Datafeed, Broker, Live Trading, Position Sizing questions
Author: Gamba
Creation Date: 1/26/2012 3:32 PM
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Gamba

#1
Hallo zusammen,

ich hatte mir Wealth-Lab bereits vor einigen Jahren angeschaut, mich damals aber für NinjaTrader entschieden. Hiermit handel ich Futures im Intradaybereich, diskretionär und voll-automatisch. Nun suche ich ergänzend ein Software für den Intraday- und Swingtradingbereich für Aktien (-Portfolios). Mittlerweile in Version 6.2 macht WL weiterhin einen guten Eindruck, aber Antworten auf wichtige Fragen, konnte ich bisher nicht im Detail finden:

- Setzt jemande WL im Live-Handel, voll-automatisch ein?
- Ist damit ein effizienter Portfolio-Handel möglich, oder ist die Software initial nur zum Backtest entwickelt worden?
- Kann ich als deutscher User auch Fidelity als Broker nehmen?
- Welche Broker zum voll-automatischen Handel werden sonst noch supported?
- Tagesdaten werden ja aut. geladen (sehr nett), sind die Daten verlässlich? Werden Splits berücksichtigt?
- Werden Index-Listen aut. aktualisiert?
- Bekomme ich auch Intraday-Daten über einen längeren Zeitraum? Falls ja, bei welchem Anbieter?
- Wie viele User gibt es noch? Die Foren sehen teilweise etwas mager aus und ich will nicht Geld ausgeben, für etwas, dass nicht mehr aktualsiert und supported wird?

Danke erstmal
Gamba
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Eugene

#2
1 - Order automation is possible, but I suggest to check the Wiki FAQ on broker providers for our position.
2 - Portfolio trading can also be performed (Alerts).
3 - Fidelity WLP is available for free to U.S. residents with qualified brokerage accounts at Fidelity (120 trades p.a.) while WLD is the version available to the overseas users.
4 - Not supported altogether in WLD. See the Wiki FAQ: I would like to create a broker adapter for Wealth-Lab Developer 6.
5 - We're no data vendor, our mission is to create connectors (adapters, providers) to the various data feeds that exist out there. Even free feeds are reliable but not every one handles splits automatically; Yahoo! does, for example.
6 - What's an index list? If it's the prepackaged DataSets of Dow 30 et al., yes, they're updated eventually. Otherwise please rephrase.
7 - IQFeed. eSignal in the future.
8 - Not updated and supported? Then your impression is driven by looking at the wrong forums and visiting a totally different website! Wealth-Lab is updated at least two times a year, last major update brought the glorious Combination Strategy feature. The support forums are ever active. Furthermore, we release new Wealth-Lab Extensions every couple of months and update them on a regular basis.
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Gamba

#3
Hi Eugene,

thank you for the fast answers. I looekd at old forums, so activitiy seems to be very poor.
Thank you for getting me in the right direction.

What do you mean with answer to question 1? Does someone or you use Wealth-Lab full
automatically? Is it possible for german users or is it recommended only for testing.

Are there any hints for portfolio-testing, maybe a tutorial for position-priority
and money-management?

Is it possible to set different profit targets? yesterday I only found samples with one
profit target but especially with stocks I want to scale out with half of shares
at PT1 and close the complete position at PT2?

So for intraday order generation as german customer I need for example IQFeed data.
Is it also possible to use Fidelity as non-US customer?

Is Optimization available during trial period? I don't see the tab in my strategy?

Thank for the support. What team-size is behind WL to support it?
How many customers do you you have (US and Non-US)?

Gamba
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Eugene

#4
Hi,
QUOTE:
Does someone or you use Wealth-Lab full automatically?

As the FAQ hints at, it takes a considerable development effort but is possible. For example, Russian brokerage Zerich offers a turnkey solution which includes static and streaming providers and order execution for their customers.
QUOTE:
Is it possible to set different profit targets?

Yes, in both Strategy Builder and of course in C# Strategies.
QUOTE:
I want to scale out with half of shares at PT1 and close the complete position at PT2?

This tutorial might come helpful: WealthScript Techniques | Splitting a Position into Two
QUOTE:
Are there any hints for portfolio-testing, maybe a tutorial for position-priority and money-management?

The User Guide illustrates how to apply position sizing, otherwise your question seems too general. There are dozens of money management methods in our MS123 PosSizer library, plus any motivated developer can program her/his own PosSizers. Not sure what do you mean by a tutorial.
QUOTE:
Is it also possible to use Fidelity as non-US customer?

No.
QUOTE:
Is Optimization available during trial period?

Yes.
QUOTE:
I don't see the tab in my strategy?

