- ago
I noticed that the number of holdings shown on the equity curve tab exceed the number of allowed positions for the substrategies. For example, for the MetaStrategy in the screenshots, one strategy trades TQQQ with one position, and the other trades ndx100 with max 4 position. But when I ran them as a MetaStrategy, I noticed some days there are more than 5 positions.

This happens when the "share capital pool" option is not selected.


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Cone8
 ( 6.69% )
- ago
#1
It looks like we have approximately the same backtest, but I can't duplicate more than 4 positions -

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Cone8
 ( 6.69% )
- ago
#2
QUOTE:
This happens when the "share capital pool" option is not selected.
I missed that instruction, and see what you're doing wrong.

In the image, you're showing Max Open settings for one of the component strategies. If you want that to work for the MetaStrategy, set it up in the parent MetaStrategy settings, i.e., Strategy Settings Position Sizing control.
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- ago
#3
Thanks for the investigation. So in a meta strategy, max position constraints (max open pos, max entry signals) set on each substrategy does not work and one can only set such for the whole meta? If this is the case, then strategy runs in a meta strategy setting does not behaves the same as when running as a standalone strategy. Is this by design? If so what's the reason for this? One scenario I can think of is that if i have two strategies that each produces more signals than their own max allowed open positions, in a meta strategy setting I have no way to control the right signals.

I thought that running a few strategies in a meta setting the strategies still behaves the same except:
1. how much capital each could use.
2. If one allows inter strategy signal pruning there will be difference.
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Cone8
 ( 6.69% )
- ago
#4
Correct me if I'm wrong (Glitch), but the substrategy settings work for the substrategy. But we're arguing over the results for the parent that combines them all. Where's the problem?
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Glitch8
 ( 12.97% )
- ago
#5
The Max Open Position contraints are working fine for me in a MetaStrategy. Here are 3 equity curves. They are all Knife Juggler with 5% of equity sizing. The first equity curve is without any constraints. The second is with Max Open Positions set to 4. The last one is a MetaStrategy with Knife Juggler added with Max Open Positions set to 4 for the component Strategy in the MetaStrategy Settings tab.

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