Forcing strategy refresh?
Author: heech
Creation Date: 10/29/2008 10:36 AM
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heech

#1
Hi there,

This is a bit of a newb question, so apologies in advance, and let me know if I should just RTFM.

My strategy includes some hedging/exit conditions, and is currently set to auto-trade on 60 minute bars. But what if I know there's some macroeconomic condition (say, the fed decision later this afternoon) that will happen in between these 60 minute bars... and I want to manually be able "fire" the strategy and force a bar immediately? Having a non-"linear" bar in there doesn't affect my strategy, so that's not a consideration. I just want it to look over a situation and decide if I should be getting out.

Thanks in advance.
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Cone

#2
WL won't process a partial bar, so even if you click "Go" the strategy will generate alerts only on the complete bars up to that point.

Could the case be that you really want the strategy to be using stops?
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heech

#3
Cone,

It's actually a multi-symbol strategy, so I'm not convinced stops will be enough. I really want to take a look at the situation "right now" at select moments, but not too frequently that I'm over-trading + over-fitting.

I guess my only solution is to create multiple copies of the same strategy/parameter, with different time frames. And only activate the "act now" strategy when that black swan strikes.
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Cone

#4
By definition, you can't predict a Black Swann, but if the Strategy is based on 60-minute bars, then it shouldn't produce new signals until a new bar arrives - no matter what the interval.

What's the problem with putting out stop orders for multiple positions? Although stop and limit orders are placed upon strategy execution at the end of an interval, the orders will "execute" at any time between intervals.
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heech

#5
Cone,

I wanted to make a trading decision based on looking at multiple symbols, not just stop out of multiple positions simultaneously... I don't think the stop approach will work. I'll think about it.
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Cone

#6
It's too difficult to talk generally about your custom logic without really knowing what you're trying to accomplish but it sounds as if you want to make a discretionary trading decision by reviewing multiple symbols. So in this case you need to be processing all the external symbols in single instance of the script anyway - and add a lot of complex logic for your "black swann" event.