It's a little long, but I think there are several worthwhile points highlighted in this video on what to look for when trading an EOD Dip Buyer as well as how Enabling Retain NSF Positions and the Use Live Postions preference can affect trading. https://youtu.be/4S2sgDRwMuY
I didn't have the wits about me to analyze the way I'd actually trade this, but I did it today and made this comment below the video...
Is it better to trade this Knife Juggler strategy with or without Retain NSF Positions? Due to the capital constraints there's a lot of variability in each of the backtests. That can be solved somewhat using the Granular Limit/Stop Processing, which gives higher priority to the trades that triggered earlier in the day, just as you would trade it in real life.
However, instead of focusing on a single backtest result, I think it's more useful to perform Monte Carlo Analysis with the Same Date Scramble. Before looking, I assumed that having more trade opportunities (Retain NSF - Disabled) would produce a better result - wrong!
For a 12-year backtest, 10% equity sizing, no margin and 0 commissions ...
Retain NSF - Enabled
The distribution of the APR went from 27.9% to 41.8%, with an average value of 35.2%.
Retain NSF - Disabled
The distribution of the APR went from 27.7% to 32.1%, with an average value of 29.9%.
Both results are quite good, but an explanation why trading the "Retain NSF" option might be that buying "repeat dips" in the same symbol has a negative overall effect. By tracking all NSF trades, the strategy avoids buying the same symbol for 2 days after the first dip, which appears to have a significantly positive effect on the portfolio results.
Consequently, if I were trading this, I would choose to Retain NSF Positions and allow the basic Portfolio Synchronization options to drive the trading. Just like disabling NSF Positions, "Use Live Positions" would have a negative overall effect - and makes it difficult to keep "core positions" in your account. Watch the video to see why. https://youtu.be/4S2sgDRwMuY
I didn't have the wits about me to analyze the way I'd actually trade this, but I did it today and made this comment below the video...
Is it better to trade this Knife Juggler strategy with or without Retain NSF Positions? Due to the capital constraints there's a lot of variability in each of the backtests. That can be solved somewhat using the Granular Limit/Stop Processing, which gives higher priority to the trades that triggered earlier in the day, just as you would trade it in real life.
However, instead of focusing on a single backtest result, I think it's more useful to perform Monte Carlo Analysis with the Same Date Scramble. Before looking, I assumed that having more trade opportunities (Retain NSF - Disabled) would produce a better result - wrong!
For a 12-year backtest, 10% equity sizing, no margin and 0 commissions ...
Retain NSF - Enabled
The distribution of the APR went from 27.9% to 41.8%, with an average value of 35.2%.
Retain NSF - Disabled
The distribution of the APR went from 27.7% to 32.1%, with an average value of 29.9%.
Both results are quite good, but an explanation why trading the "Retain NSF" option might be that buying "repeat dips" in the same symbol has a negative overall effect. By tracking all NSF trades, the strategy avoids buying the same symbol for 2 days after the first dip, which appears to have a significantly positive effect on the portfolio results.
Consequently, if I were trading this, I would choose to Retain NSF Positions and allow the basic Portfolio Synchronization options to drive the trading. Just like disabling NSF Positions, "Use Live Positions" would have a negative overall effect - and makes it difficult to keep "core positions" in your account. Watch the video to see why. https://youtu.be/4S2sgDRwMuY
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