Hello,
I am trying to implement an automated trade with the following requirements:
1. i use three stock strategies simultaneously.
2. each strategy has about 400 stocks in its selection.
3. a stock can appear in several strategies, so I monitor about 800 different stocks.
4. I want to trade these stocks just before the close of trading.
5. Each strategy may have a maximum of three open positions.
6. the same stocks may be traded on different days and in different strategies.
7.All trading is done through one account and I want to allocate a certain amount of money to each strategy before live trading.
Here are my questions:
1. is there a possibility to implement this automation in your trading system?
2.Are there any videos or detailed tutorials for automated trading to make sure I can set it up correctly?
3. what kind of data ("D" or "1M") is needed for this trading strategy?
4. is the technical implementation and handling of the analysis as well as the trading for a total of 800 stocks just before the close of trading feasible in your platform?
Thank you very much in advance!
Michael
I am trying to implement an automated trade with the following requirements:
1. i use three stock strategies simultaneously.
2. each strategy has about 400 stocks in its selection.
3. a stock can appear in several strategies, so I monitor about 800 different stocks.
4. I want to trade these stocks just before the close of trading.
5. Each strategy may have a maximum of three open positions.
6. the same stocks may be traded on different days and in different strategies.
7.All trading is done through one account and I want to allocate a certain amount of money to each strategy before live trading.
Here are my questions:
1. is there a possibility to implement this automation in your trading system?
2.Are there any videos or detailed tutorials for automated trading to make sure I can set it up correctly?
3. what kind of data ("D" or "1M") is needed for this trading strategy?
4. is the technical implementation and handling of the analysis as well as the trading for a total of 800 stocks just before the close of trading feasible in your platform?
Thank you very much in advance!
Michael
Rename
1. In short, no. No broker keeps track of the source that traded stock "ABC" in an account.
Trading Preference: Live Positions
WeathLab can keep most strategy types synchronized with live account positions, but there's no way to distinguish which strategy traded any particular position. Therefore, if you own "ABC" all strategies would consider "ABC" as an active positions and would try to sell it.
Without the Live Positions preference, strategies run "hypothetically". If Strategy1 hypothetically owns "ABC", its exit logic would try to sell it. Likewise for the Strategy2 and Strategy3, even if they were not actually allowed to buy a position due to your allocation requirements.
2. There are lots of videos on our channel that cover different aspect of backtesting an trading. Anyone unfamiliar with Auto-Trade should start trading a Paper account. You can use the Dummy broker for trade feedback, but to follow an account as it it were live, we recommend a free paper account at Alpaca or an IB Paper account.
And please, crack open the Help Guide (F1). See topics on the Order Manager, Trading Preferences, Strategy Monitor, Streaming Charts, etc.
3. It's determined by your strategy, backtesting, and how you want to trade.
4. Sure.
My advice: walk before you run.
Trading Preference: Live Positions
WeathLab can keep most strategy types synchronized with live account positions, but there's no way to distinguish which strategy traded any particular position. Therefore, if you own "ABC" all strategies would consider "ABC" as an active positions and would try to sell it.
Without the Live Positions preference, strategies run "hypothetically". If Strategy1 hypothetically owns "ABC", its exit logic would try to sell it. Likewise for the Strategy2 and Strategy3, even if they were not actually allowed to buy a position due to your allocation requirements.
2. There are lots of videos on our channel that cover different aspect of backtesting an trading. Anyone unfamiliar with Auto-Trade should start trading a Paper account. You can use the Dummy broker for trade feedback, but to follow an account as it it were live, we recommend a free paper account at Alpaca or an IB Paper account.
And please, crack open the Help Guide (F1). See topics on the Order Manager, Trading Preferences, Strategy Monitor, Streaming Charts, etc.
3. It's determined by your strategy, backtesting, and how you want to trade.
4. Sure.
My advice: walk before you run.
Hello,
I would like to thank you very much for your detailed feedback. In this context I have one more question:
You write that the strategy runs independently of the broker if the "live positions" option is not selected. Do I understand this correctly? Does this mean that the first strategy buys 100 shares of the stock "ABC" on one day and the second strategy can also buy 50 shares of the stock "ABC" on the next day. In this case a total of 150 pieces of the share "ABC" would be available on the account. When selling, the first strategy would sell 100 pieces on one day, and the second strategy would sell the remaining 50 pieces on the following day. This leads to a separation of the strategies, similar to the backtest, where they are executed independently. Am I correct with this interpretation?
