Hi,
just started using EdgeRater and I just wanted to start by simulating a basic ETF RS rotation using the HGSI Ian Slow RS, however I seem to have encountered a problem.
I have 13 symbols loaded into my symbol list, for my entry I have selected "IanSlowRSForRanking" as the security selector ( there are 2 other Ian Slow RS scripts, so I'm not exactly sure which one I should be using). I am using "Rank by value" as the Rank selector and selecting 1=N Top to select the top 1 position.
For exits, again I'm using IanSlowRSForRanking and rank by value, N=10 Bottom
So in my mind what should be happening is that an entry should be triggered for the 1 top symbol ranked by RS and that position should be exited when the symbol rotates into the bottom 10 positions , again ranked by RS. However, there are many trades taken for 2 days whereby the symbol selected to buy is then straight away exited. (IYE) only to be bought again the next day. This doesn't make sense to me, why are the trades being exited instead of held.? The screen shots show the some of the entries and exits and trades in question.
Appreciate if I can get some help as it seems my understanding of how the program works seems to be a little off..
regards
Ivan
ETF rotation error ?
Moderator: Chris White
ETF rotation error ?
- Attachments
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- trades
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- exits
- exit.png (71.85 KiB) Viewed 38051 times
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- entries
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Chris White
- Posts: 212
- Joined: Mon Nov 29, 2010 9:21 pm
Re: ETF rotation error ?
Hi Ivan,
You are thinking correctly about how it should work. The 'ForRanking' script produces an output value that is then used by 'RankByValue' ranker which should then sort the list of entries and exits for each day accordingly.
IanSlowRSForRanking produces a new value each week for each stock in your symbol list. So, if you do a RankByValue on that script you will get the same ranking for 5 days in a row and then the ranking should change.
You can check this by setting the N value to be 10 or so and running it on the entries or exits. In these next images you can see I've ranked by top 10 and bottom 10 and you can see how the ranking is reversed.
So, try just doing that to make sure you are seeing the correct rankings. Remember to 'Run' each time you change a parameter. You need to 'Run' the entries and Exits separately to produce the symbols.
If you can get that working then the trade simulation part should just work.
You are thinking correctly about how it should work. The 'ForRanking' script produces an output value that is then used by 'RankByValue' ranker which should then sort the list of entries and exits for each day accordingly.
IanSlowRSForRanking produces a new value each week for each stock in your symbol list. So, if you do a RankByValue on that script you will get the same ranking for 5 days in a row and then the ranking should change.
You can check this by setting the N value to be 10 or so and running it on the entries or exits. In these next images you can see I've ranked by top 10 and bottom 10 and you can see how the ranking is reversed.
- Entries ranked by IanSlowRS Top 10
- ianslow_rankbyvalue_top10.png (66.83 KiB) Viewed 38037 times
- Entries ranked by IanSlowRS Bottom 10
- ianslow_rankbyvalue_bottom10.png (71.88 KiB) Viewed 38037 times
If you can get that working then the trade simulation part should just work.
Re: ETF rotation error ?
Hi Chris,
this doesn't seem to be working for me. To make it easier to explain, I have attached the screenshots which show that IYE is being ranked for entry and exit at the same time, so in this case I"m just wanting to see the top ranked symbol for entry and that symbol should exit when it's the lowest ranked one, in my mind the 2 states are mutually exclusive, in a list of multiple symbols it cannot be best ranked for both states.
That's why when I run the trading simulation, IYE keeps getting bought and sold every 2 days because it's the the top rank for both exit and entry at the same time.
regards
Ivan
this doesn't seem to be working for me. To make it easier to explain, I have attached the screenshots which show that IYE is being ranked for entry and exit at the same time, so in this case I"m just wanting to see the top ranked symbol for entry and that symbol should exit when it's the lowest ranked one, in my mind the 2 states are mutually exclusive, in a list of multiple symbols it cannot be best ranked for both states.
That's why when I run the trading simulation, IYE keeps getting bought and sold every 2 days because it's the the top rank for both exit and entry at the same time.
regards
Ivan
- Attachments
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- trades
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- exit
- IYE top rank for exit.png (45.27 KiB) Viewed 38032 times
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- entry
- IYE top rank for entry.png (45.06 KiB) Viewed 38032 times
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Chris White
- Posts: 212
- Joined: Mon Nov 29, 2010 9:21 pm
Re: ETF rotation error ?
Hi Ivan,
To get more info on this, could you set both entries and exits to get top/bottom 20 instead of just one. That way we will get a better idea for how the ranking selector is ranking on your system.
Thanks,
Chris.
To get more info on this, could you set both entries and exits to get top/bottom 20 instead of just one. That way we will get a better idea for how the ranking selector is ranking on your system.
Thanks,
Chris.
Re: ETF rotation error ?
Hi Chris, please see attached screenshots of the ranking for 20 , to me the ranking for entries and exits are the same.
regards
Ivan
regards
Ivan
- Attachments
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- exits
- exit top 20 rank.png (66.53 KiB) Viewed 38029 times
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- entries
- entries top 20 rank.png (65.57 KiB) Viewed 38029 times
Re: ETF rotation error ?
HI Chris,
what's your thoughts ?
regards
Ivan
what's your thoughts ?
regards
Ivan
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Chris White
- Posts: 212
- Joined: Mon Nov 29, 2010 9:21 pm
Re: ETF rotation error ?
Well, if you are flipping the Ranking Selector from Top N to Bottom N and the sorting in the grid doesn't change then something is up. We might need to arrange an online session so that I can see your screen and figure it out. Please send me an email and we can arrange a time.
Chris.
Chris.
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Chris White
- Posts: 212
- Joined: Mon Nov 29, 2010 9:21 pm
Re: ETF rotation error ?
Just following up with what we found during the support call:
The earliest dates in the list were ranking the same regardless of 'Top' or 'Bottom' because the value used for ranking was not set due to the indicator requiring 200 lead bars before it outputs a value.
We worked around this by setting the date filter up for the required date range and then ensuring that we had at least 200 bars downloaded prior to that date.
The earliest dates in the list were ranking the same regardless of 'Top' or 'Bottom' because the value used for ranking was not set due to the indicator requiring 200 lead bars before it outputs a value.
We worked around this by setting the date filter up for the required date range and then ensuring that we had at least 200 bars downloaded prior to that date.
- Using the date filter
