While using MetaStrategy (MS) noticed a few issues/deficiencies:
1. No Portfolio Weight option when using Common Capital Pool
Currently, one has the choice of using:
A. Common Capital Pool: This allocates capital equally among all strategies as the backtest progresses.
B. Portfolio/Strategy Weights: This simply divides the initial capital of the MS as per assigned weight and this becomes the starting capital of each strategy.
Sorely needed: Common Capital Pool WITH Portfolio Weights for each strategy so as the backtest progresses new positions are taken based on the % assigned to that strategy instead of equal %. While this could I suppose be achieved painstakingly by changing Position Size settings for each strategy one-by-one, it would be infinitely easier to have it done using the Portfolio Weight boxes (as a sub-option under Common Capital Pool) + this would allow for quickly reassigning weights and seeing their impact on the results.
Basically a combination of A and B.
This is how most traders trade.
2. Advanced Position Sizer parameters may not be strategy-specific
If a strategy in MS uses an Adv Sizer the settings you see by opening them may not be the one you set; rather, they'll likely be the one you set when you last used that Sizer in *any* strategy. In other words, they're being called up from some Adv Sizers' storage file, not from the strategy's xml file.
If so, this is wrong on 2 points:
- they should *always* be called from the strategy's xml file.
- the default parameters of all Adv position Sizers should *never* be allowed to be overwritten by a strategy, just as they're not for regular position Sizers; I can confirm this to be the case in the 2 Adv Sizers I've tested - Trading the Equity Curve and Pyramiding.
3. Profit Curves
Two issues on this tab:
- Strategy names at bottom are too dim, kindly make them less dim
- Color choices are static and some are fairly similar: Strategy #1 is always assigned red, #2 green, #3 orange/gold, #4 olive, #5 faint purple, #6 fuchsia, #7 pale blue and so on... Whatever the merits of fixed color choices (is this a TeeChart thing?), some colors are either faint or difficult to distinguish from others. Plus, if one adds, say, 10+ strategies to the MS the curves may overlap & criss-cross creating a bewildering pattern. Highlighting an individual curve + associated label (strategy name) on mouseover would help immensely, just like one can do with indicators in the chart window.
1. No Portfolio Weight option when using Common Capital Pool
Currently, one has the choice of using:
A. Common Capital Pool: This allocates capital equally among all strategies as the backtest progresses.
B. Portfolio/Strategy Weights: This simply divides the initial capital of the MS as per assigned weight and this becomes the starting capital of each strategy.
Sorely needed: Common Capital Pool WITH Portfolio Weights for each strategy so as the backtest progresses new positions are taken based on the % assigned to that strategy instead of equal %. While this could I suppose be achieved painstakingly by changing Position Size settings for each strategy one-by-one, it would be infinitely easier to have it done using the Portfolio Weight boxes (as a sub-option under Common Capital Pool) + this would allow for quickly reassigning weights and seeing their impact on the results.
Basically a combination of A and B.
This is how most traders trade.
2. Advanced Position Sizer parameters may not be strategy-specific
If a strategy in MS uses an Adv Sizer the settings you see by opening them may not be the one you set; rather, they'll likely be the one you set when you last used that Sizer in *any* strategy. In other words, they're being called up from some Adv Sizers' storage file, not from the strategy's xml file.
If so, this is wrong on 2 points:
- they should *always* be called from the strategy's xml file.
- the default parameters of all Adv position Sizers should *never* be allowed to be overwritten by a strategy, just as they're not for regular position Sizers; I can confirm this to be the case in the 2 Adv Sizers I've tested - Trading the Equity Curve and Pyramiding.
3. Profit Curves
Two issues on this tab:
- Strategy names at bottom are too dim, kindly make them less dim
- Color choices are static and some are fairly similar: Strategy #1 is always assigned red, #2 green, #3 orange/gold, #4 olive, #5 faint purple, #6 fuchsia, #7 pale blue and so on... Whatever the merits of fixed color choices (is this a TeeChart thing?), some colors are either faint or difficult to distinguish from others. Plus, if one adds, say, 10+ strategies to the MS the curves may overlap & criss-cross creating a bewildering pattern. Highlighting an individual curve + associated label (strategy name) on mouseover would help immensely, just like one can do with indicators in the chart window.
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