Portfolio Spread Trading sync problems

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Gregorian
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Portfolio Spread Trading sync problems

Postby Gregorian » 26 Mar 2020

Has anyone had success with the Portfolio Spread Trading strategy (actually two strategies, Master & Slave) supplied by MC with Portfolio Trader? I have experimented with it extensively, and it appears to have a fundamental problem: While backtesting works well and shows how a synthetic spread can work profitably, in forward trading the second leg does not enter and exit at the same time as the primary leg, leading to consistent losses. I have tried CQG, Rithmic, and IQFeed data sources, and several different bar types, but the problem remains the same.

Is there a way to get the second leg to sync properly with the primary leg? As it is now, there is no resemblance between backtesting and forward testing the same spread.

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Anna MultiCharts
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Re: Portfolio Spread Trading sync problems

Postby Anna MultiCharts » 28 Apr 2020

Hello Gregorian,

Thanks to the files that you provided for our analysis by email our engineers were able to analyze your request. Here is what they responded (I also sent the same response for you by email).

It is expected that the Spread Trading strategy behaves differently in backtesting and in realtime.
In backtesting the bars on both instruments are closed at one and the same time. In realtime calculations the bars are closed at different times, because the symbols are not updated and ticks don’t arrive simultaneously in realtime. Which is why achieving absolute synchronization using just this strategy is impossible.

Another reason for the desynchronization is that the position on the broker is not changed instantly. So the slave signal which is based on reading the market position may be calculated earlier than the info about the position change is received.

The signals (Mater and Slave) that are parts of this strategy were introduced for reference and serve as an example of what is possible in MultiCharts.
To make them work synchronously you need to develop and add a PMM signal that will regulate the work of both legs of the strategy.

Introducing this PMM signal was never our plan which is why it was not included into the MultiCharts installer earlier. Still the necessity of it has been reconsidered, and we might create and add one to MultiCharts in future versions.


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