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OmniTrader 2019 Technical Support
PortSim %ofEquity w/MoC & ReuseIntradayFunds bug
5 replies, 1234 viewings
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OmniTrader Archives
OmniTrader 2019 Technical Support
PortSim %ofEquity w/MoC & ReuseIntradayFunds bug
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Last Activity 6/11/2020 8:44 AM 5 replies, 1234 viewings |
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SteveL Veteran   Posts: 262 Joined: 8/19/2005 Location: Boulder, CO  User Profile |
Below is an impossible equity curve with a bunch of RTM strategies all modified to do MoC enties/exits and reuse intraday funds on the Russell 1000. Note: There is look-ahead happening in order to preferentially select 1 day trades vs. longer trades. Consequently, there are more trades than there should be (because they are quick) and more likely to be profitable (else they would be in trade longer before reaching the exit criteria). [Edited by SteveL on 5/8/2019 5:16 PM]  Attached file : 2019-04-12_11-50-50.png (169KB - 540 downloads) | ||
| Buffalo Bill Legend  Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
Did you see the same thing using MOO & reuse OR MOC and deselect reuse? I am wondering how PS will act if you use MOO for entries and MOO for Fixed-loss type exits BUT MOC exits for things like fixed profit/SMA stops? Will it calc the right exit levels on the right days? IOW I am sure the MOO entry/exits will be OK, but will the MOC exits be on the correct day? If you run to-do list each night you get entries (MOO next day), maybe hit a Fixed Loss stop (MOO next day) and maybe hit an SMA or fixed profit stop but those are MOC - will it use the MOC C value for the next day in it's calc? Or the exact value (The fixed profit value let's say) or even worse the PREV day's C? Anyone? barry? [Edited by Buffalo Bill on 5/8/2019 9:16 PM] | ||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
Barry has submitted the problem to development. It's queued up behind other stuff. Barry nailed down the specific conditions necessary to cause the problem. It is the MoC exit with ReuseIntradayFunds that is the necessary combination to trigger this problem when using the PortSim sort, rather than an ATM sort. NOTE: Barry just specified "MoC" being a necessary condition. I believe it is the exit that is the issue. So, I assume that it is "MoC Exit" that is the condition. But I suppose "MoC entry" might be a factor. I have not experimented with MOO entry and MoC exit, so I don't know what that would do. In fact, I don't think you can simulate a MOO entry and MOC exit on the same day. The way I discovered this was looking at the PortSim trade report, and noticed that many of the trades were exiting the next day (almost always with a profit) in alphabetic order. And if there were still funds available, then longer than 1-day-trades were listed in a second alphabetic ordered grouping. That is, the set of trades entered on any particular day comprised two groups - 1-day-trades, and then longer trades. My point is that you should study your trade report to make sure it is sorted the way you think it should be. | ||
| Buffalo Bill Legend Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
Sounds like there might be issues with MOC orders and ATM. Like you, I use MOC - this is a problem | ||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
I don't think this problem occurs with ATM when using market states and trade ranking. Barry's pretty sure it's tied to the original PortSim ranking process. I think you and a few others use MoC, so I thought it important to raise a flag so that you could look closely at your PortSim results until the problem is fixed. | ||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
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