Trend-Checker by marcomaier

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marcomaier

#1
Hello Eugene,
todays successful submitted signals GS and PYPL were not entered and are marked as failed. Please tell me why.

Thanks
Marco
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Eugene

#2
Hi Marco,

Insufficient funds to enter position(s).
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marcomaier

#3
Hi,
what can i do to ensure that all positions submitted are executed, except reducing the position size too much?
Thanks
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Eugene

#4
Exactly what you do in real life: enter an appropriate position size.
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marcomaier

#5
In real life you have margin, this means for example if you need only a few USD more you have all positions nevertheless are executed! Entering an exactly position size is (depending on the system) not possible because you never know the prices in the future, eg. today you never know the opening price of the next day.
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Eugene

#6
In WealthSignals you can have margin too. For your system it was set to 1.0 at the time of creation. Essentially, this makes the system behave like Fill Or Kill in real life.
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marcomaier

#7
The current results in out-of-sample are not representative at all because of the large number og failed trades. All this trades were entered in real life. So I have to reload the backtest-results. This has not worked because the results have already been uploaded. Please cancel the backtest-results so that I can reload the representative backtest-results and set the margin to 1,1. Thanks!
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Eugene

#8
I could hardly agree that the number of failed trades is too large: there were only 14 out of 172 i.e. 8%. It'd be ambiguous decision to reset your system's data month into out-of-sample trading. Rather than reset or start a "Trend-Checker v2" with Margin 1.1:1 and go through 30-day probation period once again, how about a workaround: decrease your position size by 10% in Wealth-Lab? Please let me know what you think.
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marcomaier

#9
Extremely decreasing the position size to about 10% means that a lot of capital can't work. So please reset the backtest-results so that I can upload the real results and change the margin from 1.0 to 1.1. The best way wolud be to change the margin for the future and to retain the (wrong) in-sample-results.
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Eugene

#10
Okay, this is possible. Could you announce the scheduled modification on the system's Forum, please?

Trend-Checker » System Modifications

P.S. I think you realize that if I set the margin to 1.1, you cannot increase the usual position size without encountering the same problem of insufficient capital when buying power is unavailable. BTW, the WealthSignals Publisher helps you track buying power so as not to exhaust it.
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Eugene

#11
Done.
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marcomaier

#12
Thanks ...
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Eugene

#13
You're welcome.

P.S. Quoting your system description:

QUOTE:
"Per day maximum 5 entries are made. Each order size represents 20% of the account equity."


In WealthSignals it's like in Wealth-Lab where, as per the FAQ, you have to consider a leeway for cases like 5 x 20% or 1 x 10%:

"I'm using 100% Equity position sizing and strategy doesn't seem to use all capital and/or there are trades not included due to insufficient capital."

On second thought, there wasn't a need to decrease your position size by 10% - rather by mere 1-2% to account for the average gap - which wouldn't affect capital usage considerably.
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marcomaier

#14
Hello,

again submitted symbols failed. 3 of 5 symbols were not entered. I don't understand this!
Insufficient capital can not be the reason because that only 2 (!!) symbols were entered.
Can you please explain the reason.

Thanks

Marco
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Eugene

#15
Hello Marco,

I guess this happened because you had not enough cash reserve at the open to enter all the 5 trades. The 3 missed stocks also gapped up. I'm not sure so it's a speculation: entry orders are probably evaluated before exit orders (?). So before you had closed out your 5 positions there wasn't enough cash to take another 5 positions. I may be mistaken
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marcomaier

#16
Ok, this is a logical explanation. I have to enter all of my signals at the same time. Is there a solution of this problem? If not, I have to leave WealthSignals because there is no chance to handle.
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Eugene

#17
Since everybody has to enter all signals simultaneously, what you're experiencing doesn't look typical. We're going to look into it. Will keep you posted.
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Eugene

#18
Update: my explanation turned up wrong. In reality, exit has higher priority in WS. Market orders have the highest priority, then go Sell/Cover orders, finally Buy/Short.

However, even though WS sorts signals it does not execute all AtMarket exits before making new entries. Since signal processing in WealthSignals is pretty precise, your signals could have been executed in the order that ticks were timestamped:

Buy Market BCR - rejected (not enough cash)
Sell Market CCI - OK
Buy Market GIS - OK due to cash proceeds from the CCI exit that preceded it

P.S. I notice a strange pattern in your paired orders:

Stock "AAAA" Sell 18 and Buy 19
Stock "BBBB" Sell 13 and Buy 14

Why won't you simply buy 1 more share? If it's Closeout orders then you could edit them manually to avoid extra orders and a potential insufficient cash condition.
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marcomaier

#19
Is this the solution for this problem:

Exit stock "AAA" 20 and buy 1 more (21) instead of buying 20 again???
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Eugene

#20
What problem are you trying to solve by buying and selling equal shares of the same stock the same day??? Like yesterday when you exited 188 shares of CCI and 173 of HSY and immediately purchased them back. IMHO, this odd pattern is part of the problem rather than solution: if you hadn't made these manoeuvres, chances are that your system might have had enough cash to take all signals.
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marcomaier

#21
Eugene, are you kidding???

