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More trades allowed = more statistical significance

In a market order strategy, if a short trade signal fires while you are already in a long position the short trade signal is ignored. In a limit or stop order strategy a similar method seems to be employed to prevent the hedge from occurring. It's true that some brokers do not allow hedging so the only way to exactly retain performance across all platforms and brokers is to disallow these hedges. 



There is some merit to testing with hedging turned on though even if your broker does not allow it: Sometimes a lucky sequence can occur where some good trades luckily prevent some bad trades from happening just because the good trades were opened first, having an option to test with hedging turned on could help to spot these by allowing more trades in to the same sample. The stop and reverse solution can only apply to market strategies and isn't quite the same, plus it's no easy task turning stop and reverse on and off for hundreds of strategies.

EDIT:
Never mind! The answer is "Allow Duplicate Trades."  ("Allow Hedging" might've been a better name...)

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  • Votes +1
  • Project StrategyQuant X
  • Type Feature
  • Status Refused
  • Priority Normal

History

b
#1

bentra

21.08.2019 16:28

Task created

b
#2

bentra

21.08.2019 23:42
Voted for this task.
b
#3

bentra

22.08.2019 00:14

Never mind! The answer is "Allow Duplicate Trades"

b
#4

bentra

22.08.2019 00:16

Description changed:

In a market order strategy, if a short trade signal fires while you are already in a long position the short trade signal is ignored. In a limit or stop order strategy a similar method seems to be employed to prevent the hedge from occurring. It's true that some brokers do not allow hedging so the only way to exactly retain performance across all platforms and brokers is to disallow these hedges. 



There is some merit to testing with hedging turned on though even if your broker does not allow it: Sometimes a lucky sequence can occur where some good trades luckily prevent some bad trades from happening just because the good trades were opened first, having an option to test with hedging turned on could help to spot these by allowing more trades in to the same sample. The stop and reverse solution can only apply to market strategies and isn't quite the same, plus it's no easy task turning stop and reverse on and off for hundreds of strategies.

EDIT:
Never mind! The answer is "Allow Duplicate Trades."  ("Allow Hedging" might've been a better name...)

MF
#5

Mark Fric

20.10.2020 14:48

Status changed from New to Refused

possible with custom strategy template
Votes: +1

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