Simultaneous long/short strategies in Tradestation

[mandelmus]

I noticed that Tradestation won't let me go long and short a position on the same symbol at the same time.  If I'm long and the strategy triggers a short, my long will be closed out and the short will be opened.  Does Builder consider this effect when calculating performance when it builds long/short strategies that allow more than one trade to be opened at a time (if we have the option to "Wait for exit before entering new trade" unchecked)?

[Ernest Martinez]

Thats a TS quirk and is not considered by builder. TS basically uses and algorithm to determine which of the 2 positions should be in effect at any time. If you notice in your strategy positions screen, there will be an order type "multiple orders held". This means that one of your 2 orders are held and it will toggle between them. I think it's crappy, but thats just the way it works.

Ernie

[Michael R. Bryant]

Yes. Builder is designed to handle this the same way TradeStation does.

 

Mike Bryant

 

Subject: Simultaneous long/short strategies in Tradestation

[Mark Knecht]

On Sun, Aug 12, 2012 at 2:46 AM, mandelmus <gmb...@gmail.com> wrote:
> I noticed that Tradestation won't let me go long and short a position on the
> same symbol at the same time. If I'm long and the strategy triggers a
> short, my long will be closed out and the short will be opened.

Not discussing Builder, but technically this is only the default
operation in TradeStation, but it is not correct to state that
TradeStation won't allow it because it will, just not on the same
chart, and only if you don't use any of the functions that determine
how many contracts you currently hold. (Which TTBOMK Builder does not
use.)

RTF (TradeStation) M for more information.

HTH,
Mark

[mandelmus]

Thanks for the info.  Ya, I got a bunch of "<Rejected>" trades with messages saying "Reason: Boxed positions are not permitted. There are existing orders to buy."  I used to hedge positions all the time in Forex, but thanks to our good buddies at the NFA and CFTC, it's not allowed anymore.

 

 

Well, this has made me rethink how to selection options properly in Builder when searching for strategies that trade both long and short and allow multiple simultaneous positions.

 

Since Tradestation rejects "boxed positions", I guess I'll have to find strategies that trade either "Long Only" or "Short Only" or I'll have to place a check in "Wait for exit before entering new trade" when searching for "Long/Short" strategies.  Maybe Mike could add a "Long Only OR Short Only" option.

 

[mandelmus]

oh good, thanks

[Michael R. Bryant]

"Wait for exit before entering new trade" is the same as "Long Only OR Short Only"

 

Mike Bryant

 

Subject: Re: Simultaneous long/short strategies in Tradestation

[Ernest Martinez]

I should have said 1 "POSITION" to be open at one time.

Ernie

On Mon, Aug 13, 2012 at 1:59 PM, Ernest Martinez <erni...@gmail.com> wrote:

Mike can you explain this answer.

I have always used wait for exit before entering new trade while using long/short strategies. Long only or Short only does just as it says. I thought wait for exit only allowed 1 order to be open at a time.

Ernie

[Ernest Martinez]

Mike can you explain this answer.

I have always used wait for exit before entering new trade while using long/short strategies. Long only or Short only does just as it says. I thought wait for exit only allowed 1 order to be open at a time.

Ernie

On Mon, Aug 13, 2012 at 1:53 PM, Michael R. Bryant <m...@breakoutfutures.com> wrote:

[Michael R. Bryant]

Maybe I don’t understand what you mean by “long only or short only”.

 

“wait for exit” does exactly what it says. It waits until the current trade exits before placing the order for the next trade.

[Ernest Martinez]

Right and then you also have strategy options which specify long only or short only. You stated that Wait for exit is the same as Long only or Short only.

[Michael R. Bryant]

You said you wanted a “Long Only OR Short Only" option, so I assumed you were referring to something other to what’s already in the program. If you were referring to the existing option for long only or short only trades, then never mind.

[mandelmus]

On Monday, August 13, 2012 12:53:19 PM UTC-5, MikeBryant wrote:

"Wait for exit before entering new trade" is the same as "Long Only OR Short Only"

 Mike Bryant

By "Long Only OR Short Only" I meant Builder would simultaneously find strategies, regardless of "Wait for exit before entering new trade", that either have only "Long" trades or only "Short trades" but NOT both in the same strategy. 

 

Just as Ernie said, to me, unchecking "Wait for exit before entering new trade" only refers to holding a single position, in either direction, at a time.  Isn't that right?

[Michael R. Bryant]

I’m not sure there would any advantage to doing that versus finding long-only strategies in one build followed by short-only strategies in the next one. The end result would be the same.

 

Mike Bryant

 

 

Subject: Re: Simultaneous long/short strategies in Tradestation

 

On Monday, August 13, 2012 12:53:19 PM UTC-5, MikeBryant wrote: