10-month SMA Rule-based strategy misses some trades
Author: tobiastempus
Creation Date: 6/8/2020 9:29 AM
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tobiastempus

#1

6/8/2020 9:29 AM

hello,

i made a simple sma 10 month strategy but it missed some trades at the backtest .

For example 2009 (i made green and red arrows for the missed trades)

best regards

tobias tempus
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Eugene

#2

6/8/2020 9:41 AM

Hi Tobias,

The trades are skipped due to position sizing constraints i.e. "100% Equity" (or close). You will find an explanation in the User Guide > Strategy Window > Backtesting Strategies > 100% of Equity Sizing, "How can this Cause Dropped Trades?" in particular.

Solution:

1) switch to a Raw Profit mode or
2) choose a lower Percent Equity value (like 90-95%) to account for the gap open and/or bump up the Margin Factor a notch.
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tobiastempus

#3

6/8/2020 9:52 AM

now i understand it.

thank you
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Eugene

#4

6/8/2020 9:59 AM

Glad I could be of assistance.
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