Can you backtest for a universe of securities?

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  • #175986 quote
    freecat1899
    Participant
    Junior
    Myestimatedvol = volume*(CurrentHour-21)
    
    // Conditions to enter long positions
    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
    c6 = Myestimatedvol>volume[1]
    IF NOT LongOnMarket AND c1  AND c2  AND c3  AND c5 AND C6 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
    c7 = close >= POSITIONPRICE*(1+(LOWEST[0]-POSITIONPRICE)/POSITIONPRICE)*4)
    If LongOnMarket AND c7 THEN
    SELL 5 CONTRACTS AT MARKET
    ENDIF
     
    // conditions to trail the rest
    c7 = close >= POSITIONPRICE*(1+(LOWEST[0]-POSITIONPRICE)/POSITIONPRICE)*4)
    If LongOnMarket AND c7 THEN
    SET STOP %TRAILING 5
    ENDIF
    

    I tried with your suggestions and now the first part, until “Condictions to exit long positions” seems to be fine. But I get a missing character warning first line of “conditions to exit long positions (line 17).

    The conditions for exiting the positions I want is: at 4R, close 50% of position and trail the rest either by lows of the day or 5% (the code I put is with 5%). I’m not completely suremy code is fine for this conditions, but I think it is.

    Help would be appreciated!

    Will the “Myestimatedvol” condition I added work? Is basically the same the “estimatedvolume” one does?

    #175989 quote
    JC_Bywan
    Moderator
    Master

    Line 17: you seem to have only 2 “(” for 3 “)”, that would be your missing character (same for line 23)

    #175990 quote
    robertogozzi
    Moderator
    Master

    There’s a missing “(“.

    I could tally 2 “(“s and 3 “)”s.

    Your Estimatedvolume is similar, though not the same, to PRT’s.

    In a 1h TF that started 10 minutes ago it should be:

    MyEstimatedVol = volume * (60/10)
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Can you backtest for a universe of securities?


ProOrder: Automated Strategies & Backtesting

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This topic contains 17 replies,
has 5 voices, and was last updated by robertogozzi
4 years, 6 months ago.

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Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 08/22/2021
Status: Active
Attachments: 3 files
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