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JimDean
Posted 1/28/2011 10:14 AM (#1841)
Subject: Using SW separately for Longs & Shorts



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In the OT Pro forum, the question was asked:

I have a strategy that goes long and short - but my exits for each of them are different.

1) Will SW recognize the difference between the long and short?
2) Will I get reports (stats) for each long and short?

or do I need to set up two separate strategies so I can separate the exit for long and the exit for short and test them individually?


If you want SW reports separately for long and short trades, you'll need to set up the strategy differently - but two separate strategies are not necessary.

Create a SECOND SYSTEM LINE in your strategy builder below the existing one, and duplicate all the blocks. The snapshot illustrates the layout ... the actual contents of the blocks are not meaningful since I just threw this together for illustration.

Set up the top System block as Longs only, and the bottom System block as Shorts only. This allows you to use SW to SEPARATELY TUNE the param's for the System, Filter & Confirm Blocks for Long vs Short trades.

The snap shows two separate SW runs that are drawn from the two different lines, actually optimizing different param's for Longs than for Shorts.



(dual system strategy.png)



Attachments
Attachments dual system strategy.png (40KB - 5 downloads)
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RobKidwell
Posted 1/28/2011 11:58 AM (#1843 - in reply to #1841)
Subject: Using SW separately for Longs & Shorts


Jim,
Time Permitting: Can you comment on any practical advantages with utilizing two separate strategies?
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JimDean
Posted 1/28/2011 12:06 PM (#1844 - in reply to #1843)
Subject: Using SW separately for Longs & Shorts



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The point of the initial post was to show it could be done with just one strategy ... however, the value of using TWO strategies, besides bookeeping, would probably only be if you had an Orders Block instead of a Trade Plan. The TP allows separate-everything for Longs and Shorts, so there's no need to split it up. But the Orders Block uses the same rules for long and short ... so you'd want to use two sep strat's for that case I suppose.

An advantage of splitting them up might be that you'd want to mix-and-match them separately for different profiles.

An advantage of combining them would be to have the TP manage the various signals together, and to "remember" that they are somehow logically related.

Note that my example had the same Sys block in both rows, but it did not have to be.

Strategy Builder, long ago and far away, USED to be an "add-on" for OT. I would have ranked it as MORE important than "going to Pro", back in those days. It is an incredibly powerful and easy-to-use tool.
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BillLeake
Posted 1/30/2011 1:16 PM (#1859 - in reply to #1843)
Subject: Using SW separately for Longs & Shorts



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Rob

Some symbols are better long only (2x 3x ETFs I find like long only but I also trade regular stocks so I have the FL set up like this) and some work well long and short. You can customize which strats fire against which symbols in the FL, so that is one place where separate strats may be a player even if they are basically 1/2 of the same strat

Also if the strat is long and short vs 2 strat for long and 1 for short you can see some differences in the post sim due to competeing for the passed signal and competing for equity. IOW the long and short strat may not allow a signal due to the vote block set-up or may call for an exit if "use reversing signals" is checked while the long only/short only strats don't have those issues
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