Margin Factor Suggestion
Author: DartboardTrader
Creation Date: 2/26/2013 12:02 PM
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DartboardTrader

#1
Similar to the portfolio simulation parameter "Margin Factor", system authors need an automated means to cancel trades that would otherwise go beyond the desired margin exposure. I have no means to cancel signals intra-day currently. I also have no means to control the margin factor currently, so my strategy backetested with a 1.25 margin factor is now exposed to 60% too much exposure with the default 2.0 margin factor.

A Margin Factor parameter is critical for strategies using larger amounts of limit orders that, if all filled, would go beyond the desired margin exposure.

Other things to consider..

Any modification to the Margin Factor parameter for a system would require an X-day notification to subscribers of such change.

Intra-day, if too many limits would fill, due to market conditions, then any additional 'opened' positions must be closed automatically by a follow-up signal to subscribers.
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Eugene

#2
QUOTE:
so my strategy backetested with a 1.25 margin factor is now exposed to 60% too much exposure with the default 2.0 margin factor.

Not sure what do you mean. Your WS account has a 1.25 margin factor.
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Cone

#3
Hi -
In reality the default margin factor is 1:1 at the moment. We've been assigning a margin factor manually after reviewing the strategy backtests. We assigned 1.25 to yours because you stated this in your system description. In the near future, authors will be able to configure margin (between 1 and 2).
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DartboardTrader

#4
Good to know, it was not stated where/how the margin factor was applied or when the 'review' of the backtest takes place. Reading/interpreting this value and applying it based on the system description introduces human error. Consider making this system developer configurable via the web interface or WealthSignals interface in WLP.
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Cone

#5
QUOTE:
In the near future, authors will be able to configure margin (between 1 and 2).


Indeed, we have more than considered it. The current process is just a stop-gap measure.