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I’m trying to run a rolling window analysis on a daily basis, but I noticed that it is executing more than 40 trades in a day.
Have I set it up incorrectly?
if you specify that the max open positions as 40 and you have enough cash for it then it should give you maximum of 40.
Yes I set the MCS to 1
here’s the code I’m using:
Code://=====================================================================
//Backtesting
//=====================================================================
SetTradeDelays(0,0,0,0);
SetOption(“UsePrevBarEquityForPosSizing”,True); //Use equity available on setup day when order is placed
Capital = Param(“Initial Equity $”,100000,1000,10000000,100);
SetOption(“InitialEquity”,Capital);
MaxPos = Param(“Maximum Position Size”,40,5,1000,1);
SetOption(“MaxOpenPositions”,MaxPos);
SetOption(“AllowSameBarExit”,True);
SetOption(“AllowPositionShrinking”,False); //default off
SetOption(“InterestRate”,0); //default 0
SetOption(“MinShares”,1); //minimum 1
SetOption(“MinPosValue”,1); //minimum 1
ActMarg = Param(“Set Margin”,25,50,100,25);
SetOption(“AccountMargin”,ActMarg);
PositionScore = mtRandom();
//———————————————————————
“”;
“Position Sizing Method”;
PosSizeMethod = ParamList(“Position Sizing Method:”,”|Fixed $ Position Size|Fixed % of Portfolio Equity”,2);//risk calculations
//Fixed $ Position Size
FDAmount = Param(“Fixed $ Position Size”,5000,100,100000,100);//Fixed % of Portfolio Equity
FPAmount = Param(“Fixed % of Portfolio Equity”,10,0.1,100,1);if (PosSizeMethod == “Fixed $ Position Size”) SetPositionSize(FDAmount,spsValue);
if (PosSizeMethod == “Fixed % of Portfolio Equity”) SetPositionSize(FPAmount,spsPercentOfEquity);
//=====================================================================
_SECTION_END();//n-month rolling returns
run = Optimize(“run”, 1, 1, 1, 1);
You can see this is a daily walk forward and the number of trades is over 40.
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