Placing a trade everyday

Placing a trade everyday

How do we use Max count to place a new position every trading day? Read more

What is MAC?

You can run a backtest placing a trade every 10, 30 , 45 days. Or you can open the positions every trading day. The key to the entry sequence is MAC. But what is MAC? MAC stands for Max Active Count. MAC is the maximum number for positions that the algorithm is allowed to open simultaneously. You can think of MAC as a quota, a sort of limited allocation.

For example, if MAC=1; a position will be established. Then the algorithm will wait until that position is expired before opening a new one. If MAC is 10, a new position will be open everyday until the maximum of 10 simultaneous positions is reached. Then it will wait until a new slot is opened - either because a contract expired or an early exit was triggered. Unless there is an opening, the alorith can not place a new trade.

How to open a position every trading day

If you setup MAC as a very large number, a new position will be open everyday. Example:

  • If your DTE is 45 and MAC = 1 ; One contract will be open and the next one in 45 days. You will get around 8 or 9 trades a year.
  • For 45 DTE and a MAC of 50 or 100 (large meaning greater than 45); One contract will be open every trading day. You will get 220 Trades per year. You can see that number in the total occurrences in the results.

Why Does it Matter?

This is important because it allows you to have many more occurrences. Increasing the relevance of the results.

Also, it will reduce the "Bridging" or Sequential Trap. Which occurs when the backtest avoids certain market movements simply by chance, by altering the entry date. So the same strategy will have significantly different results depending on the date when you initiated the trade.

You can see more on this topic here.