Can you backtest for a universe of securities?

• 08/22/2021 at 8:28 PM #175947
  freecat1899

  Can you backtest a trading strategy for a universe of securities?

  Or you have to backtest individually?

   

  Also, how do you start an automatic trading strategy? I found this video but the options are not available in the newer version:

   

  https://www.prorealtime.com/en/videos_tutorial/143_3_ways_to_start_a_trading_system_with_proorder

   

  It would bet ime for prorealtime to make new  help videos, they are all of the previous version!

  

  freecat1899

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  08/22/2021 at 8:30 PM #175948
  freecat1899

  Can you make an strategy that scans a universe of securities for certain criteria and if they are met, opens a position? Or that is not possible either?

  

  freecat1899

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  08/22/2021 at 8:37 PM #175949
  GraHal

  You can scan a lisy of securities using ProScreener.

  But then you would need to start ProOrder on your chosen Security.

  We cannot combine ProScreener and ProOrder in the same Algo.

  

  GraHal

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  08/22/2021 at 8:48 PM #175950
  GraHal

  To start an Auto-System see at the red arrowhead on attached.

  

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  08/22/2021 at 8:50 PM #175952
  freecat1899

  Thank you, I thought so. What’s the maximum securities you can start an algo on? And how do you start it?

  Here is the algo I’m coding, if someone can help me with a couple of doubts I would appreciate it:

   

  momentum burst algo

  // Conditions to enter long positions IF NOT LongOnMarket AND c1 = close > close[1]*1.035 AND c2 = close[1] <= close [2]*1.02 AND c3 = close[2] <= close [3] AND c4 = EstimatedVolume > volume[1] AND c5 = average[7]/average[65]>=1.05 AND c6 = close =>4 THEN BUY 10 CONTRACTS AT MARKET ENDIF // Stops and targets : Enter your protection stops and profit targets here SET STOP LOSS AT LOWEST [0] // Conditions to exit long positions If LongOnMarket AND close >= POSITIONPRICE*(1+(LOWEST[0]-POSITIONPRICE)/POSITIONPRICE)*4) THEN SELL 5 CONTRACTS AT MARKET ENDIF // conditions to trail the rest If LongOnMarket AND close >= POSITIONPRICE*(1+(LOWEST[0]-POSITIONPRICE)/POSITIONPRICE)*4) THEN SET SET STOP %TRAILING 5

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

  // Conditions to enter long positions IF NOT LongOnMarket AND c1 = close > close[1]*1.035 AND c2 = close[1] <= close [2]*1.02 AND c3 = close[2] <= close [3] AND c4 = EstimatedVolume > volume[1] AND c5 = average[7]/average[65]>=1.05 AND c6 = close =>4   THEN BUY 10 CONTRACTS AT MARKET ENDIF   // Stops and targets : Enter your protection stops and profit targets here SET STOP LOSS AT LOWEST [0]   // Conditions to exit long positions If LongOnMarket AND close >= POSITIONPRICE*(1+(LOWEST[0]-POSITIONPRICE)/POSITIONPRICE)*4)   THEN SELL 5 CONTRACTS AT MARKET ENDIF   // conditions to trail the rest If LongOnMarket AND close >= POSITIONPRICE*(1+(LOWEST[0]-POSITIONPRICE)/POSITIONPRICE)*4)   THEN SET SET STOP %TRAILING 5

  There’s a missing characters in the 2nd and 4th lines, and I can’t see why.

  Then, I don’t know if the trailing stop after selling 1/2 position would be set for the remaining shares or the initial positions.

  Finally, how could I code a trailing stop that changes every day to the lowest of the previous day?

  thanks!

   

  

  freecat1899

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  08/22/2021 at 8:53 PM #175953
  freecat1899

  I don’t have that button! here my screen

  

  freecat1899

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  08/22/2021 at 9:22 PM #175958
  robertogozzi

  Make lines 2-10 one  line.

  Remove AT from line 15.

  Make lines 18-21 one line.

  Make lines 26-29 one line.

  Remove first SET from the last line.

   

  

  robertogozzi

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  08/22/2021 at 9:52 PM #175960
  GraHal

  To backtest see attached at red arrowhead.

  Then you should be able to get to the button on my 1st screen shot above.

  If still in difficulty just say and I’ll add more screenshots tomorrow.

  

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  08/22/2021 at 10:24 PM #175962
  robertogozzi

  Add a missing ENDIF at the end.

   

  

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  08/22/2021 at 10:37 PM #175963
  freecat1899

  Thanks roberto you are a great guy, hope you are killing it with your trading. I still get an error at line 2 and 4 of missing characters:

  If instead of setting a trail stop, I wanted to set a stop moving at the low of previous day every day, how would that be coded?

  And if I wanted to close the position or take a partial after X days?

