Damn Pyramids

[mcdirt]

TradeSim v3 will take pyramid trades even if you have the "Pyramid Trades" option unchecked. Are people aware of this? Why have the option?

Manually inspecting Trade Logs, I regularly see TradeSim taking up to 3 or 4 positions, totaling over 50% of total portfolio cash, in a single security. My money management is %risk model and my risk management allows a max of 20% per security so my rules cannot be followed.

The results of the Monte Carlo testing MUST be skewed severely by this. The only way I can see to stop this is to select only Level 0 trades which I do NOT want to do. This is EXTREMELY frustrating as it means I cannot test my system.

Am I the only person that doesn't like this aspect of TradeSim's operation? Am I totally out of step with other users???????

:evil:

[David Samborsky]

Hello mcdirt

The following explanation applies to V3.0.0 Build 654.

If 'Pyramid Trades' is disabled then TradeSim will only take level '0' trades if the 'Use Level 0 Trade' option is enabled in the trade preferences. If 'Use Level 0 Trade' is disabled then when a simulation is run, TradeSim will ignore the trade level and consider all trades irrespective of their level. This allows recursive nested trades in the trade database to be included in a trade simulation without any bias towards building a trade pyramid.

Another way to look at it is with only level '0' trades included in the trade simulation the trade database behaves in the same way as if it was generated with an earlier version of the Metastock plugin or if you disabled Trade Pyramidding generation in the current version 4.0.0.

[Jose]

In my view, it would be a rather useful TradeSim feature to be able to selectively choose trades other than level 0, without pyramiding.

This feature would save a lot of extra coding in MetaStock.
Currently, one would have to use signal counter MS code to achieve this:
http://users.bigpond.com/prominex/MetaStock/Roy-03.txt

Regards,
jose '-)

[mcdirt]

Yes, Jose ... that's exactly what I want to do but appear unable to achieve.

OK, to be perfectly honest, I don't know what ... "This allows recursive nested trades in the trade database to be included in a trade simulation without any bias towards building a trade pyramid."

actually means, all I know is that what it means in real terms is that unchecking "Pyramid Trades" doesn't prevent pyramids. :cry:

So, another way to possibly get what I want my simulations to do would be to turn ON "Pyramid Trades" then to spedify in Preferences that the program Limit the max trade level to 9 and the max trade count to 1.

If I do that, then the program only takes level 0 trades! That's not right. Why doesn't this work?

Also, would it not be advantageous to add a "Position Size Limit for all Pyramids" parameter, so those using %risk models can limit in a finite way, the maximum size of pyramiding as well as the maximum levels etc.

[David Samborsky]

Jose

Sounds like you need an option which allows you to start building a pyramid from any level. Currently you can only construct a pyramid starting from level '0'.


OK, to be perfectly honest, I don't know what ... "This allows recursive nested trades in the trade database to be included in a trade simulation without any bias towards building a trade pyramid." actually means, all I know is that what it means in real terms is that unchecking "Pyramid Trades" doesn't prevent pyramids.

Recursive trades are essentially trades which have different entry dates but the same exit date. If you uncheck 'Pyramid Trades' in the trade parameters and then check 'Only use Level '0' trades only' in the trade preferences run a simulation you should only see level '0' trades in the trade log. Hence no pyramids are built. Is this what you see?

[mcdirt]

I don't want to pyramid at all and I don't want to be forced to take only Level 0 trades. I want a single open position in any one stock at any level up to that specified in the EnablePyramids statement in the plugin.

[tech/a]

Just to jump in here and ask the obvious to you DAVID.

How do I setup Tradesim if I dont wish to Pyramid AT ALL.

Just plain entry exit stop etc.

Currently Im led to believe that the new V3.0 wont allow you to just trade normally.

tech

[mcdirt]

Tech, you can do this but are then restricted to level 0 trades only.

[tech/a]

Mc d

I havent printed out the V3 manual yet so have no idea what a level 0 entry is.

Ill have a good look when I get back.

tech

[mcdirt]

Level 0 = 1st entry signal after an exit signal.
Level 1= next entry
Level 2 = next entry
etc
All reset when an exit comes along.
It's actually explained in the Pyramid pdf rather than the main manual - take it to read on the plane.

[David Samborsky]

Hello John

Download AN-3 from the following link.

http://www.compuvision.com.au/DownloadTradeSim.htm

Hello mcdirt

So it sounds like you want the ability to exclude trades of the same security if a trade of that security is currently pending. For example if you are currently in trade ABC you can take any other trade (capital permitting) as long as it is not security ABC ?

[mcdirt]

David, that's it exactly.
:D

[David Samborsky]

Got ya.