Position Options: Don't Reinvest
Author: Shaaker
Creation Date: 8/8/2020 11:18 PM
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Shaaker

#1
"Position Option" does not seem to work properly when "Don't reinvest" is selected. The capital for the number of trades shown exceeds the available capital (including margin factor.) It executes all the alerts, and does not limit the trades to the existing capital.
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Eugene

#2
Due to a long-standing bug in WL6 (to be fixed in WLD 6.9.24), some options like "Max Open Positions" currently do not consider Alerts and work for backtests only. I'm not sure but it's possible that this may be another case.

If it concerns backtested trades, can you attach a screenshot of the Options dialog and provide some test case (strategy, symbols, data range)?

P.S. It's best to avoid generalized topic titles like "problem with Position Options" and parasite words like problem. "Position Options: Don't Reinvest" sounds more targeted, right?
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Shaaker

#3
This is affecting back testing results. I have attached screen shots of two identical back-tests with only difference of using or not using "don't reinvest". The basic position sizing in both is Max Risk Pct of 2%, and nothing else is selected in Position Options setting. Starting Capital is $12500 with margin factor of 4. In the test with "don't reinvest" not selected the capital has grown to roughly $19700 by 7/16/2020.

You can compare the number of trades and the required capital on 7/16 and 7/17 between the two back-tests to see the point.
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Eugene

#4
I see that with "Don't reinvest" selcted the position sizes in general are considerably smaller, as expected.
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