It appears after clicking on the bluish Optimize label in each particular Strategy window (makes sense if Strategy parameters were defined). Please look up the User Guide for a how-to.
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Gamba

#5
I read the infos about SplitPosition and wrote some example code.
Am I right that I can only SplitPositions with a MarketOrder after some rules are checked?
So, I cannot set two ProfitTargets right after opening the position?

And another question: Is it possible to set StopLimit-Orders?
I only saw Stops and Limit separately, but I want to get into a position
without an opening gap right at my specific price.



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Eugene

#6
QUOTE:
And another question: Is it possible to set StopLimit-Orders?

STPLMT are possible to imitate but require Community Components: Stop/Limit Orders. Perhaps the original code still exists on the forums.
QUOTE:
Am I right that I can only SplitPositions with a MarketOrder after some rules are checked?

No, why?
QUOTE:
So, I cannot set two ProfitTargets right after opening the position?

You can have as many splits as you like, if I got it right; example --
ActiveTrader 2010-02 | RSI scale-out system Rev.C
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Gamba

#7
The link you posted handles with MarketOrders for Splitting too. I have to try it myself.

Is it possible to get PortfolioEquity during execution or later in the trade overview?
To better understand the position sizers I want to verify the used equity.

For example: I want to start witz $10,000 and use 10% of equity for each position.
I only want to risk 3% (initial $300) per trade. So quantity has to compute in two
ways, to fulfill the thresholds.

For the first trade $1000 maximum risk and $300 loss per position.
After an exit the new equity should be used.

Is this possible with the given PositionSizers? Which should I use?
Or do I have use SetSharesSize in my script? But I read that I am not able
to get the equity in a strategy, so I am able to compute the position
size inside a script ...


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mschneider

#8
Hello, just a short note from another German user:

I have some experience with Consors: With their (officially unsupported) API I get realtime quotes (for less than 50EUR/month) and can execute orders.


Wenn Du Fragen hast sag einfach kurz Bescheid.
matthias
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Eugene

#9
QUOTE:
Is it possible to get PortfolioEquity during execution or later in the trade overview?

For sure it's possible in PosSizers whose turn is after Strategy has completed executing.

It's not recommended to retrieve the equity curve in Strategies (here's a possible "hack": Interacting Dynamically with Portfolio Level Equity)
QUOTE:
Is this possible with the given PositionSizers?

Risking an equity percentage is a built-in option (Max % Risk) but your tweak is of course possible in a custom PosSizer.
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Gamba

#10
Hallo Matthias,

danke für Deine Antwort. Dachte bereits, dass es nur einen User bzw. Supporter
bei Wealth-Lab gibt. Die Antwortzeit von Eugene ist zwar hervorragend, aber
ich wünsche mir doch auch einen regen Austausch mit der Community. Klar,
ich hätte direkt ins englische Forum posten sollen, aber wenn es so etwas
wie ein deutsches Forum schon gibt :-)

Ich suche halt neben NinjaTrader noch eine Portfolio-Software für meine
(automatischen) Aktiensysteme. Wobei ich die Trades auch manuell absetzen
könnte, wie bisher auch, bloß möchte man sich ja alles Möglichkeiten offen lassen.

Darf ich fragen, wie lange und wofür Du WL nutzt? Bist Du zufrieden damit?
Ich finde es sehr interessant, dass es nun .NET basierend ist und es wäre
wohl die ideale Ergänzung zu NT. Wofür war WL denn früher ausgelegt,
eher für das Backtesten oder den aut. Handel?

PNs scheint es ja hier nicht zu geben. Meine Mailadresse wurde auch aus dem Post
gelöscht ... tja, müssen wir halt so kommunizieren ...

Viele Grüße
Holger



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Eugene

#11
Holger, I've moved your topic to a forum with potentially larger audience (Wealth-Lab 101).
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Gamba

#12
How is it possible to set max parallel positions during a portfolio test?

Ok, found it in FAQ: http://www2.wealth-lab.com/WL5Wiki/psPositionOptions.ashx
Am I right, that I can use this PosSize only when I buy the software?

And another question: How can I set an amount of equity for each position
and a maxRiskPercent. For example I want to risk no more than 3% per position
and every position should not exceed an amount of $1000?

@Eugene: I would like to speak with someone who uses WL for some years,
maybe a german user. Is it possible that you send me a contact.
I know that WL is a great tool but I guess that many of the options I need,
will only be available as add-ons, when I buy the software. So I want
to be sure to make the rigth decision.
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Eugene

#13
QUOTE:
I would like to speak with someone who uses WL for some years, maybe a german user. Is it possible that you send me a contact.

