Portfolio_Rotation Question

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scuba
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Portfolio_Rotation Question

Postby scuba » 06 Sep 2015

Hi All:

I'm testing out the "Portfolio_Rotation" strategy and Money Management example code.

One Question: Do I leave the "Money Management Signal" blank underneath "Portfolio Settings" in Portfolio Trader?

If not, what goes there?

Thanks,
Scuba

scuba
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Re: Portfolio_Rotation Question

Postby scuba » 09 Sep 2015

So just to post an update... I'm hoping someone more experienced can help out:-)

I've tried using my money management signal in both places now (under the Portfolio Tree/Signal Strategy and in the Money Management signal box under Portfolio Settings), here are my observations:

1. For about one-half of the trading period the trades are identical between cases (number of shares, entry/exit prices, profit, etc... are identical)
2. Then the results begin to vary. (Note EVERYTHING between cases is identical except for the location of the Money Management code.

The system results diverge. Given there are Portfolio capital values affecting the stops and profit targets, that behavior is understandable. BUT what I can't explain is why one particular trade changes between cases with the different placement of the MM signal.

Is this due to my misapplying the Money Management signal or should entering it in either place get the same results?

scuba

scuba
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Re: Portfolio_Rotation Question

Postby scuba » 12 Sep 2015

Just to be clear, a picture is worth a thousand words...
attached is a screen shot

I've run my simple rotation strategy now just trading one contract to take out any effects from changes to portfolio value (which caused some variation between cases- but not all).

In comparing the two cases (with the exact same strategy and MM_strategy) I still get several different trade signals when I move the Money Management Signal to: Portfolio Tree or Portfolio Settings.

When the GG 10184_MM (my money management signal) is placed in the Portfolio Tree, I get a about 5% of the trades ending without an immediate reentry into another ETF?

When the MM Signal is stored in Portfolio Settings, this behavior seems to go away.

See attached, where I show the MM Signal in both locations.

Any help or suggestions would be appreciated, and yes I've read through the Wiki, etc....

Scuba
Attachments
MMS.png
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Henry MultiСharts
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Re: Portfolio_Rotation Question

Postby Henry MultiСharts » 22 Sep 2015

Hello scuba,

You need to apply the prebuilt "Portfolio_Rotation" signal as the trading signal to your strategy.
"Portfolio_Rotation_MM" signal is the Money Management signal for Portfolio Trader.


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