day there was only 44.5 K traded, that's nearly 50 x fewer than PortSim managed to sell, in reality at that rate it would take you ±3 weeks to liquidate the position 🤮 Clearly there is room for improvement … Even if you add a liquidity filter it won't prevent this happening but it certainly makes the results slightly more realistic. I love the PortSim but it needs to be fixed, here are a few fixes/enhancements I'd like to see to bring some reality to the PortSim results: 1. Add a setting for entry exposure to Simulation Settings/Trading Parameters to allow users to control the maximum percentage of any share's daily liquidity they're exposed to e.g. using 1% in the above case would be 6985 shares 2. Exit size <= market volume or exit over 2 or more days if there is insufficient liquidity 3. At the very least if we can't have the features above fix the bug that allows PortSim an entry/exit > liquidity 4. An alternative allocation method based on price would also be a welcome addition e.g. $0.001 - $0.99 1%, $1.00 - $4.99 5%, $5.00 - %9.99 10%, > $10 20% This shouldn't be difficult to implement, all the information required is already there 😋 other than the new enhancement parameters 😁 Has anyone else come across this problem before? I hope this makes sense and the rest of the community get behind this request 🙏🏻🙏🏻🙏🏻 Please find attached the related files Cheers Aztrix [Edited by aztrix on 9/9/2021 10:58 AM]  Attached file : XLS-19 V2 MOC - % of Equity - ASX 300 Trades (FMG).xlsx (9KB - 256 downloads) Attached file : OT21 PortSim Volume FMG 2001-06-14 Entry.JPG (51KB - 259 downloads) Attached file : OT21 PortSim Volume FMG 2001-06-15 Exit.JPG (50KB - 252 downloads) |
