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ATS

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Shortlandj

Posts: 26

Joined: 12/2/2005
Location: UK

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Subject : ATS
Posted : 12/1/2017 4:30 AM
Post #42741

Hi,

I'm tying to understand a bit more about how ATS works.

Using the 'Reversal' method, in Port Sim, I have set 'Max Longs' to 2. When I run the 'To Do List' I get around 10 new trade signals. Should the focus list reflect the 'Max Longs' setting, or will all the new trades still show up?

In the 'Reversal' method I have changed the 'Percentage of Equity' to 12, but when I enter a trade, under the 'Trade Calculator' it still shows a % of 10. I this a bug?

How does ATS handle a profile with multiple strategies? If the 'Max Long' setting is set to 2, is that 2 new trades per strategy or in total?

Thanks

James
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Barry Cohen

Posts: 5464

Joined: 1/19/2004

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Subject : RE: ATS
Posted : 12/1/2017 4:29 PM
Post #42750 - In reply to #42741

Using the 'Reversal' method, in Port Sim, I have set 'Max Longs' to 2. When I run the 'To Do List' I get around 10 new trade signals. Should the focus list reflect the 'Max Longs' setting, or will all the new trades still show up?


No, the Port Sim methods, with or without ATS, have absolutely no effect on your ToDo List analysis / voteline / signals.

In the 'Reversal' method I have changed the 'Percentage of Equity' to 12, but when I enter a trade, under the 'Trade Calculator' it still shows a % of 10. I this a bug?


The Trade Calculator doesn't work that way. While it does take the Port Sim analysis into account to calculate trade sizes, it doesn't just use the default value specified in that method.

How does ATS handle a profile with multiple strategies? If the 'Max Long' setting is set to 2, is that 2 new trades per strategy or in total?


When Port Sim runs analysis for a method, it chooses trades from your real mode analysis, or all the trades from the voteline (within the specified test period). The Port Sim method typically doesn't take every trade. Consequently, the Performance Report (under File/Reports) does take every trade no matter what.

The Port Sim method will choose trades on an individual strategy or from all strategies. This is a Port Sim setting under Simulation Settings -> Trade Source -> Strategy. Whether you set it to All Strategies or an individual strategy, the Max Long setting doesn't matter. If set to 2, that just means that no more than 2 trades can be taken on one bar/day regardless of the strategy. You will never get 2 separate trades on the same symbol.




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