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Scenario: trading system holds a maximum of 4 stocks at a time.
Currently the system has three positions and is looking to fill the
fourth. For the next trading day there are three stocks that fulfill
the end of day criteria and let's say the system requires a break of
the 5 day moving average for entry and I want to enter limit orders
for the trade.
[I have ignored margin in this example to simplify the explanation]
Given that 75% of my trading dollars are occupied in the three
positions I already own, I cannot enter three additional limit
orders. Even if I could enter all three orders and more than
one `hit', I would violate my trading model as I now own more than
four positions.
I would like to limit the back tester to not wait to see which of the
three orders triggered or if multiple orders triggered place the
order with the highest position value in the portfolio, BUT only
place the order with the highest position value (in this case only
one, or in this hypothetical model could be up to the four highest
position values) in the queue and if the intraday condition (breaks
below the 5 dma) is not met than no new position is placed in the
portfolio.
Currently, if the first ranked stock (in order of position value)
does not met the intraday criteria but the second and/or third ranked
ones do, etc. , the back tester will place the highest ranked stock
in the portfolio ? thus resulting in misleading back test results.
Does anyone know how to limit the back tester to the number of
available open positions in the model?
Please note that this group is for discussion between users only.
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