7/14/2016:
Capital: about 99,200 USD; with margin of 1.1: 109,120 USD

Signals:
BCR, 80 stocks, Open Price about 235,53 USD, necessary capital about 18,842 USD
BSX, 797 stocks, Open Price about 23,79 USD, necessary capital about 18,960 USD
CCI, 188 stocks, Open Price about 100,20 USD, necessary capital about 18,837 USD
DG, 203 stocks, Open Price about 93,35 USD, necessary capital about 18,950 USD
HSY, 173 stocks, Open Price about 108,61 USD, necessary capital about 18,789 USD
Sum of necessary capital: 94,378 USD - to compare with 109,120 USD

I had more than enough capital to enter ALL the positions. Only 3 of 5 entries were operated!!!

What do you want to tell me if I sell and re-buy positions, thats my thing and my system and not the cause for the problem!!!

Please give me the logical, right explanation why only 3 of 5 positions were entered!!!!

Eugene: "However, even though WS sorts signals it does not execute all AtMarket exits before making new entries." --> That could be the reason for refusing the positions! If it is the reason, WS does not work correctly for my system!!! In this case please configure WS so that exits are operated before the new entries!!!
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Eugene

#22
Please calm down.

If you were to tell the New York exchange to give preference to exits, what do you think their reaction would be? To stress my point: trades are processed in the order that ticks are timestamped by the exchange like in the real world. AtMarkets exits indeed have the priority - be it a Sell or a Buy - but they're executed with regard to the actual exchange prints with a lot of care.

Your system did not have 109,120 USD before the open of 14th because it had 6 positions accounting for ~108K USD invested before the open. The system was out of cash and had to take 5 positions each worth 18K+ USD i.e. 90K. To reiterate, if first trade of the day in BCR DG or BSX happened before such in CCI GIS etc. then you had not enough cash to enter these positions. As soon as cash proceeds had been redeemed by executing your AtMarket sell orders, WS entered more positions in the order of actual trades in the stocks. That's why your still unexplained HSY and CCI reentries are part of the problem.

In the real life you have the power to throw an order in the market and expect an almost instant execution but WS is not an exchange. It's to some extent a "market replay" that adheres to the order of prints to avoid as many unrealistic trades as possible. (For example, in WS a $1M Limit order on a spike down would fail to execute if there weren't enough liquidity e.g. only $100K changed hands).
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marcomaier

#23
Please tell me if there is a solution of this problem (exits not always before entries) or not? If not, I' out with my system.
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Eugene

#24
WealthSignals will stick as close to the real world rules as possible. It's sad to hear that you're still trying to present this as a problem. I notice that you're careful to not max out the margin so for the moment being I'd suggest to not reenter the same stock immediately. If not this author error, those 2 missed trades would have a good chance to be executed successfully.
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marcomaier

#25
Problem means that this procedure does not represent the real life I am trading. So it is a problem for me/for my system and for representative results! And representative results should be the aim here in WealthSignals.

I can't imagine that exit and NOT re-enter the same stock would solve this problem of partial entering before exit. But I will check it.

Thanks
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Eugene

#26
According to our database your entries weren't partial but full size i.e. HSY out 173 in 173, CCI out 188 in 188 on 04/17 then again on 07/15 CCI out 188 and in 189. To me this activity is hard to explain unless it's a series of errors.

But in WS we don't have the luxury of discretionary trading to sell positions first and then proceed with entry orders. All AtMarket orders are created equal because WS reflects and replays the market.

Let's keep an eye on your system's executions today.

UPDATE: All your signals have been filled today.
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Eugene

#27
Marco,

What is the point of another same-size sell and reentry in DLR today? You haven't responded to my repeated question. Is there anything wrong with your system? WS will have no liability for your failed orders should this continue.

Suggestion: in the WSP, highlight and delete such pairs of signals before submitting them to WS. I can cancel the DLR orders as long as the market is closed if you like.
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marcomaier

#28
Ok, you are right. I overlooked this today, it's my fault. In the future I will manually check if there is an exit and re-entry in the same stock. You don't have to do anything. Lets have a look if the signal DLR is re-entered.
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marcomaier

#29
What happened with PYPL today - not filled?
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Eugene

#30
Thanks, I'll ask the developer to look into it and get back with answer.
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Eugene

#31
The order of signal execution for today was the following:

Buy BCR
Buy PYPL - failed (not enough cash)
Sell EQIX
Buy BAX
Sell AWK

Before the open your high-exposure system had slightly more than 20K buying power if I remember correctly. With your position size this covers just one position and PYPL was a 2nd. There could be more failed orders if I hadn't canceled the DLR reentry.

Please keep in mind what I said re: "market replay" by WS before. The order of signal execution depends on how the actual ticks are timestamped by the exchange as reported by our real-time data feed. However, we can not prioritize Exits over Entries among AtMarket orders. In real trading and in Wealth-Lab backtesting this ain't an issue but there's a solid reason why this limitation exists in WealthSignals and affects high exposure systems using market orders. Sorry but we have to live with it.

It turns out that you pointed it out correctly: WS is not suitable for your system while it maintains a high exposure profile and uses market orders. My apologies for not coming up to your expectations.
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marcomaier

#32
Ok, nevertheless, thanks for you help. I will remove my system.