Portfolio Simulation Issues

[trendsetter]

Hi David

***Firstly***, I already had a few small questions answered by you and I really appreciate your quick response.

***Second***, We bought a copy of TradeSim Professional.
I have made numerous attempts to use Tradesim Professional to do the following simulation but did not have any success. Could you tell us how or if Tradesim can do the following simulation.

*Using your Recordtrades function in Metastock, I have generated a trade database of the top 20 stocks in Australia. To keep things simple and for testing the functionality of Tradesim, I am just using a simple moving average trading strategy.

* Now there are 488 "LONG" trades in this database.
My initial trading capital $5,000,000, my capital per trade is $500,000.
I have not used any pyramid trading strategy.

* I then ran the trade simulation. When the initial trading capital is fully invested, that is after 10 consecutives trade entries, any new trades are rejected because there aren't enough trading capital. So my final Tradesim tradelog has less than 488 trade entries and 488 exits.

* What I want Tradesim to do is the following, when we have fully invested our initial capital of $5,000,000, if there are any new trades, I want Tradesim to partially sell the existing investments to raise enough money so $500,000 can be invested in each of these new trades.

* Also when our initial trading capital of $5,000,000 is fully invested and if there are any exiting trades, and capital raised shall be full invested in the other currently held positions.

* What I am trying to achieve is when my initial $5,000,000 trading capital is fully invested, I want to keep this amount of capital fully invested at all times. The reason for doing this is if I kept a constant $5,000,000 invested from the beginning till the end of the simulation trading period I would know how much profit/loss by being fully invested.

* So when I look into the Capital in Trades chart, it should be a constant $5,000,000 after a certain time period.

* I also want to do this on the "SHORT" trades as well.


I realised that the only data TradeSim works off is only limited to the Trade database generated from Metastock.

So how can Tradesim do the above?


Thanks

[David Samborsky]

What I want Tradesim to do is the following, when we have fully invested our initial capital of $5,000,000, if there are any new trades, I want Tradesim to partially sell the existing investments to raise enough money so $500,000 can be invested in each of these new trades.

This can't be done with TradeSim. Even if it could what criteria would you use to determine which trades should be terminated?


Also when our initial trading capital of $5,000,000 is fully invested and if there are any exiting trades, and capital raised shall be full invested in the other currently held positions.

When trades are closed TradeSim uses the capital to invest in new trades when appropriate to do so. To do what you want is very similar to pyramidding trades which TradeSim can do.


So when I look into the Capital in Trades chart, it should be a constant $5,000,000 after a certain time period.

TradeSim attempts to maximise the use of trading capital at all times. However this is dependent on the Portfolio Limit as well as your trade entry and exit conditions. Note that it is not possible to achieve a perfectly constant amount invested in trades at all times as this will vary as trades are opened and closed.