gawdib
12th July 2006, 03:19 PM
I am finding incomprehensible results when I set the following preferences parameter in Tradesim, before I run a test: I want to set my parameters so that whatever position size that I buy in a stock, I do not buy more than 1 % of the daily volume.
{Optimally, I would like Tradesim to be able to buy only 1 % of the average volume of the last 10 trading periods. Is there a way that Tradesim can be programed to do this, rather than only on the volume of the date of entry, since volume can fluctuate ten fold from day to day?}
The place to be sure that testing does not buy more than a prudent amount of the daily traded volume is set with:
"Limit position size to a maximum of_________ % of the traded volume."
but I find that when I put 100 % in the choices area, Tradesim will then allow buying 1% of the traded volume.
I use Metastock 9.1 and the latest version of Tradesim Professional. i get my data from Reuters. I know that Metastock "truncates" that data (dividing by 100). reuters does not do the truncating.
some examples of my specific settings:
Initial trade capital: 1,000,000
Cost: 1 $
Portfolio limit 100%
100,000$ in "Equal dollar units" to invest each trade.
volume on date of entry (checked with 3 different sources):
2,178,712 shares.
the stock price is $9.22.
"100"% will allow me to get into a position size of 10,621 with a position value of $99,996 (this is the result I would expect, if I am not allowing more than 1% of the traded volume of more than 2 million shares)
"10" % (choosing this for the allowed maximum of the traded vol) will get me a surprising size of only 2213 shares and a value of 21,936 dollars.
1% of the traded volume choice will only get me into a position size of 221 with a position value of 2038 dollars.
Please be so kind as to explain what could be going wrong? then, how to fix the problem. I need to have confidence that Tradesim will do what I need.
thank you very much.
Best regards,
Geo
{Optimally, I would like Tradesim to be able to buy only 1 % of the average volume of the last 10 trading periods. Is there a way that Tradesim can be programed to do this, rather than only on the volume of the date of entry, since volume can fluctuate ten fold from day to day?}
The place to be sure that testing does not buy more than a prudent amount of the daily traded volume is set with:
"Limit position size to a maximum of_________ % of the traded volume."
but I find that when I put 100 % in the choices area, Tradesim will then allow buying 1% of the traded volume.
I use Metastock 9.1 and the latest version of Tradesim Professional. i get my data from Reuters. I know that Metastock "truncates" that data (dividing by 100). reuters does not do the truncating.
some examples of my specific settings:
Initial trade capital: 1,000,000
Cost: 1 $
Portfolio limit 100%
100,000$ in "Equal dollar units" to invest each trade.
volume on date of entry (checked with 3 different sources):
2,178,712 shares.
the stock price is $9.22.
"100"% will allow me to get into a position size of 10,621 with a position value of $99,996 (this is the result I would expect, if I am not allowing more than 1% of the traded volume of more than 2 million shares)
"10" % (choosing this for the allowed maximum of the traded vol) will get me a surprising size of only 2213 shares and a value of 21,936 dollars.
1% of the traded volume choice will only get me into a position size of 221 with a position value of 2038 dollars.
Please be so kind as to explain what could be going wrong? then, how to fix the problem. I need to have confidence that Tradesim will do what I need.
thank you very much.
Best regards,
Geo