Cumulative Performance with Reinvesting ?
Author: bigblue35
Creation Date: 4/13/2015 3:26 PM
profile picture

bigblue35

#1

I am new to WL and having trouble figuring out a few things .. or where to turn

Specifically how to show cumulative performance with funds re-investing after each trade closes rather than it using the initial amount for each trade.

Example: Currently if I have 6 trades at various intervals and enter $100,000 as initial amount it will use $100,000 for each trade rather than including profits from the previous trade.

Any help on this is appreciated .. thanks
profile picture

Eugene

#2
QUOTE:
Specifically how to show cumulative performance with funds re-investing after each trade closes rather than it using the initial amount for each trade.

Wealth-Lab does re-invest the funds after each trade by default in a Portfolio Simulation mode. (On the contrary, it takes an extra step to turn reinvesting off using e.g. Position Options PosSizer's option "Don't reinvest".)

QUOTE:
Example: Currently if I have 6 trades at various intervals and enter $100,000 as initial amount it will use $100,000 for each trade rather than including profits from the previous trade.

You've selected a Raw Profit mode where each trade is sized with $100K. Switch to a Portfolio Simulation mode; there's similar "Fixed Dollar/Margin" option but it behaves differently (e.g. unlike Port.Sim mode, RP mode is not aware of equity).

On the differences between RP and Port.Sim modes, see the User Guide > Reference > Data Panel > Position Size Control > Raw Profit Mode and Portfolio Simulation Mode.
profile picture

bigblue35

#3

Thanks for feedback .. to clarify .. are you saying I need to turn off the default so that it will reinvest? If so, where is this located?
profile picture

bigblue35

#4

I just re-read your post. Apologies .. I see where it IS reinvested by default

I entered the amount under Fixed dollar within Portfolio mode but it seems to be doing the same thing so I was thrown off
profile picture

bigblue35

#5

I see the problem we were having. Needed to enter position size based on equity rather than fixed amount it looks like.
profile picture

Eugene

#6
Exactly:

QUOTE:
Switch to a Portfolio Simulation mode; there's similar "Fixed Dollar/Margin" option but it behaves differently (e.g. unlike Port.Sim mode, RP mode is not aware of equity).
profile picture

WLP123

#7
QUOTE:
Wealth-Lab does re-invest the funds after each trade by default in a Portfolio Simulation mode. (On the contrary, it takes an extra step to turn reinvesting off using e.g. Position Options PosSizer's option "Don't reinvest".)


Eugene, if I understand the results of using this extra step, it seems to only apply to the size calculation itself, while the profits are still plowed back into trades. Is that correct?

If I want limit the Cash available to trade at any point to the Starting Capital amount, I should use the "Max Invested $" and manually enter it the same as the Starting Capital. Would that produce the desired effect of not plowing the profits back into trading?

Lastly, what is the expected end result/logic if both options are used - i.e. "Don't reinvest" as well as "Max Invested $"?
profile picture

Eugene

#8
"Don't reinvest" simply uses the original starting capital value, always. Now I realize that the treatment was perhaps too simple: it can go against you while system is losing money by increasing the size. So for example, starting equity = 100K, current equity = 95K, "Don't reinvest" forces the PosSizer to base itself upon the starting equity. We don't expect our systems to lose but still, I think it should be fixed like this: take the least of the two numbers -- current equity or equity at bar 0. Agreed?

WL cannot be made to not reinvest profits and/or backtest deposits or withdrawals. But with "Don't reinvest" and/or "Max Invested..." we can influence the position size. Your line of thinking re: applying both options makes sense. If you find some unexpected results from please let the forum know.
profile picture

WLP123

#9
QUOTE:
take the least of the two numbers -- current equity or equity at bar 0. Agreed?

Yes, agreed.

QUOTE:
But with "Don't reinvest" or "Max Invested..." we can influence the position size

Still not clear how "Max Invested $" affects the position size. Seems that it should only be used to reject trades when total (rolling) invested amount at any point is already equal to or more than specified amount (or at least that's what the implication seems to be). And if so, wouldn't that in essence be the same as not reinvesting profits (if max amount is set equal to Starting Capital)?
profile picture

Eugene

#10
"Don't reinvest" sizes each Position regardless of the current equity, always using starting capital.

"Max Invested $" sums up the Position size of all open positions and, if taking the next position to be sized will exceed a threshold, rejects the Position.
profile picture

WLP123

#11
Thanks for clarifying.
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).