A 10% entry-level stop on the R2G SZS Large Cap S&P Defensive (Focused) should have been activated by PKI, but PKI remains on the portfolio. Any issues we should be aware of?
SZ - R2G doesn’t implement intraday stops. The stop only occurs if the condition is active at the end of the week.
Steve
Also if “Allow sold holdings to be re-bought at current rebalance” is set to yes then the model will not exit the position if the ranking system wants to re-buy it.
Steve says :
“R2G doesn’t implement intraday stops. The stop only occurs if the condition is active at the end of the week.”
But from what the AtoZP123Guide says on pg. 193, the holdings are evaluated daily when stop-loss is enabled,
so if R2G does it differently, then we really won’t get R2G results consistent with the model.
Seems like a serious problem to me.
CK
geov what you said makes sense, but would it not be bought at the rebalance date? In either case, it seems to me this might be the answer.
Also i forgot to mention this stock has spent various days at the stop level, not just any one day.
tnx Steve. why weekly instead of daily?
SZ - P123 would have to be generating the daily stop price and sending it out to subscribers. And when a Stop is triggered then this would also have to be reported to subscribers. That doesn’t happen, so I don’t believe daily stops are supported in R2G. Someone can correct me if I’m wrong.
Steve
I think that Steve is correct. P123 algo looks at the Friday close and checks whether it is X% below the highest close since the position was started. If so it will sell unless “Allow sold holdings to be re-bought at current rebalance” is set to yes. Then it will check ranking of the stock and if rank is high enough it will re-buy at the current rebalance. This sell and re-buy is not reported.
Georg - the sell and re-buy will be reported as a “reduce holdings” or buy depending on which way the stock holding will be adjusted. Generally the quantity won’t be the same. The issue is not sell/buy but intra-week stops.
Steve
So are the Stats, Max DD, charts, etc. that are shown for any R2G model using stop-losses calculated using the Friday close price as the trigger or are they calculated using the stop-loss method described on pg. 193 of the AtoZ Guide? It sounds like R2G really doesn’t handle stop-losses like they are used in an actual real account.
Yes, it seems they do not. I do think this way could help prevent “whipsaw” though, specially given that it considers the ranking system in order to decide on the stop sale.