+1 888 340 6572
MultiCharts Project Management
previous_open_issue.png
Go to the previous open issue
previous_issue.png
Go to the previous issue (open or closed)
star_faded.png
Please log in to bookmark issues
bug_report_small.png
Open Bug report MC-2352

Money Management Settings in Portfolio Trader do not work when # shares or dollars are specified within a strategy

action_vote_minus_faded.png
2
Votes
action_vote_plus_faded.png
next_issue.png
Go to the next issue (open or closed)
next_open_issue.png
Go to the next open issue
Description

Hi,

I have a portfolio of strategies that I am using in the Portfolio Trader. These strategies all scale into positions with varying numbers of shares based on volatility and other factors. However, I noticed that when you specify trading limits (ie the number of dollars to allocated to a strategy) and do so in the actual strategy code, the money management settings do not work and you can end up trading on margin. That is, you can trade more than your account is worth.

The money management settings do seem to work when you enter the "dollars per trade" in the strategy properties, but not when you set the trading thresholds from within the strategy code.

I believe that this is a critical bug that needs addressed as soon as possible. There is no way to tell that you are exceeding your account equity when you backtest unless you do a substaintial amount of work to calculate it. People like me just assume that the money management settings are doing their job and are not allowing your account equity to be exceeded. So unless this bug is fixed, those that specify the number of shares to be traded within the strategy code, are at risk of over-levering themselves if they are using Portfolio Trader to place trades and to generate accurate portfolio level backtests.

Portfolio Trader is a great tool and I am hopeful that this issue will be addresses as soon as possible.

Thank you!

Steps to reproduce this issue
  1. Apply a strategy that specifies a specific dollar value that the strategy will trade (ie dollars/close = number of shares).
  2. Assuming that you will trade with $100,000 for this strategy
  3. Apply the strategy to a symbol
  4. Clone the strategy 2 times so that you have 3 identical strategies trading the same symbol and firing at the same time, each allocated $100,000 for $300,000 total
  5. Set the money management settings so that your initial capital is $100,000 and Max% Capital at risk per position is 100%
  6. Run the backtest

You will see that all 3 strategies trade at the same time and put $300,000 into the market or 3 times your account value.

To illustrate further - change the Max % of Capital at Risk per position to 2% and rerun the backtest. Again, the backtest is identical to trading $300,000 even though you should be trading a fraction of the shares under this scenerio. You can play with all the settings of the Money Management, and none of them have any effect on the backtest. The money management settings only work when you specify the dollars per trade in the strategy properties.

Comments (0)
There are no comments
History
Issue basics
  • Type of issue
    Bug report
  • Category
    Not determined
  • Targeted for
    Not determined
  • Status
    Under Review
  • Priority
    Not determined
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (0)
There are no items
People involved
Times and dates
  • Posted at
  • Last updated
Issue details
  • Reproducability
    Not determined
Attachments (0)
There is nothing attached to this issue
Commits (0)
There are no code checkins for this issue
Duplicate issues (0)
This issue does not have any duplicates