Hi,
Am I right in assuming that if a have two strategies running on the same instrument then:
A signal to short 2 contracts, if currently long 4 contracts from another strategy, will result in being short 2 contracts rather than being long 2 and closing out my 4 lot long position? In other words, the equivalent of selling 6 lots when my literal intentions was to sell just 2?
It is my intention to have signals generate completely independent orders when live. Ie How can I create a combined equity curve of the first strategy on one chart and the second strategy applied to another chart?
When live using two different charts with the same symbols and different strategies: If long 4 contracts for strategy 1, if strategy 2 signals to go short 2 contracts will the result be:
a) Net long 2 contracts (desired outcome)?
b) Net short 2 contracts having closed out my other long position?
if the result is "b)" then what are the work arounds?
Thanks!
Stacking strategies and NOT cutting and reversing [SOLVED]
Re: Stacking strategies and NOT cutting and reversing
I think I may have solved this but please feel free to comment:
If I run separate chart strategies in AA mode I can see that I can be long and short at the same time in the same instrument with the desired net position.
Obviously AA mode runs the risk of an async event. However, I've coded a global variable driven indicator with alerts that detect such an event.
Am I right in saying that running in SA mode doesn't permit begin long and short at the same time?
Also, I've tried using the portfolio optimizer to visualize a combined equity curve for two strats on one instrument but I can't get the signals to function completely independently of each other. Any other suggestions to achieve this. Is it possible to create a second version of the instrument somehow and code the strategies to only run on respective versions of the data? I have already tried to do this but with no joy (can't create a second version of the instrument).
If I run separate chart strategies in AA mode I can see that I can be long and short at the same time in the same instrument with the desired net position.
Obviously AA mode runs the risk of an async event. However, I've coded a global variable driven indicator with alerts that detect such an event.
Am I right in saying that running in SA mode doesn't permit begin long and short at the same time?
Also, I've tried using the portfolio optimizer to visualize a combined equity curve for two strats on one instrument but I can't get the signals to function completely independently of each other. Any other suggestions to achieve this. Is it possible to create a second version of the instrument somehow and code the strategies to only run on respective versions of the data? I have already tried to do this but with no joy (can't create a second version of the instrument).
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Re: Stacking strategies and NOT cutting and reversing [SOLVED]
Hello wilkinsw,
Here is how trading from multiple charts on the same instrument works.
a) Net long 2 contracts (desired outcome)When live using two different charts with the same symbols and different strategies: If long 4 contracts for strategy 1, if strategy 2 signals to go short 2 contracts will the result be:
Here is how trading from multiple charts on the same instrument works.
There is no such limitation.Am I right in saying that running in SA mode doesn't permit begin long and short at the same time?
You do not need to create a second version of the instrument. You need to create two strategies in Portfolio Backtester strategy tree using the same instrument.Also, I've tried using the portfolio optimizer to visualize a combined equity curve for two strats on one instrument but I can't get the signals to function completely independently of each other. Any other suggestions to achieve this. Is it possible to create a second version of the instrument somehow and code the strategies to only run on respective versions of the data? I have already tried to do this but with no joy (can't create a second version of the instrument).
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