Sorry but revealing customers' contact details is impossible as we've always respected their privacy. Likewise, how many customers do we have or how large is our team size are quite irrelevant questions (1/27/2012 2:58 AM).
QUOTE:
So I want to be sure to make the rigth decision.

You're always welcome to post your questions here on the forums but let me kindly ask you not to post email addresses. Thank you for your understanding.
QUOTE:
Am I right, that I can use this PosSize only when I buy the software?

Yes, that's right.
QUOTE:
And another question: How can I set an amount of equity for each position and a maxRiskPercent. For example I want to risk no more than 3% per position and every position should not exceed an amount of $1000?

Although this exact feature isn't available out of the box, that's pretty easy to accomplish in a custom PosSizer by capping the position size provided by the Max % Risk sizing at a certain dollar threshold ($1000).

However, our Position Options PosSizer already has a variation of this feature. When using the Max % Risk sizing, an option appears to limit invested amount to a percentage of equity as shown below:



I think this is even better than a fixed dollar size because it adapts to the current equity value.

On a related note, this PosSizer is already able to reject positions smaller than certain size or force position to some minimum size.
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Gamba

#14
I tried to use the Position Options PosSizer with Max % Risk and Equity Limit.
I expected the following behaviour:

Entry: @100, Stop: @80, Max Risk 5%, Account-Size: 10000, Equity Limit: 10%
=> Shares = 25 cause of Max % Risk limitation but only 10 will be traded cause of 10% of equity

Entry: @100, Stop: @80, Max Risk 5%, Account-Size: 10000, Equity Limit: 5%
=> Shares = 25 cause of Max % Risk limitation but only 5 will be traded cause of 5% of equity

Am I right in understanding this sizing?
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Eugene

#15
Yes, your understanding is correct.
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Gamba

#16
Ok, I tried it with portfolio-mode with 2012.3 Version of WL.
It seems for me that the Equity Limit is not used regardless of setting it to 10%, 5%, or 1%.
The share-size of each symbol in portfolio-mode is the same in every case.

Does it work in portoflio mode, does it work with WL 6.3 version?
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Eugene

#17
As noted in the RiskStopLevel QuickRef entry, your Strategy must be diligent to use the established stop level, if required, to exit the Position for a loss.

Another usage example can be found in the built-in "Channel Breakout VT" Strategy's code.
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Gamba

#18
Yes, nice that you talk about it, I used the "Channel Breakout VT" Strategy for the portfolio test.
Set the timeframe to weekly, set the data-range and configured PosSizer as mentioned above.

I started the test from 2000 - 2009 on Dow30 stocks, with 10% equity, 5% and 1% and get the same results.
Initial equity is 10,000. I know that RiskStopLevel is important and it is set in the strategy.

I tried it again with single-symbol MSFT, same result. The performance and share-size only
changes, when I change Max % Risk, not when I change Equity Limit % ... yes the button is
pressed and activated I guess ...
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Eugene

#19
What you found is a bug. I apologize for the inconvenience. The problem was trapped and a hotfix has just been uploaded. Please update the PosSizer library to the most-recent version (2012.03.1) and restart WLD, then "Equity Limit" will start working.
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Gamba

#20
Ok, thank you, seems to work now.

Another question about the StopLimit-Orders in Community.Components.
I tried it with PositionHelper and so on and hope that the price level
I entered for the postion will executed exactly. But the price-level
differs and is dependant from closing price of the bar before.
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Eugene

#21
That's incorrect, the price is not dependent on the previous bar's closing price.
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Gamba

#22
Ok, that could be, but my given price is not executed exactly and sometimes
there are multiple ticks difference. I tested again with "Channel Breakout VT".

So my question: Should the given pricelevel be executed exactly?
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Eugene

#23
Give me a specific example that includes code, symbol and bar, and your commission/slippage settings.
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Gamba

#24
Eugene, see attached image. I changed "Channel Breakout VT" a little bit, added Community.Components,
added StopLimit-Orders and thought that the price-level was executed exactly. Trade was on 03.08.2005 on MSFT.
Price-Level is High[bar+1] + TickSize, please see code below:

CODE:
Please log in to see this code.



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Eugene

#25
Our stop/limit order workaround is based on AtLimit orders for which the actual entry price is the Limit price or the bar's Open price, whichever is lower (for buys, or higher for short sales). This is what happened on 03.08.2005.
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Gamba

#26
Ok, thank you. So there is no possibility to exactly get simulate a fill on a given price?
I thought this is the job of stop/limit oders ...

Am I able to change the code in Community.Components by myself. It should be easy to check
if a given price level is reached, and than that should be taken exactly ...
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Eugene

#27
The solution is open source and can be obtained by entitled accounts after logging in to the Wiki.