One symbol sector strategy issue

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One symbol sector strategy issue

Postby Lee247 » Fri Mar 28, 2014 6:17 pm

Hi,

I need some advise getting around one issue that I have. I am running a strategy on a sector with only one symbol. The exit is
after a certain numbers of bars($daysheld). But if there are entry signals during one active trade, SS ignores them until the position is closed.
How can I get around it and use all the entry signals to generate trades.
Thank you
Lee247
 
Posts: 7
Joined: Sun Feb 03, 2013 8:32 pm

Re: One symbol sector strategy issue

Postby Overload » Sat Mar 29, 2014 10:52 am

It sounds like you want to purchase the same symbol multiple times, similar to position sizing where you'll increase or decrease your stake in a position over time. If that's the case, the only way to do that is through a Multi-System. Each individual Strategy can only purchase a symbol once at a time. However, by creating a Multi-System with multiple instances of the same Strategy and Sector, it's possible to purchase the same symbol multiple times.

Enter the Setups > Multi-System Setups, click Add to create a new Multi-System, and then add your Strategy and Sector as many times as you'd like. You'll need to add as many "systems" as you'd like to potentially have positions. So, for example, if you'll want to purchase the symbol as many as 10 times, you'll need to add 10 systems. On the Multi-System Setup, you'll also need to check the box that says "Allow Multiple Purchase of Symbols Across Systems".

Hopefully this solution will work for you.

Pete
Overload
 
Posts: 2248
Joined: Wed Nov 30, 2005 12:14 pm

Re: One symbol sector strategy issue

Postby Lee247 » Sun Mar 30, 2014 8:26 am

Pete,

I created a Multi-system but they all buy in the same sequence, I mean they all buy the first signal(there is no way to avoid that unless I tinker with the dates) then if next bar is a new buy signal SS will ignore it in all systems until I close the first trade. So I get the same results over and over. Unless I change the exit signal($daysheld) in each system. Then I get more trades. But that defies the purpose. I am still searching for a solution. Thank you for trying to help me.
Lee247
 
Posts: 7
Joined: Sun Feb 03, 2013 8:32 pm

Re: One symbol sector strategy issue

Postby Overload » Sun Mar 30, 2014 12:59 pm

You're right. Sorry, I forgot that would happen in this particular scenario. Technically there isn't a solution to this issue in StrataSearch since trades are triggered from each strategy individually in a first phase of evaluation, and then the portfolio is filled as needed with those trades in the second phase. So there isn't a feature in the portfolio selection to identify whether a symbol has already been bought by a different strategy on the same day, and then bypass just that symbol from being purchased on the same day by different strategies.

However, there is a trick that I've used once or twice in the past that might work for you. I don't describe it as a feature or even a real solution since it's a very clunky workaround. But it might help if you only want to perform a single test or two.

The idea is that each strategy in the Multi-System needs to become unique so that it will only enter one position, and only for one day of the month. So you will basically have 31 different strategies, each containing the following expression tacked onto the end of the Entry String with an 'and' statement:

DayOfMonth() = 1

But your second strategy will be DayOfMonth() = 2, the third strategy will be DayOfMonth() = 3, etc. You'll then need to create a Multi-System with all 31 strategies. In addition, the Multi-System Setup will need to have the "Maximum Open Positions Per System" set to 1. What you will end up with is a Multi-System that can enter the same symbol multiple times, but can only enter them once on each day of the month.

This will only work if your holding period is a month or less. If the holding period is longer, I haven't tried that scenario, but there may be something similar that can be done. Again, not a great solution, but a helpful workaround that might help in specific cases.

Pete
Overload
 
Posts: 2248
Joined: Wed Nov 30, 2005 12:14 pm

Re: One symbol sector strategy issue

Postby Lee247 » Mon Mar 31, 2014 4:27 pm

Your suggestion will work for me just fine.
Thank you a lot.
Lee247
 
Posts: 7
Joined: Sun Feb 03, 2013 8:32 pm


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