Tradestation 10 fixed a lot of the issues, but I still use the TS to Ninja approach too. I do not use Portfolio Maestro though.

I’m new to algo trading, but wouldn’t the ‘Portfolio Maestro’ tool from TradeStation solve all this issues?

There might be a way to use stop orders (sell next bar at XXXX stop;) though…

Instead of the pseudo stop, wouldn’t it be possible to have two stop orders in the market at all times, with a specified number of contracts for each?

That is a good idea, as long as all strategies you combined together used the same stop loss amount. Thanks for mentioning it.

Kevin thank you very much for the reply. I think that the amount of capital loss when the pseudo stop is hit is not a fixed value as with the classical SL, because it is evaluated on the opening of next bar. In that sense you cannot mimic the performance of a system with a SL. I would suggest to add a safety SL in the summation signal, just to avoid losses in an extreme event. So, when the summed position is not flat one could feel protected using a classical SL.

Sure, here is what I meant…

Let’s say your original strategy had a stop loss of $1000. With this approach, now you exit next bar only if the loss is above $XXXX – the pseudo stop. So $XXXX might be $1000, or it might be better to make it smaller (or larger), so that you get as close performance wise to the original $1000 real stop. So what I am saying is that the new pseudo-stop dollar amount does not have to be $1000. Hope this helps

Hi Peter –

I wish the way I presented was foolproof, and worked in all situations. Of course, it doesn’t. I actually use it for a few strategies, and it seems to work properly.

Good Luck!