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OmniTrader 2013 Technical Support
Trade Calculator Bug
24 replies, 2973 viewings
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OmniTrader Archives
OmniTrader 2013 Technical Support
Trade Calculator Bug
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Last Activity 9/16/2017 11:23 AM 24 replies, 2973 viewings |
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Vinay Elite    Posts: 640 Joined: 12/9/2011 Location: Planet Earth  User Profile |
Floating Back Test period: 200 days Floating Forward Test period: 0 days Optimize on Monthly boundaries. DO: On Starting Equity: 10,000,000 Leverage: 2 Allocation Methods Enabled (No optimization) Fixed $ Amount: 1,000,000 % of Equity: 10% Fixed Risk: 2% (Fixed Loss Level: 2.5) The price of the Stock in this example is 20.95 and ATR is 1.46. Now the problem is that when in "Test Period" Tab of PortSim I select Forward (which gives no PortSim results since it is configured at 0) I get the correct quantities in the Trade Calculator (47700, 47700, 53100 respectively) BUT when I select "Backtest" or "Both" in the Test Period Tab, the Trade Calculator shows 0 quantities for all the 3 methods. | ||
| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
Fixed $ Amount: 47700,47700,47700 % of Equity: 42500,47700,47700 Fixed Risk: 12100,41500,53100 for the Back Test, Forward Test & Both "Test Periods" respectively. | ||
| Jim Dean Sage   Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
[Edited by Jim Dean on 9/6/2013 5:23 AM] | ||
| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
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| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
The fact that the percent equity sizing changes in the portsim output when you change the BT and FT inputs, with DO active, is not surprising. I guess I'm missing what the steps are that you are taking to tie all this in to the Trade Calculator. Normally when people talk about TC they are referring to sizes being generated for trades at the HRE. Sorry for being so dense here - maybe you could explain more pecificly what the procedure you are using to get the numbers you are posting (ie the specific steps), and, what you'd left the numbers to be and why. Or, not. Maybe I should have stayed out of this thread since it did seem sort if unclear to me. There are a lot of folks who misunderstand how DO works - that's why I provided a comment about it. | ||
| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
So what I want is the Trade Calculator to return the quantity of shares based on the criteria I mentioned before. I know that the Test Settings which I have will give me Performance Report & Equity Curves, which has no relevance, but that is not a concern for me. I just want to know the quantity of shares. That's all. | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
It is hard to follow what you are saying since you've posted no snapshots and no strategy. No one can duplicate what you are doing, as a result. So far you mentioned nothing about using Trade Calculator at the HRE to determine a trade size. Rather, if I'm understanding your post properly, you've listed three (why just 3?) trade sizes that presumably were generated by the PortSim run. So, maybe the problem is with PortSim, rather than the HRE trade calculator tool? If you actually place a (paper) trade in Real (not portsim) mode at the HRE (ie dropping a chevron or clicking an enger trade button) what position size is the Trade Calculator (not portSim) giving, with what settings? And, what do you think the size is supposed to be? And hey - Barry or anyone else - if someone understands this better than I, as to what is the problem being reported, please chime in! My guess is that the issue is with how PortSim is calculating sizes, rather than an instance of the Trade Calculator at the HRE calculating sizes. Or, maybe it's both - but so far it appears that only PortSim numbers are being discussed. Remember - PortSim works with a different Equity starting point than Trade Calculator does (at the HRE). [Edited by Jim Dean on 9/6/2013 6:52 AM] | ||
| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
After testing I found these three allocation methods to be good and which I understand, so I enabled only these three methods. | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
But where did the NINE values in your 9/5 12:59 #28756 post come from? (Three sets of three) - that's what threw me off, thinking you were working with PS, along with discussions of BackTest and forward testing and DO. The BT and FT and DO (should) have nothing to do with the Trade Calculator at the HRE. They have a lot to do with stats and PortSim. The TC at the HRE uses the method you specify, with the current Account equity that is active (nothing to do with BT FT or PortSim) to calc the size of a new trade at the HRE. Although the TC uses some similar algorithms that PS does, and quite possibly they share some subroutines - they are two different tools. [Edited by Jim Dean on 9/6/2013 7:28 AM] | ||
| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
