 Posted 4/9/2007 18:34:40
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phg (4/9/2007)
The way I look at it, consider the case of multiple strategies but only one (shared) pile of money to draw from. How to apportion among the strategies? How to set an upper commitment to a (shared) symbol? How to 'pace' buy/sell to a single symbol? Where best to apply round lots or not? These are all 'distribution of funds' considerations and I see no way to do so optimally except centrally. So I guess I see the dividing line where the strategy aggregates the signal logic, basically down to yes/no, and the strategy manager handles funding and sizing, and issuing and tracking orders. Pete Agreed. However, i don't see executing entry and exit as being a function of strategy management. That said, I'm not familiar with the event driven order flow of RightEdge. Depending how that works then my point of view might not make so much sense. RE is event driven right? Is this documented somewhere? Am thinking aloud here and if it's in a really obvious place then apologies in advance... Thx - D
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Posted 4/9/2007 22:20:37
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Omega1 (4/9/2007)
phg (4/9/2007)
The way I look at it, consider the case of multiple strategies but only one (shared) pile of money to draw from. How to apportion among the strategies? How to set an upper commitment to a (shared) symbol? How to 'pace' buy/sell to a single symbol? Where best to apply round lots or not? These are all 'distribution of funds' considerations and I see no way to do so optimally except centrally. So I guess I see the dividing line where the strategy aggregates the signal logic, basically down to yes/no, and the strategy manager handles funding and sizing, and issuing and tracking orders. Pete Agreed. However, i don't see executing entry and exit as being a function of strategy management. That said, I'm not familiar with the event driven order flow of RightEdge. Depending how that works then my point of view might not make so much sense. RE is event driven right? Is this documented somewhere? Am thinking aloud here and if it's in a really obvious place then apologies in advance... Thx - D Event driven refers to the fact that the trading system logic is executed in response to new bars or new ticks coming in. This helps prevent "looking into the future" when backtesting, and allows the same logic to be used for live trading as for backtesting. I'm not sure if you would call our order routing event driven. Your system can call various methods such as OpenPosition, ClosePosition, AddToPosition, SetProfitTarget, etc. These all end up as method calls to the position manager. The position manager actually submits the corresponding order to the broker. If the maximum number of open positions has been reached, the position manager will not open a position when OpenPosition is called. So you might say that it is the position manager, not your trading system, which currently handles entry and exit, since it is what interacts directly with the broker. But this doesn't limit what you can do, unless you choose to by setting a maximum number of open positions. To me, the strategy manager would work the same way. You are giving up some control, but you are giving it up voluntarily to the strategy manager. If you don't give up this control then the strategy manager can't really do much. The entry and exit orders ultimately do originate from your strategy, but they may be rejected or sized by the strategy manager. Does this help clear things up? Daniel
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Posted 4/10/2007 16:12:06
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| I see that your proposing a solution that fits within the existing RE structure. That's okay but I have a question that I will put to you by using a case example... A trading strategy trades multiple systems. The rules stipulate that any one system can only allocate a maximum of 5% equity to a single market (Crude Oil) with a maximum 10% market exposure exposure across the wider portfolio of systems. Where is the demarcation between portfolio and system level money management? The way I read your description the position manager sits logically below the trading system entering, exiting & tracking market positions while interfacing with the broker. If that's the case then my example above would cause problems and require a higher level manager with wider visibility across the portfolio. Then the strategy manager as you envisage it (at the system level) would take tactical money management decision so long as they don't contravene the limits imposed by the portfolio level management I'm in favour of. IMO, the developers at RE need to take a closer look at how money management, exposure management and risk management interact at the strategic and tactical levels. This forum isn't really the right place to bottom it out, though the discussion is interesting. Thx - D
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Posted 4/10/2007 16:44:25
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Omega1 (4/10/2007)
I see that your proposing a solution that fits within the existing RE structure. That's okay but I have a question that I will put to you by using a case example... A trading strategy trades multiple systems. The rules stipulate that any one system can only allocate a maximum of 5% equity to a single market (Crude Oil) with a maximum 10% market exposure exposure across the wider portfolio of systems. Where is the demarcation between portfolio and system level money management? I would have the strategy manager ensure that both the per-strategy and portfolio-level limits were enforced. Is there a need for the per-strategy limits to be implemented seperately for each strategy? (As an aside, it looks like you are using these words the opposite of the way I am. I think of a trading system consisting of multiple strategies (and the associated portfolio/risk management logic), while you mention a single strategy having multiple systems.) Omega1 (4/10/2007)
The way I read your description the position manager sits logically below the trading system entering, exiting & tracking market positions while interfacing with the broker. If that's the case then my example above would cause problems and require a higher level manager with wider visibility across the portfolio. Then the strategy manager as you envisage it (at the system level) would take tactical money management decision so long as they don't contravene the limits imposed by the portfolio level management I'm in favour of.Currently the position manager sits between the trading system and the broker. With support for multiple strategies, I envision a single strategy/risk/money manager, that would sit between a single position manager and multiple trading strategies. Omega1 (4/10/2007)
IMO, the developers at RE need to take a closer look at how money management, exposure management and risk management interact at the strategic and tactical levels. This forum isn't really the right place to bottom it out, though the discussion is interesting.I have to admit I'm not really familiar with the interaction between the strategic and tactical levels of portfolio management. I would certainly welcome a link to some information on this. However, I don't think that there is going to be a single money/risk/portfolio management model that all of our users are going to want to use. But we aim to make our architecture flexible enough to accomodate everyone's need. I don't know why you say this isn't the place to discuss this... we certainly don't have a problem with discussing it here if you don't  Daniel
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Posted 4/18/2007 00:55:41
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First, I want to note that using “managers” to delegate operations to and use as a Sync mechanism is fine on back tests, but depending on the system in “live” action, you better make sure it operates fast, or it could very well fall behind; That is not good if the price is moving away from you :-) These could be bottle necks even if the strategies were each ran on separate threads.
Also, what seems to me to be the source of confusion to the discussion and maybe missing is that the description of the dependency of the strategies is a strategy itself at some level! This would allow nicely nested systems, including possibly neural networks of strategies.
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Posted 6/30/2007 21:17:38
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Has any development on the multiple system testing concept item occurred? If not, are there any plans to include this in future roll-outs?
I know that this is one item I would like to see be put into production and would be very beneficial for higher-end users.
TradingBlox appears to do this very well and I think that is one of the strong points of the program.
Curtis Faith's new book 'Way of the Turtle' has some good information on why one would run multiple systems at once. Basically, running multiple non-correlated systems allows one to have a smoother equity curve with a similar or lower drawdown statistics.
Regards,
Eric
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Posted 7/1/2007 04:57:12
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I would be a big advocate of multiple systems running at once.
Currently I use my own code base to execute my FX systems. I have 6 accounts with each account having the ability to run multiple systems over multiple currencies over multiple time frames. If I were to try and run this in RE via one system the code base would get out of hand.
As the systems pull their variables from a database I also have the ability to turn them on/off with the click of a button. If this type of functionally could be built into RE then you have a major leg up over any other S/W.
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Posted 7/1/2007 17:27:55
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| This is high on the list for post 1.0. Multiple systems, large data sets, tick by tick simulations are all real high items.
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