- ago
Despite reading the documentation and watching the associated YouTube video, I'm still having some issues fully grasping the cause and effect of NSF Positions. If anyone could answer a few general questions, I would appreciate it:

1) Can "legitimate" and effective strategies still result in NSF Positions in backtests? Or does it generally indicate a problem in the strategy's logic/construction?
2) If a strategy produces NSF Positions in backtests, is it still fine to run that strategy in a live trading situation, or is it inadvisable to do so?
3) If I only intend to run strategies in situations where I have no open positions beforehand, can I safely uncheck the "Retain NSF Position" without any downside?

I guess my main concern here is that I don't want my strategy execution or backtests to be non-deterministic. I've tried resolving this with the recommended solutions (position size, fixed equity, market on open, transaction weight) but still have NSF positions in backtests.
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- ago
#1
I've just discovered that even with "Retain NSF" unchecked, it will still cause the backtest results to change each time the backtest is run. So I would say the answer to my question #3 is "no".
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- ago
#2
That option cannot eliminate NSF positions, it just causes them to not be retained.

Look at it this way, say you have $1000 and your Strategy is running on two stocks, ABC and DEF. It signals to buy both of them at the same bar at market open.

Your position size is set to $800.

What's going to happen? Only one of the two orders will get filled, the other one will be NSF.

The only way to eliminate this is to reduce the position size to $500.

Now, the reason we retain these NSF positions? It's to preserve the internal integrity of the Strategy. If your Strategy goes long when some technical conditions are met, then by retaining the NSF position, WL7 can know that your Strategy is still in a "long" state, and enter your block of code that is looking to sell.

If you don't preserve the NSF positions, then you might wind up getting another buy signal at some point when the internal state of your Strategy really should be "long".

Make sense?
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- ago
#3
QUOTE:
I've just discovered that even with "Retain NSF" unchecked, it will still cause the backtest results to change each time the backtest is run.

You have to assign a Weight to each Transaction and reduce the size as the FAQ says (and as Dion has just suggested).
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