If I understand the system right, the main issue is not the NSF trade itself, but that **Retained NSF positions change the strategy's future signal stream**.
A trade that was never executed is treated as if it existed: it remains virtually open until its exit, causing the symbol to be considered "occupied." As a result, all subsequent entry signals for that symbol are suppressed during the virtual holding period.
This means that the MetaStrategy is no longer evaluating the original strategy's signals—it is evaluating a modified version of the strategy, where non-executed trades influence future trading decisions. From a realistic portfolio perspective, a trade that never existed should not block future opportunities.
A trade that was never executed is treated as if it existed: it remains virtually open until its exit, causing the symbol to be considered "occupied." As a result, all subsequent entry signals for that symbol are suppressed during the virtual holding period.
This means that the MetaStrategy is no longer evaluating the original strategy's signals—it is evaluating a modified version of the strategy, where non-executed trades influence future trading decisions. From a realistic portfolio perspective, a trade that never existed should not block future opportunities.
Rename
There's a reason MetaStrategies default to Retain NSF - it was a conscious design decision:
https://wealth-lab.com/Discussion/Allow-unchecking-39-Retain-NSF-Positions-39-in-MetaStrategy-12221
.. and also called out in the F1 Help.
I changed this to a feature request, and gave it a better title.
https://wealth-lab.com/Discussion/Allow-unchecking-39-Retain-NSF-Positions-39-in-MetaStrategy-12221
.. and also called out in the F1 Help.
I changed this to a feature request, and gave it a better title.
Actually that other discussion is already market as feature request for the same thing, so we'll remove this duplicate.
We do this because it’s possible you might have filled one those NSF entires in your actual brokerage account so we don’t want to lose them and the potential exit signals.
But you get results that are not real in a live trading scenario. Why not keeping the NSF trades (as NSF trades) but do not mark der symbols as blocked? The effect is extrem on LTTF strategies with high NSF rate.
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