Back testing A Seventeen-Liner with D-VaR Position Sizing for the same dataset ranges from 2012/1/1 to 2012/12/31. It generates one open trade for Symbol A.Its entry date is March 1. PaperAccount1 balance is 118509.35. Trade shares is 11800, entry price is $7.98.
Strategy monitor shows the different result with the same setting. It generates two Sell alerts. One is for Symbol A, 11800 shares. It matches the back testing result. But the second alert is for Symbol B, 16000 shares, last close price is $4.95. The second alert confused me.
My question is why back testing shows one open trade which amount is less than the account balance, however strategy monitor shows two sell alerts which total amount is greater than the account balance?
I couldn't figure it out. Could you please help? Thanks so much.

Help menu: Wealth-Lab User Guide > Reference > Data Panel > Position Size Control > Operational difference between the Strategy Monitor and Backtester.

Thanks Eugene.

One more question, for D-VaR Position Sizing,I try to understand it as more as possible. What is its formula please? I went to the original article by D.Varadi: Introduction to D-VaR Position Sizing (Part 1), but there is no such formula. Where can I get it please? If Strategy Monitor provide two alerts, should I calculate the real trade manually by the formula? Thanks again.

The original article contains a step-by-step calculation procedure for the D-VaR pos.sizing:

QUOTE:
In this method we will use an incredibly simple approach:
1) take the daily returns for a given stock, index or strategy
2) compute the 5th percentile of returns (max tail loss)
3) select a budgeted risk level as a maximum daily loss such as 1% (conservative) or 1.5% (aggressive)
4) your position size is the budgeted risk level divided by the absolute value of the max tail loss
5) this position may not exceed 200%

I saw what you listed here in the original article but I have several questions.
1, what is the daily return here? how to calculate that?
2, In my understanding, 5th percentile represents the probability that is the daily return boundary which limits 5% lowest returns of all past transactions. Isn't it?

At last, in a portfolio, if there are multiple entry signals at the same moment, what symbol will be traded with D-VaR position sizing please?

Thanks so much for your help. Eugene.:)

1 - The daily return can be the daily change.
2 - Yes, 5th percentile of the lowest returns to date -- that's why the "max tail loss".
3 - It's not the "D-VaR sizing" that matters. Wealth-Lab's real-world position sizing rules apply here as with any portfolio simulation.

Thanks for your quick reply. Regarding the third item, what is rule of that please?

You can find them in the Wealth-Lab User Guide.

I got the answer in the same page as what you referenced. That is great! Thank you!

However how can I implement the strategy with the proper position sizing which I back tested on WLD. If I don't make mistake, in Market System Analyzer, we can manually calculate the next trade size. But in WLD, trading a portfolio, the next trading symbol is uncertain. Second the trade size can not be calculated manually. Do you have any idea?

Please take a look at Cone's suggestion below:

Position Sizing output from the Strategy Monitor

That's good idea. Thanks so much. My headache is gone. :)