ActiveTrader 2010-02 | RSI scale-out system [Rev.C]: Positions are inconsistent
Author: pubx101
Creation Date: 3/8/2018 3:15 AM
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I back tested strategy 'ActiveTrader 2010-02 | RSI scale-out system (Rev.C)' (without any changes) on DataSet 'S&P 500' with same start date and DIFFERENT end date, and found inconsistent results:

1. Set Start date 1/1/2017, end date 2/22/2018 (Fig Pos0222), at the end there is a position:

Long KIM 601 1/30/2018 .... Open

2. Set Start date 1/1/2017, end date 3/07/2018 (Fig Pos0307), and Position are different on 2/22/2018 now:

Long KIM 201 1/30/2018 .... 2/21/2018
Long FMC 36 1/24/2018 .... 2/26/2018
Long MET 67 2/1/2018 .... 2/26/2018
Long WMT 144 3/2/2018 .. OPEN

I don't think it is because of the strategy itself since I see this with different strategies.

Where are positions on FMC and MET from since they are not in the first test result list ?
Will it be the same if we run strategies in 'Strategy Monitor' at different dates?
What can I do to run the strategy to generate consistent results ?

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Clearly, the KIM trade in the 2nd run took the entire available cash. As the position size has almost tripled there was no room for the other trades.

I'd suggest to not use 100% equity with this system in a multi-symbol backtest. This prevents it from being able to scale out (up to 4 positions), effectively turning it into a single-position system. Notice how much greater is "Trades not included due to insufficient simulated capital" than the number of trades included (on the Trades tab).

For ideas and workarounds please review this FAQ: I'm using 100% Equity position sizing and strategy doesn't seem to use all capital and/or there are trades not included due to insufficient capital
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I tried with the overloading function, it works now. thank you.

Why the strategy doesn't scale out in 100% position? I should be able to invest all money on one stock and scale it out in 4 sales. (I have multiple datasets so the risk is reduced).
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I should be able to invest all money on one stock and scale it out in 4 sales.

And this usually happens in a single-symbol backtest.
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I found another thing can't explain myself. I did same tests (with end date on 2/22 and 3/7 on SP500) and compared the results:

Last trade on 2/22,
Long AAPL 19 buy on 2/5/2018 ... sell on 2/14/2018

Last trade on on 3/7
Long MET 66 buy on 2/1/2018 .... sell on 2/26/2018

I tested with end date from 2/4 - 3/7: the last trade is AAPL with end date from 2/20 - 2/22 and the rest is MET.

What is the reason that the strategy had different results on different dates? Does WLP use look-forward method to adjust positions for better performance?

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At the risk of repeating, the reason is explained in my reply #2 above (last paragraph). Please refer to the FAQ / User Guide.

P.S. Something you might want to have a look at with regard to this system: RSI scale out system (Rev.C) in simulation mode
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I understand that positions will be different with insufficient capital, but this is different case: the strategy picks different trades on the same (or close) trade date when you test with different end date. please check the screen shots I attached, the last trade AAPL vs MET in the screenshots.
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This might have to do with synchronization of external symbol data.