ATM
in automatic retest where we can retest strategies with different settings there is no ATM available
so how can we add ATM to our old strategies? i think there is no way
also some optimisation tool for ATM i am missing - what is the suitable setting for my strategy? how can i find out what to set to ATM? for me its only some manual tries...
Attachments
-
Votes +2
-
Project StrategyQuant X
-
Type Bug
-
Status Fixed
-
Priority Low
History
h
h
hankeys
12.11.2020 16:00
info in pseudo code about ATM is not full - value for original profit target is missing, trader will have no info what values of PT will be used
// Exit #1 - MultipleOfOriginalPT
Close 50 % of position at 0.5 * original Profit Target;
// Exit #2 - MultipleOfOriginalPT
Close Full remaining position at 1 * original Profit Target;
h
h
HH
TB
Tomas Brynda
26.11.2020 12:01Status changed from New to Fixed
I have added the ATM settings into Automatic Retest task. It will be available in the 130 Dev2 build.
We will be working on adding the atm settings into Optimizer after the final release of build 130
h
hankeys
26.11.2020 22:35
still not resolved in dev2, in pseudo code are still only basic info....what was the "original Profit Target" where first half will be exited, and what is the "exit rule" where the second one will be ended?
// Exit #1 - MultipleOfOriginalPT
Close 50 % of position at 0.5 * original Profit Target;
// Exit #2 - None
Close Full remaining position at exit rule;
h
hankeys
26.11.2020 22:37
and second though - is really necessarily to count ATM trades as separate - so if i want 3 exits, my number of trades are tripled, how do i set the ranking criteria for ATM strats?
h
hankeys
27.11.2020 08:49
no failsafe, that my exits will make 100%? with this settings 50%+20% the builder will run, but its closing 50+50
TB
TB
Tomas Brynda
07.12.2020 11:53Status changed from In progress to Fixed
The algorithm assigns the last exit the remaining size of the order.
If the sum of the exits do not add up to 100%, the rest will be added to the last exit's size.
The description in pseudo code has been extended
Votes: +2
© Copyright. All rights reserved. ProjectPanel.com
