Cumsum long/short positions

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  • 06/17/2020 at 3:00 PM #136262 quote
    Albaran
    Participant
    Average

    Hi there,

    I need my system to know how long/short I am in the market even though I, personnally, can’t/ could not possibly know…

    Below piece of code assumes that I have been building up on positions..

    Is this going to work? :

    countof(long/short)shares = cumsum(countof(long/short)shares)

    Thanks for your replies

    06/17/2020 at 3:10 PM #136263 quote
    robertogozzi
    Moderator
    Master

    You don’t need to do any math.

    CountOfLongShares and CountOfShortShares return the data you need. Since you cannot have Long and Short trades opened at the same time, that’s all you need.

    CountOfPosition returns the same data, but as a positive number for Long trades and negative numbers for Short trades (you may use ABS() to work this around).

    They return data relative to the current strategy, since knowing what other strategies do is not currently supported.

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Cumsum long/short positions


ProOrder: Automated Strategies & Backtesting

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Albaran @albaran Participant
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This topic contains 1 reply,
has 2 voices, and was last updated by robertogozzi
5 years, 8 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 06/17/2020
Status: Active
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