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probtrader
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ITALY
Joined: Oct 11, 2004
Posts: 109
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Buy/Sell Rule Difference Reply to this Post
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The simulator report includes a list of all closed transactions and the specific sell rule that caused the sale of an open position.
For example:

12471 07/09/07 BUY XRM 1,375.0 $7.26 $-9,997.48 $-14.98 30.3 "My Sell Rule"

Sometimes the position is labeled as "Buy/Sell Difference". What does that mean?
[Jul 10, 2007 4:07:56 AM] Show Post Printable Version     [Link] Report threaten post: please login first  Go to top 
Stittsville123
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CANADA
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Re: Buy/Sell Rule Difference Reply to this Post
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When you run a sim or setup a port there is a check box on the first page asking if you wish to buy stocks that have been sold on the same rebalance period. You have that check box checked.

The port is selling a stock and then immediately buying it back with a different quantity. This occurs if a stock meets the sell criteria but also the buy criteria (and is within the top stock rankings). P123 reports the net difference between the buy and sell quantity only.

Steve
[Jul 10, 2007 4:51:08 AM] Show Post Printable Version     [Link] Report threaten post: please login first  Go to top 
jerrodmason
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UNITED STATES
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Re: Buy/Sell Rule Difference Reply to this Post
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(Stittsville) The port is selling a stock and then immediately buying it back with a different quantity. This occurs if a stock meets the sell criteria but also the buy criteria (and is within the top stock rankings). P123 reports the net difference between the buy and sell quantity only.

Steve, this is one of my pet peeves. In a feature request back in 2005, I had asked for an option whereby Sell rules would be overridden if the stock met the Buy rules. However, it was implemented as a Sell-Then-Buy sequence. Problems:
  • creates two additional transactions (distorting the hold time and turnover stats)
  • adds fake commissions & slippage (decreasing the calculated return)
  • changes the AvgWin & AvgLoss stats in unpredictable ways.
Until (if) Marco fixes this situation, it's good to keep these factors in minid when evaluating a Sim that uses the buyback option.

Cheers,
J
----------------------------------------
The smart money was on Goliath.
"He's not the Messiah. He's a very naughty boy."

[Jul 11, 2007 11:36:34 AM] Show Post Printable Version     [Link] Report threaten post: please login first  Go to top 
Isaac
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UNITED STATES
Joined: Apr 30, 2010
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Re: Buy/Sell Rule Difference Reply to this Post
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Marco,
It would be very useful to have this "buy/sell difference" phenomena
fixed, when you have time.
Thanks, Isaac
[Sep 9, 2010 4:00:19 PM] Show Post Printable Version     [Link] Report threaten post: please login first  Go to top 
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