Dear Alexander, well, if taking into account the available non-margined capital would be supported by JBT, you could take an artificially high margin. (e.g., 15.000) to control how many strategies to trade.
All of this is certainly just a workaround as JBT is inherently a single strategy trading tool. (While it allows to handle more than one strategy it is not good to take any interrelations into account, let alone backtest this. But I preferred to temporarily deactivate the strategies as continuous resubmission of trades seem to take significant time and could even make it difficult to close an already open position. (of course you are right that one should not trade so close to capital, but then again, I prefer to have the remaining money in a different account, so it can never be eaten away by a strategy and run the autotrading with minimal money.) @Judson. you are perfectly right. Modifying the trade behavior is inherently unsafe (well as trading always is, to start with). However, if the individual strategies are inherently unrelated (as they should be), then the different strategies will impact each other randomly. Thus, on average there should not be a difference. If they are positively correlated (I sometimes do this in the sense that I use multiple derivates from the same base strategy: in this case if one closes out the other, it is actually a desired effect. In particular, as this can point to the possibility that one is loosing money, then I do not want to increase leverage using this kind of strategy.) But well, this would all of course be better to do with a portfolio-based tool.. - Unfortunately, I do not know one that could be used for this. Cheers Klaus Am Samstag, 11. Mai 2013 00:31:24 UTC+2 schrieb Judson Wilson: > > Also, limiting the number of contracts trading makes all backtesting / > optimization results null and void if you test your strategies in > isolation. > > If your strategies tend to have correlated winning trades and uncorrelated > losing trades, you are going to kill your profit ratios. > > The only way to properly handle this is to combine your strategies into > one big mother strategy with the position limits built into it, so you can > do proper backtesting and optimization. > > > > > On Fri, May 10, 2013 at 12:39 PM, Borg Alexander > <[email protected]<javascript:> > > wrote: > >> Klaus, you are right. The issues are indeed connected. You can get an >> order rejection because of margin requirements which in turn relates to the >> number of open contracts (not strategies), which in JBT we cannot handle so >> far (only maximum strategies). Of course there are other reasons to get a >> rejection. That's why the handling of rejections should not be tied to >> margin violations but dealt with separately. >> >> As to your remark: >> >> >>> there does not seem to be a way in JBT on how to identify how much >>> non-margined capital is available >> >> >> This is true. With 'reqAccountUpdates' it would be possible to determine >> exactly what your Net Liquidation Value, Margin, Buying Power is. However, >> it is not possible to determine the Initial or Maintenance Margin of any >> given asset by means of the API. Years ago I asked this question and IB >> told me that they regard this as some kind of 'confidential information'. >> Note that margin requirements can change at any time without notice. The >> only way to identify IB's current margin requirement for any given symbol >> is to make an order ticket in TWS and press 'Check Margin' (tell me if this >> is not true anymore). >> >> That's why a reliable method to avoid rejections because of insufficient >> margin simply does not exist. This is because of IB, not JBT. >> >> But honestly, to use up all your margin by ES contracts is very risky and >> not advisable. I could open more that 20 ES contracts but currently trade >> only up to 5. In my opinion, the bottom line is that this kind of 'filter' >> is not needed and would complicate JBT unnessesary. >> >> -- >> You received this message because you are subscribed to the Google Groups >> "JBookTrader" group. >> To unsubscribe from this group and stop receiving emails from it, send an >> email to [email protected] <javascript:>. >> To post to this group, send email to [email protected]<javascript:> >> . >> Visit this group at http://groups.google.com/group/jbooktrader?hl=en. >> For more options, visit https://groups.google.com/groups/opt_out. >> >> >> > > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader?hl=en. For more options, visit https://groups.google.com/groups/opt_out.
