Backtestning on new simple strategy Asian VS Western Markets

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  • 05/20/2020 at 1:17 PM #132409 quote
    hobbitar
    Participant
    New

    Hello!

    I’m new to ProRealTime and need a little help with backtesting on a strategy that i have been testing live a couple of times. The idea is that some european markets follow the Asian markets when they close +-1,5% or more. For Example:

    When Nikkei225 close at +1,85% the German Market (DAX30) will go in the same direction
    When Nikkei225 close at -1,85% The German Market (DAX30) will go in the same direction

    Is it possible to write a code that backtest this strategy?

    If the asian market close +-1,5% or more i entry the european  market at opening and close the position at the end of the day (or at midday if its more profitable)

    If the asian market close at – i short the european market, if the asian market close at + i go long

    I have tried to manually backtest this strategy with paper and pen and it looks promising but it would be really interesting to see how it performs with ProRealTime. It would be really great if it’s also possible to experiment with different indexes.

    05/20/2020 at 2:56 PM #132425 quote
    Vonasi
    Moderator
    Master

    hobbitar – Welcome to the forums. I tidied up your first post as it was an ugly mess of red text and bold text. I’m not sure what method you are using to type your posts but please try to be more careful with any future posts.

    05/20/2020 at 3:15 PM #132426 quote
    hobbitar
    Participant
    New

    Thank you Vonasi i’m sorry for that, don’t know what happened there but i will be more careful ahead before posting.

    05/20/2020 at 4:22 PM #132446 quote
    Vonasi
    Moderator
    Master

    ProOrder strategies can only work on the data of the instrument that they are launched on so it is not possible for a strategy launched on DAX to know what has happened on the Nikkei225.

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Backtestning on new simple strategy Asian VS Western Markets


ProOrder: Automated Strategies & Backtesting

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hobbitar @hobbitar Participant
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This topic contains 3 replies,
has 2 voices, and was last updated by Vonasi
5 years, 9 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 05/20/2020
Status: Active
Attachments: No files
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