Adjusting trade volume in OOS and for new susbscribers?
Author: BigReturns
Creation Date: 1/6/2014 1:42 AM
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BigReturns

#1
I uploaded 7 years worth of sample data and just now published signals for the strategy. I noticed the share volumes for each stock signal published are based on my run at 7 years. Buying that number of shares wouldn't make much sense for a new subscriber at a starting portfolio at 50K.

Are the share volumes adjusted based the starting portfolio for the out-of-sample data gathering? Are the then adjusted again for a new subscriber based on their specific starting portfolio value or as the author, am I supposed to start my WL strategy so the first trade is at $50K and publish off that?

(For example, a signal says to buy 2,000 shares of NFLX at market ($363) for a total of $726K. That wouldn't be possible in the out-of-sample or for any subscribers.)

I'm sorry if this is been asked already...
-BR
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Eugene

#2
QUOTE:
Are the then adjusted again for a new subscriber based on their specific starting portfolio value

No worries. The share volumes are adjusted based on an adjustment factor that is applied on a subscriber basis depending on the starting capital value they've specified when subscribing.

QUOTE:
am I supposed to start my WL strategy so the first trade is at $50K and publish off that?

Yes, you need to publish signals based on $50000 starting capital.
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BigReturns

#3
Eugene, I was up late last night and I totally messed up my question from last night. (By the way, your up late as well lol)

Yes, I should keep the starting portfolio at $50K - I understood that. What I really meant, is should we adjust the timing of the system so the first trade starts today based on the 50K for OOS (out-of-sample).

I think you have answered this indirectly, but I thought I would make sure.
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Cone

#4
Right. The following technique works well to anchor the starting date, while allowing you to load plenty of seed data....

CODE:
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BigReturns

#5
That is a great way to anchor this. Never thought of that and it makes a lot of sense.