Posts: 3
Joined: 2/3/2018
User Profile Hello,
I am sure someone here has explored this, but I seem to be struggling given the vast parameters in the ATM settings.
Simply put, I am looking to set up a portfolio where the ATM takes 5% of equity position in each symbol, have 10 Longs and 10 Shorts.
Ideally, I would imagine that with the Trade Ranking in place, the ATM would select the top 10 longs and 10 shorts and trade them... I am not seeing that in my back test. It seems there is a bias of Longs when tested from 1/1/2002 onwards..
There are about a 1000 symbols in my focus list, so really am scratching my head as to why the 10 Longs occur and at times no shorts!.. BTW is there a better report to look and verify this than just looking at all the trades and keeping a score how many Longs and Shorts are opened simultaneously?
Thanx for the guidance... If anyone here can post their Allocation settings that could achieve this, I am sure other users (present or future) would highly benefit.
Thx
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