Calculation mechanism Portfolio Money Management Signal

stefano84 · Postby **stefano84** » 15 Nov 2015

I'm trying Portfolio_Rotation Signal and Signal Portfolio_Rotation_MM.

I have noticed that Portfolio_Rotation_MM signal skips entries of the strategy.
I do not understand why.

If I do run only the Portfolio Rotation Signal no bars is skipped.
Using as evidence:

Code: Select all

buy ("LE") next bar at Open;

if marketposition <> 0 then sell this bar at close;

For every bar and every symbol generates an input signal and output. (275 bar * 100 symbols) image attached.

Portfolio_Rotation Signal.png: (182.82 KiB) Downloaded 326 times

Adding Portfolio_Rotation_MM Signal I expect that for each bar daily are bought the 10 best. As attached image instead some days the system buys less than 10 symbols. On 15 October 2014, for example, the system buys only 6 symbols.

Portfolio_Rotation_MM Signal.png: (213.01 KiB) Downloaded 329 times

I do not understand why? is this a bug?