  // Conditions to enter long positions IF NOT LongOnMarket AND c1 = close > close[1]*1.035 AND c2 = close[1] <= close [2]*1.02 AND c3 = close[2] <= close [3] AND c4 = EstimatedVolume > volume[1] AND c5 = average[7]/average[65]>=1.05 THEN BUY 10 CONTRACTS AT MARKET ENDIF // Stops and targets : Enter your protection stops and profit targets here SET STOP LOSS LOWEST [0] // Conditions to exit long positions If LongOnMarket AND close >= POSITIONPRICE*(1+(LOWEST[0]-POSITIONPRICE)/POSITIONPRICE)*4) THEN SELL 5 CONTRACTS AT MARKET ENDIF // conditions to trail the rest If LongOnMarket AND close >= POSITIONPRICE*(1+(LOWEST[0]-POSITIONPRICE)/POSITIONPRICE)*4)THEN SET STOP %TRAILING 5 ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

  // Conditions to enter long positions IF NOT LongOnMarket AND c1 = close > close[1]*1.035 AND c2 = close[1] <= close [2]*1.02 AND c3 = close[2] <= close [3] AND c4 = EstimatedVolume > volume[1] AND c5 = average[7]/average[65]>=1.05 THEN BUY 10 CONTRACTS AT MARKET ENDIF   // Stops and targets : Enter your protection stops and profit targets here SET STOP LOSS LOWEST [0] // Conditions to exit long positions If LongOnMarket AND close >= POSITIONPRICE*(1+(LOWEST[0]-POSITIONPRICE)/POSITIONPRICE)*4) THEN SELL 5 CONTRACTS AT MARKET ENDIF // conditions to trail the rest If LongOnMarket AND close >= POSITIONPRICE*(1+(LOWEST[0]-POSITIONPRICE)/POSITIONPRICE)*4)THEN SET STOP %TRAILING 5 ENDIF

   

  

  freecat1899

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  Replies: 27

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  08/23/2021 at 3:02 AM #175965
  robertogozzi

  Estimatedvolume can’t be used in strategies, it is reserved for screeners only. Remove it.
  Stop loss:

  SET STOP LOSS abs(TradePrice - low[1])

  1	SET STOP LOSS abs(TradePrice - low[1])

  To close after X (5 in my example) candles:

  If (barindex - tradeindex) = 5 and LongOnMarket then Sell at Market Endif

  1 2 3

  If (barindex - tradeindex) = 5 and LongOnMarket then    Sell at Market Endif

  

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  08/23/2021 at 7:16 AM #175968
  robertogozzi

  Sorry, for the Stop Loss on the previous Low, the correct line is this one with a pending order:

  SELL at Low[1] STOP

  1	SELL at Low[1] STOP

   

  

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  08/23/2021 at 9:15 AM #175973
  freecat1899

  What, estimated volume can’t be used in strategies?! that’s a fail.

  Can I manually insert an estimate of the volume (for instance, if it’s the first hour multiply *4 or so on?). Or another more automatic way, like calculating the current time, the time the market closes, and then making an extrapolation? (I guess this is what estimated volume does…).

   

  Even without the estimated volume, I keep getting a character missing on lines 1 and 3 of this part of the code! Any solution? I don’t see any problem with it.

  IF NOT LongOnMarket AND c1 = close > close[1]*1.035 AND c2 = close[1] <= close [2]*1.02 AND c3 = close[2] <= close [3] AND c5 = average[7]/average[65]>=1.05 THEN BUY 10 CONTRACTS AT MARKET ENDIF

  1 2 3

  IF NOT LongOnMarket AND c1 = close > close[1]*1.035 AND c2 = close[1] <= close [2]*1.02 AND c3 = close[2] <= close [3] AND c5 = average[7]/average[65]>=1.05 THEN BUY 10 CONTRACTS AT MARKET ENDIF

  Thanks again guys

  

  freecat1899

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  08/23/2021 at 10:39 AM #175978
  robertogozzi

  You can add any value using variables (with a different name than keywords), such as MyEstimatedVol.

  Post your complete code.

  I suggest that you make separate conditions and assign them to variables, such as c1=…, C2=…, etc…

  This will make it easier to check conditions for errors and your code will run faster and smoother.

   

  

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  08/23/2021 at 10:41 AM #175979
  nonetheless

  not sure if this will help but I would normally write that like this:

  c1 = close > close[1]*1.035 c2 = close[1] <= close [2]*1.02 c3 = close[2] <= close [3] c5 = average[7]/average[65]>=1.05 IF NOT LongOnMarket AND c1 AND c2 AND c3 AND c5 THEN BUY 10 CONTRACTS AT MARKET ENDIF

  1 2 3 4 5 6 7

  c1 = close > close[1]*1.035 c2 = close[1] <= close [2]*1.02 c3 = close[2] <= close [3] c5 = average[7]/average[65]>=1.05 IF NOT LongOnMarket AND c1  AND c2  AND c3  AND c5 THEN BUY 10 CONTRACTS AT MARKET ENDIF

  or

  IF NOT LongOnMarket AND (close > close[1]*1.035) AND (close[1] <= close [2]*1.02) AND (close[2] <= close [3]) AND (average[7]/average[65]>=1.05) THEN BUY 10 CONTRACTS AT MARKET ENDIF

  1 2 3

  IF NOT LongOnMarket AND (close > close[1]*1.035) AND (close[1] <= close [2]*1.02) AND (close[2] <= close [3]) AND (average[7]/average[65]>=1.05) THEN BUY 10 CONTRACTS AT MARKET ENDIF

  (Roberto got in just before me!)

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  robertogozzi

  

  nonetheless

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