I would like to thank you very much for your detailed feedback. In this context I have one more question:
You write that the strategy runs independently of the broker if the "live positions" option is not selected. Do I understand this correctly? Does this mean that the first strategy buys 100 shares of the stock "ABC" on one day and the second strategy can also buy 50 shares of the stock "ABC" on the next day. In this case a total of 150 pieces of the share "ABC" would be available on the account. When selling, the first strategy would sell 100 pieces on one day, and the second strategy would sell the remaining 50 pieces on the following day. This leads to a separation of the strategies, similar to the backtest, where they are executed independently. Am I correct with this interpretation?
QUOTE:Yes. Independently and hypothetically, which means it depends on the backtest.
You write that the strategy runs independently of the broker if the "live positions" option is not selected. Do I understand this correctly?
This is more complicated than you may think because a backtest might buy "ABC" if you run it just on "ABC". But a portfolio mode backtest could reject the "ABC" trade due to "Not Sufficient Funds" - this is what we call an "NSF Position". Backtests keep track of NSF Positions and will generate exit signals for them, just in case you actually bought the signal in a live account.
But you can even complicate it further with the Advanced Strategy Setting for NSF Positions, which can completely change how a symbol is traded. It's in the Help, and there's at least 1 video about it.
QUOTE:As long as your backtest sizing were fixed AND you do not select the Portfolio Sync preference to "Always Set Exit Order Quantity to full Position Qty", it's possible that it will work.
Does this mean that the first strategy buys 100 shares of the stock "ABC" on one day and the second strategy can also buy 50 shares of the stock "ABC" on the next day. In this case a total of 150 pieces of the share "ABC" would be available on the account....
But you're asking about trading 800 symbols in 3 strategies with a maximum of 3 open positions per strategy. You have no idea how complicated this get if you're trying to do that sync by yourself.
Intraday, forget about it.
If you're trading End of Day, then sure, because you have time to match the orders.
Thank you very much for your insightful explanations.
I have been implementing these three strategies manually for about a year and a half. This means that I run the stocks through a screener, rank them and derive my buy and sell signals from that. Shortly before the close of trading, I then place the corresponding buy and sell orders.
In principle, this sounds pretty straightforward. WealthLab's backtesting system was also able to do this flawlessly. My thought was to now transfer this backtesting system to automatic trading.
Nevertheless, I would like to expressly thank you!
I have been implementing these three strategies manually for about a year and a half. This means that I run the stocks through a screener, rank them and derive my buy and sell signals from that. Shortly before the close of trading, I then place the corresponding buy and sell orders.
In principle, this sounds pretty straightforward. WealthLab's backtesting system was also able to do this flawlessly. My thought was to now transfer this backtesting system to automatic trading.
Nevertheless, I would like to expressly thank you!
Attempting to use Daily data to generate signals before the market closes is problematic. WealthLab won't give a Strategy "today's daily bar" before the market closes. You'd need to employ some trickery for that - like programmatically using partial bar data or building daily bars from intraday data. The devil is in the details.
I fully agree with you that end-of-day bar trading can be prone to errors. Nevertheless, the analysis of all backtests showed that trading at the opening price on the next trading day always gave worse results. Over the course of the last year and a half, the error rate was about 5% of the signals. It is important to emphasize that not all of these erroneous signals were to my disadvantage. In the big picture, the results remained essentially even compared to the original strategy. Interestingly, I tested the system with three different backtest systems and got nearly identical results.
I am quite confident that Wealth-Lab can implement my strategy, however, I currently lack the necessary information to configure it correctly. Do you know if the support can help with such questions?
I am quite confident that Wealth-Lab can implement my strategy, however, I currently lack the necessary information to configure it correctly. Do you know if the support can help with such questions?
We can answer general questions here and even help with code snippets. It it gets bigger than that, we have the Concierge Service for custom programming jobs and consulting.
Thanks for the tip. I will get in touch with you.
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