To my mind this is a bug which needs to be fixed. | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
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| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
In the ToDoList/Test Settings: Floating Back Test period: 200 days Floating Forward Test period: 0 days Optimize on Monthly boundaries. DO: On Run ToDoList then go to PortSim. In the PortSim (The figures are same in the Portfolio Account in the Real Mode): Account Settings: Starting Equity: 10,000,000 Leverage: 2 Advisor Cutoff: 50% Trading Parameters: Max Allocation: 20% Min Shares: 100 Trade in Increments of: 100 Rest of the options are unchecked. Test Period: Try different settings and see the different results in Trade Calculator. Simulation Constraints: None Trade Selection: Symbol Allocation Methods Enabled (No optimization) Fixed $ Amount: 1,000,000 % of Equity: 10% Fixed Risk: 2% (Fixed Loss Level: 2.5) Now Run Analysis in PortSim and return to Real Mode and use Trade Calculator to reproduce the problem I mentioned. Thank you for your patience. [Edited by Vinay on 9/6/2013 8:49 AM] | ||
| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
It appears that the Trade Calculator quantities are somehow getting affected by the "Test Settings" in the ToDoList and "Test Period" in the Portfolio Simulation Settings. Moreover Fixed Risk is the most affected and Fixed $ Amount is the least affected method. [Edited by Vinay on 9/6/2013 9:09 AM] | ||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
Your bug sounds like, or related, to the problem that I found and reported in this thread http://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=6199. I don't know what the current status is. Hi Barry, In that thread, you indicated you had recreated the problem, and reported it. Any status? Steve | ||
| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
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| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
Succinctly, the issue is that BT/FT/DO settings are affecting HRE Trade Calc sizing, and logically they should not. Correct? | ||
| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
Among the 3 methods I mentioned earlier, Fixed Risk is most sensitive and Fixed $ Amount is the least sensitive to these changes. | ||
| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
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| Barry Cohen Sage  Posts: 6338 Joined: 1/19/2004 User Profile |
I used a new profile with the Dow30, default strategies & the settings you provided. FYI, you can leave DO off as it only gets activated when you're using an optimized strategy coupled with a forward test period. | ||
| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
One thing I also noticed is that these wrong quantities are always much less and never more than the correct quantities. | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
[Edited by Jim Dean on 2/4/2014 7:19 AM] | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
1. That helps Barry and the devel's a lot to diagnose the problem 2. It means that TC is not "completely broken" at all 3. The prob could be related to DO being on but nothing active in the Strat for it to work on DO is a powerful tool but is is very complex to implement and very exhausting for the CPU. So, unless it's being used, it's just prudent to leave it turned off. It might help for you to post once again, recapping whatever problems you are seeing and settings you are using, with DO turned OFF, and with statistically relevant numbers of periods in BT and FT zones. If you use very small numbers like 50, there may be zero trades for a given stock - that can produce misleading results. It's alarming to see phrases like "completely broken". Qualifiers help. | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
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| Vinay Elite Posts: 640 Joined: 12/9/2011 Location: Planet Earth User Profile |
I am not getting correct Trade Quantities even when "DO" is turned off. The Trade Calculator, for example simply needs to take the % rate (in case of % of Equity Method) and apply that to the Equity as shown by the Portfolio Manager to arrive at the quantity. I can't see where the backtest/forwardtest and "DO" comes into picture here? You mentioned earlier that "no PS or analysis-testing inputs should affect the workings of Chevron-based TC at the HRE", and the problem which I have been facing is happening exactly there only. [Edited by Vinay on 2/4/2014 8:38 AM] | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
My recent postings were to try to get clarification about what the "minimal" triggering circumstances are that create the result, in an attempt to provide more focused info to help speed along a fix ... the more narrow the focus, the faster the debugging (generally speaking). Also, trying to get a handle on how "thoroughly broken" the TC is ... that is, under what circumstances is it working OK for you? If my posts are not helping, I'll be quiet. |
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