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(tomasz, I know you're not really providing support for portfolio backtest
mode yet, since it's an early beta of it, so ignore this question if you
want.)
say I have a system that goes long or short, depending on some overall
market signal, buying or shorting the top 10 stocks when ranked by some
criteria. the first buy signal comes in, the stocks in the system's universe
are ranked, and the top 10 get bought.
now the market signal switches to short. what should happen is that all
longs currently held should be sold, and the top 10 stocks (ie lowest
negative scores) should get shorted.
how should I arrange this? if I just rank all the potential shorts I want
and zero the scores of the rest, that will short the lowest 10, but won't
ensure that the existing longs get sold first. if I set the existing longs
to zero, that'll sell them, but exclude them from the short screen happening
at the same time.
it seems like I'd need to zero out all but the top 10 shorts, but I can't
know what they are in any easy way. there's probably some sophisticated way
to find out, like PT did, but that defeats the ease of use of the new
portfolio mode.
or am I thinking about this wrong? does entering a short position
automatically exit any existing long positions on the same stock? does that
happen before positionsize allocations are done, so the long position is
recognized as needing to be filled by some short?
thanks,
Dave Merrill
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