Strategy Monitor vs. Open Strategy
Author: den163
Creation Date: 11/5/2009 12:51 AM
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den163

#1
I'm using WL 5.5 with data from Fidelity on several computers under both Vista and XP Pro. I've written several strategies from rules, backtested them over a 5 year period, and put them in the Strategy Monitor to run against 30 minute data during the trading day. With one exception - no problems at all.

The exception is a strategy written against 30 minute data for the oil services ETF, symbol OIH. I have saved this strategy in both rules and code formats and run them using the Open Strategy function where they generate 53 trades over the past 5 years. Works fine - no problems or exceptions - always get consistent results.

When I put that same code in the Strategy Monitor to run over the same 5 year period, it runs every 30 minutes and produces absolutely nothing - no historical trades; no current alerts. FYI - the 30 minute data is in a data set that is updated nightly using the Data Manager. I have visually inspected that data and fixed some obvious problems with no affect. Also get the same result irrespective of what computer or operating system I use.

I've searched for days trying to figure out why this one strategy will not run properly using the Strategy Monitor and have run out of gas. Any ideas would be greatly appreciated. Thanks!
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Eugene

#2
"53 trades over the past 5 years" is less than 1 trade per month. No wonder that new trading alerts doesn't rush in. Historical trading signals do not have to show up in the SM tool. By the way, does the strategy produce alerts by not using AtClose orders, and which position sizing option is selected?
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den163

#3
The strategy was developed from rules, and generated code has buy or short AtMarket orders. There are no AtClose instructions in the code. Position size is set at $10K(RP), and all strategies run against a paper account.

I realize this is a relatively low volume of orders, and I understand there will be long stretches without alerts. I assume that if a strategy is run using Open Strategy, and exactly the same parameters are provided under the Strategy Monitor, we should get identical, or at least largely identical, results. This is what happens with all other strategies I've run.

My concern is that this is the ONLY strategy I have that produces zero trades over the past five years when using the Strategy Monitor, while exactly the same code and parameters provides over 50 trades using Open Strategy. Makes me doubt the Strategy Monitor would produce an alert when appropriate.

Could you further explain your comment, "Historical trading signals do not have show up in the SM tool." I know the evaluation range can be changed, but is there more to it??

Thanks!
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Eugene

#4
QUOTE:
My concern is that this is the ONLY strategy I have that produces zero trades over the past five years when using the Strategy Monitor,

Forget about those years, think about "today" when working with the SM tool. Take a look in the User Guide on subject. The SM is not a backtesting tool, you should not be seeing any historical of those 50 historical trades for your strategy for those 5 years (or whatever data range was selected). They do not exist in this context, the SM is all about alerts so only new trades is what matters here (when they happen -- approx. once a month).
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Cone

#5
Eugene, the S. Monitor does indicate the number of historical Trades (only). That's probably what den163 is talking about.

QUOTE:
My concern is that this is the ONLY strategy I have that produces zero trades over the past five years
It sounds like something is wrong to me too. Create a support ticket, give us all the information required to duplicate the problem and attach picture or two of the S. Monitor after executing the Strategy and the Strategy's Activation Settings dialog.