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SJ

Member
25
Posts: 49

Joined: 9/28/2012
Location: Olathe, KS

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Subject : ATM PortSim taking multiple concurrent positions
Posted : 3/10/2023 11:10 AM
Post #48807
I am testing an ATM Method using multiple versions of a strategy with a Debit Spread Tradeplan. Each strategy is assigned to a different market state. All market states are identical (no criteria) and ATM is set for concurrent market states, top-down selection process. The best performing strategy version is placed in the top market state and worst performing in the bottom state.

The problem is that some symbols are being allocated twice, once for each market state strategy. This is typically on consecutive days depending on how the strategies fire. Here is an example:


The second thing I've encountered is only one half of the spread showing as filled. I have no clue why this might happen. I thought it might be a glitch related to bumping up against available equity, but allocation was not even close to that at any point.


I've just started to live trade this method to a GXPaper account to see how it works and I had a position in ENPH from yesterday. Today ATM selected this symbol again under a different strategy as described above. However, AutoTrade did not (could not, I presume) take the additional position. You can see the fresh AT trade signal even though I am already in ENPH.


So this is not an issue for live trading but clearly can skew PortSim results. Any ideas on how to address these issues? Is this a bug we can get fixed?

[Edited by SJ on 3/10/2023 11:22 AM]
Attached file : Double order.png (48KB - 293 downloads)
Attached file : Repeat ATM Trade.png (2KB - 293 downloads)
Attached file : Double order and Missing Leg.png (31KB - 263 downloads)

Deleting message 48807 : ATM PortSim taking multiple concurrent positions


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