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User Profile Recently I ran for the same time period (1/1/14 to 11/2/15) a Portfolio Simulation on OT and an AutoSim on VT using exactly the same symbol set.
Both simulations were no frills using exactly the same Strategy and Trade Plan and employed 10% of Equity (or 10% BP on VT). Total Initial Equity in both OT and VT was $100,000 with 2X Leverage in OT and 50% Margin in VT. Trades taken on OT were alphabetical by symbol and on VT by Forming signals taken in the Opportunity List sort order.
Now I never expected the two to produce the same Equity Curve but I thought they might be close. However they were widely divergent.
Checking the first few trades showed the problem. While the symbols chosen to trade were almost identical, the number of shares purchased were not:
So, even though the methodolgies employed in the two simulations would seem to be the same they are not. It would appear that the VT simulation takes double the shares the OT simulation does. How can I get them to be equal?
Thanks,
Tom Helget
Attached file : Trade Sizes Different.PNG (333KB - 678 downloads) Attached file : Port Sim Settings.PNG (15KB - 683 downloads) Attached file : AutoSim Settings.PNG (32KB - 663 downloads)Posts: 6338
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User Profile I am not so sure we are completely resolved as regards this.
Using the same OT and VT settings I described at the start of this thread I ran a Portfolio Simulation on OT and an AutoSIM on VT.
While it is true that as the AutoSIM in VT runs one can see that now 100% Buying Power is being utilized with the new brokerage.otd file, the results are the same - VT's trades are double in size that of OT as shown below:
This makes for a huge difference in the final resulting statistics and Equity Curve on VT versus OT;
VT AutoSIM:
OT Portfolio Simulation:
Tom Helget
Attached file : VT Takes Double the Shares that OT Does.PNG (396KB - 648 downloads) Attached file : AutoSIM Equity Curve.PNG (52KB - 631 downloads) Attached file : OT Equity Curve.PNG (105KB - 639 downloads)Posts: 6338
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User Profile That just makes things more divergent in the OT Portfolio Simulation:
Tom Helget
Attached file : Percentage of Equity is 20 Percent.PNG (103KB - 634 downloads)Posts: 1543
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User Profile 1X Leverage and 20% Percentage of Equity is the only combination of parameters in the Portfolio Simulation that I could find easily that produces roughly the same number of shares traded and almost the same end result in the Equity Curve (by the way I know it will be a bit different because of the way the trades are selected):
Tom Helget
Attached file : Leverage 1X and Percentage of Equity 20 Works.PNG (141KB - 593 downloads)Posts: 1543
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User Profile OK, I know we are using a custom strategy and Trade Plan and it looks like that might be a source of confusion.
So I opened up the Dow 30 Map that comes with VT. I changed the strategy to IT Steady Trend since it has a Trade Plan and VT Breakout doesn't.
To keep things simple I ran an AutoSim from the first of this year.
I then created a Dow 30 OT Profile and did the same thing in changing the strategy to IT Steady Trend. I then ran a Portfolio Simulation using 10% of Equity and 2X Leverage on the same initial Account Balance of $100,000.
So, what were the results? Well once again VT trades double the shares of OT and since there were only a few trades this can nicely be appreciated:
Tom Helget
Attached file : Trade Size is Double in VT what it is in OT.PNG (213KB - 580 downloads)Posts: 6338
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User Profile Thanks, I think it finally sunk in now:
And, thanks for your patience guiding me through it!
Tom Helget
Attached file : Got It.PNG (274KB - 560 downloads)