Signals missed in Strategy Monitor
Author: tradercn
Creation Date: 10/26/2013 3:42 PM
profile picture

tradercn

#1
I have monitor system signals through Strategy Monitor from the beginning of this year. Recently just tried to sort the strategies in Strategy Monitor, so I remove Oscillator Pullback System, and add it again based on the same dataset during the same period. After that I ran this strategy again, but some position of some symbol disappeared. Interesting thing is, I ran the same strategy on the same dataset, there is no the signal previous triggered.
There is no strategy difference, no dataset difference, no price data difference, no testing period difference. What's wrong with it? Could you please give me some idea? Thanks.
profile picture

Eugene

#2
There are no details to tell for sure what went wrong, so what we are currently left to do is speculate.

In situations when equity isn't enough to take all trades generated by a system, WL will pick trades based on their priority - which is random by default. (For more on what happens when buying power is insufficient, please review the Wealth-Lab User Guide: Strategy Window > Backtesting Strategies > How Trades Are Chosen.) If your strategy is being run in Portfolio Simulation mode w/o a Position.Priority applied to each its Position, then a different signal could be chosen instead of the one you're searching for.

Another possible reason is a data correction/update. The saved alerts from the Alerts view you're looking at could've been generated before you updated the data, and your system logic prevented from entering the trade. This could happen when there's some dependence on data loading range like using an "unstable" indicator etc.
profile picture

Cone

#3
We can discard the first case since the Strategy Monitor runs each symbol individually, not part of a portfolio simulation.

Assuming the same Strategy, DataSet, Scale, and Date Range, the S. Monitor should generally give you the same signals you'd see in a backtest in Raw Profit mode in the Strategy Window; only the sizes will be different if you use Port. Sim. sizing mode in the S. Monitor (assumes no special PosSizer position options).

That said, if the S. Monitor isn't giving you any signals that you expect, maybe something in the strategy changed (inadvertantly or otherwise) and is causing an error. Make sure the Strategy runs without error in the Strategy Window.
This website uses cookies to improve your experience. We'll assume you're ok with that, but you can opt-out if you wish (Read more).