Optimal OneClick settings

StrataSearch will find what you tell it to, but what should that be? Will the same criteria work across different Sectors? Different time periods? Here we discuss the ins and outs of OneClick Searches.

Optimal OneClick settings

Postby mandelmus » Wed Jun 13, 2012 5:25 pm

I know I got a lot of reading to do on this forum to catch up. In the meantime, on the "OneClick Setup > General tab", is there any consensus/theories on "optimal settings" or "when to use" any of the following. Are the default values sufficient in most cases?

Portfolio Sizes
Strategies: number to use
Multi-System: number to use

Whether to "Allow Multiple Purchase of Symbols Across Systems"

Optimal "Number of Strategies" to use

Optimal "Maximum Open Positions Per Strategy" to use

I usually leave the "Use First Trade" checked due to the research I found listed on a quant fund research site recommending to "Use First Trade". The guy researched all his trading systems going back several years and tested whether he should wait to enter until the next signal or enter the current position even when the signal occurred a few days/weeks before. His research showed an improvement in performance when entering even after the entry signal had already passed.

I usually leave the "Use Last Trade" unchecked

I wondered why StrataSearch limited default portfolio sizes to 20 and then I found some research showing that adding any more than 20 simultaneous open positions would NOT result in significant added benefit to a portfolio and might even reduce long term performance. When thinking about the extremes ... all equity in 1 open position is potentially risky (AAPL vs. BSC), on the other hand, as you go past 20 simultaneous open positions, you begin to "own the market", so you might not do much better than holding SPY, QQQ, etc.
mandelmus
 
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Re: Optimal OneClick settings

Postby Overload » Thu Jun 14, 2012 9:06 am

There may be too many variations in what a trader wants to be able to identify across-the-board optimal settings. For example, the settings may differ significantly if one wants to trade the Nasdaq 100 verus the Russell 2000 stocks. The "optimal" portfolio size for each of these sectors will likely be different due to the number of possible trades that are signaled.

In general, however, I tend to prefer the highest portfolio size that creates acceptable results. This ensures diversity. And I rarely will use a portfolio size less than 10, to avoid curve-fitting.

While leaving the "Use Last Trade" unchecked is fine, I at least recommend running a final test on your system with that option checked. Without using Last Trades, any positions that remain open at the end of the Evaluation Period will simply be left out of your results. That can help provide a good analysis of the completed trades, but the risk is that you could have some large losses in some positions that remain open indefinitely and you wouldn't know without that option being checked. So even though you might not check that box for search and optimization, I think it's worthwhile to check it and run a test during system verification.

Pete
Overload
 
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