Hello,
I want to ask if it makes sense to optimize a strategy without assigning a priority first?
Well, you get results, but it might not be possible to achieve these results again.
However, there are some strategies, for which it is not possible to set a priority (e.g. Knife Juggler), right?
Best regards
Werner
I want to ask if it makes sense to optimize a strategy without assigning a priority first?
Well, you get results, but it might not be possible to achieve these results again.
However, there are some strategies, for which it is not possible to set a priority (e.g. Knife Juggler), right?
Best regards
Werner
Rename
Priority is a WL6 lingo which for WL7 has become Transaction.Weight. (I've edited your topic's title).
https://www.wealth-lab.com/Support/ApiReference/Transaction
Why do you think it's not possible to assign a weight to the Knife Juggler, because it uses limit orders? Note that in Build 7 a new feature is added: "Granular Limit/Stop Processing", which lets you use intraday data to determine the precedence of limit/stop fills within a daily bar.
https://www.wealth-lab.com/Support/ApiReference/Transaction
Why do you think it's not possible to assign a weight to the Knife Juggler, because it uses limit orders? Note that in Build 7 a new feature is added: "Granular Limit/Stop Processing", which lets you use intraday data to determine the precedence of limit/stop fills within a daily bar.
To your first point, you're correct. If you don't assign Weights (priority), they're assigned randomly, so high-exposure systems are likely to get random backtest results.
My advice is to always assign Weights for market order systems. Use an inverse or negative RSI value for long strategies if you don't have something better.
As Eugene pointed out, there's a new Advanced Setting for backtests, but it requires that you have intraday data, AND, it will consume a lot of memory and greatly lengthen your backtests - plan accordingly!
My advice is to always assign Weights for market order systems. Use an inverse or negative RSI value for long strategies if you don't have something better.
As Eugene pointed out, there's a new Advanced Setting for backtests, but it requires that you have intraday data, AND, it will consume a lot of memory and greatly lengthen your backtests - plan accordingly!
Knife Juggler is a Building Block Strategy, so you could assign Transaction Weight using the corresponding Condition Block.
If you're worried, why not just select a Starting Capital and Position Size such that you always get all of the signals, and therefore Transaction Weight will not even come into the picture?
If you're worried, why not just select a Starting Capital and Position Size such that you always get all of the signals, and therefore Transaction Weight will not even come into the picture?
Glitch: OK, I understand. But I will not be able to know how much of a profit I can expect. It might be only good for comparing?
Cone & Eugene: Thanks for your answers. I guess as a "WL6-Tester", I don't have intraday data, right?
Werner
Cone & Eugene: Thanks for your answers. I guess as a "WL6-Tester", I don't have intraday data, right?
Werner
QUOTE:
I don't have intraday data, right?
Without paying a subscription fee there's only Alphavantage (built in WL7) but its free intraday data is limited by quotas and throttling.
IQFeed has free trial yet as says the webpage:
*** Trial users are restricted to 4 calendar days of intraday (Tick/Minute) historical data during their trial.
https://www.dtn.com/financial-analytics/active-trading/dtn-iqfeed-free-trial/
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