I load, for example, three strategies into the metastrategy. I give each of them a weight of 33% in the portfolio. Each strategy can open up to ten positions.
On the first trading day of the metastrategy, 23 positions of one of the strategies are opened, although no more than ten should be opened.
Accordingly, as a result, the equity of each strategy is distorted.
Maybe this is due to the fact that limit orders are used in each strategy? Like, the metastrategy cannot determine which of them were the first to be executed and by what strategy? Although there are limits of 33% for each strategy.
On the first trading day of the metastrategy, 23 positions of one of the strategies are opened, although no more than ten should be opened.
Accordingly, as a result, the equity of each strategy is distorted.
Maybe this is due to the fact that limit orders are used in each strategy? Like, the metastrategy cannot determine which of them were the first to be executed and by what strategy? Although there are limits of 33% for each strategy.
Rename
What kind of Margin did you set in Position Sizing for the strategy?
QUOTE:
What kind of Margin did you set in Position Sizing for the strategy?
for strategy:
for metastrategy:
what about in the overall strategy settings?
QUOTE:
what about in the overall strategy settings?
Which tab do you mean?
Strategy Setting -- comment # 2 (second picture)
Metastrategy Setting -- In the initial post (first picture)
We're looking for Margin in the Strategy Settings tab for the MetaStrategy from the first picture.
(The second picture shows the Strategy Settings for one of the child strategies.)
(The second picture shows the Strategy Settings for one of the child strategies.)
Also, for each individual position size, where you specified 9% in MetaStrategy settings. In my testing, if I specify no margin at all, then the MetaStrategy correctly limits the trades. It takes only 4 positions if I specify 25% for example. I tested it on a strategy that buy every bar and sells after 10 days.
QUOTE:
We're looking for Margin in the Strategy Settings tab for the MetaStrategy from the first picture. (The second picture shows the Strategy Settings for one of the child strategies.)
Strange, I have two pictures in comment # 2. Okay, I'll duplicate the second picture again.
Thanks, missed that one.
We'll take a look. Nothing else is jumping out at me.
We'll take a look. Nothing else is jumping out at me.
QUOTE:
In my testing, if I specify no margin at all, then the MetaStrategy correctly limits the trades. It takes only 4 positions if I specify 25% for example. I tested it on a strategy that buy every bar and sells after 10 days.
Do you have limit orders in your strategies? In the post I indicated that I have limit orders in all three strategies.
OK, I do see the issue you pointed out. It looks like the MetaStrategy component is being able to access some equity outside it's assigned limitation. Working on the issue now!
Yes, another small detail - in my opinion, the switch "View as Percent" does not work:
True, fixed it as well for Build 16.
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