Hello, I've never used the Portfolio Tester before and am wondering if there's a simple/easy way to prevent being both long and short in an instrument at the same time. Basically, I am applying my system (ie. signal) to 3 different timeframes (7min, 11min, and 17min) of Crude Oil - so I have 3 "strategies" in total. In the backtest when I look at the list of trades, I see for instance, that a trade in the 11min will be issued even though a trade 4 minutes ago in the 7min has already been taken.... this gives unrealistic situations where I am both long and short in crude oil at the same time (on different timeframes).... or long 2 contracts at the same time, when I explicitly specified in the "Properties Settings" to only allow max one contract in one direction at a time. Am I missing a simple checkbox or setting somewhere that will make this all behave nicely?

Thanks!
Shawn

Shawn,

the property settings are specific to the strategy on each timeframe and not on a portfolio level. The effective way to accomplish what you have in mind is via a separate money management signal that is complementary to your trading strategies.

Regards,

ABCTG

Thank you... yes I did see that but wasn't sure what it was all about. Would there be some straightforward examples floating about anywhere that I could use as a guide? I did find a page that gave some examples about "PMM" but I found it was quite hard to make sense of (https://www.multicharts.com/trading-software/index.php/Portfolio_Trader_Strategy_Examples)... and I couldn't really see any situation like the one I am having.

Thanks!
Shawn

Shawn,

take some time to go through the three example strategies, the documentation for them, and test/debug them. While it might not translate 1:1 to your case, it includes everything you need and it should get you going.

Regards,

ABCTG

ABCTG 

Shawn, take some time to go through the three example strategies, the documentation for them, and test/debug them. While it might not translate 1:1 to your case, it includes everything you need and it should get you going. Regards, ABCTG

Thanks ABCTG. I guess I just don't really grasp what exactly this PMM signal is supposed to do. To me, a signal issues a buy or sell.... but my original signal strategy already does that, so am I supposed to replicate all that again in the PMM signal code? Is the PMM supposed to set some variable that my original strategy reads and once it reads a favorable value, then it performs my original buy/sell? It's a foggy concept to me and I've never seen a straightforward explanation of it anywhere really...

Thanks
Shawn

Shawn,

they are designed and intended to complement each other. The strategies might handle the entries and exit condition and the money management signal can handle the constraints on a portfolio level - for example making sure that some entries are not taken, in case you already have a position in an instrument.

Regards,

ABCTG

shawnh 

Thanks ABCTG. I guess I just don't really grasp what exactly this PMM signal is supposed to do. To me, a signal issues a buy or sell.... but my original signal strategy already does that, so am I supposed to replicate all that again in the PMM signal code? Is the PMM supposed to set some variable that my original strategy reads and once it reads a favorable value, then it performs my original buy/sell? It's a foggy concept to me and I've never seen a straightforward explanation of it anywhere really... Thanks Shawn

ABCTG 

Shawn, they are designed and intended to complement each other. The strategies might handle the entries and exit condition and the money management signal can handle the constraints on a portfolio level - for example making sure that some entries are not taken, in case you already have a position in an instrument. Regards, ABCTG

Thank you ABCTG, I will examine that page more closely - looks like quite heavy slogging though, not really simple examples to get ones feet wet.

Thanks!
Shawn