This is my first post here, and it will be interesting to see what it generates;-)
My problem is how to accumulate position size from several models, within one summation model....
Let me explain. I trade several different markets, and have several models in each market. Instead of filling my screen up with many small charts that make it very messy, I am trying to show many models within each chart. I do this by using the "IncludeSignal" function in my "summation model" if you will.
What I am trying to do is to reduce the position size if one model triggers against the others. If one uses simple Buy and sell orders, such a signal will zero out the previous orders if they are in the other direction and insert a position the opposite way. One way around this is of course to use orders like " Buy ("buy RSI") 1 contract from order ("Sell RSI") at next bar on open" to link the order to any given model. The problem then is what to do in the beginning, when one model has triggered and it is time for the next one to trigger. Then there is no reference trade to refer to, and the trade might reverse the trade from the previous model if it is in the other direction... This way I will get a "biazed" position size when all the models have triggered, and the total portfolio will be skewed either long or short.
I am not sure if I am able to explain my problem in a proper way, but any response will be greatly appreciatet!
Last edited by LukeGeniol; October 26th, 2010 at 04:38 PM.
Reason: corrected 200i in the title
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This post has been selected as an answer to the original posters question
Not sure if this is what you are looking for, but I used something called Market System Analyser some years ago when I was using TS 2000i. If I remeber correctly, it was also possible to analyse multiple strategies in the software together so you could see how it performed when you ran multiple strategies at the same time.
It also had some code so you could make TS make the decissions of possision size automaticly.
Thank you for your input. I believe this is one way to solve the problem. The difference here is that this system uses volatility and your degree of risk aversion in addition to portfolio size to adjust position. This makes sense of course, and is something I use as well, but I also use a weighting of the position according to how many models that has triggered. As long as one has a diviersified group of models, I believe this is reasonable for signal strengt.
As far as I can see, the software does not directy solve this last issue. I may be wrong of course....
Any more thoughts on accumulating position size using multiple models is greatly appreciated.