ProBackTest: orders with decimal quantities

marco_ghislanzoni · 2019-11-25T13:50:50+00:00

I have developed a BackTaster for a BitCoin strategy, however I have been unable to sell/buy fractional volumes (like 0.01 BitCoins). It looks like the volume is always rounded to the nearest unit. How can I fix that? Thanks! // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated ONCE InitialCash = 10000 CurrentCash = InitialCash + STRATEGYPROFIT Units = ( CurrentCash/10 * 0.5 ) / Close // Conditions to enter long positions indicator1 = CALL "MyIndicators: CriptoFondU" c1 = (indicator1 = 1) IF c1 THEN BUY Units CONTRACTS AT MARKET ENDIF // Conditions to enter short positions indicator2 = CALL "MyIndicators: CriptoFondU" c2 = (indicator2 = -1) IF c2 THEN SELLSHORT Units CONTRACTS AT MARKET ENDIF

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11/25/2019 at 2:50 PM #113545 quote
marco_ghislanzoni
Participant

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I have developed a BackTaster for a BitCoin strategy, however I have been unable to sell/buy fractional volumes (like 0.01 BitCoins). It looks like the volume is always rounded to the nearest unit. How can I fix that? Thanks!
```
// Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated

ONCE InitialCash = 10000

CurrentCash = InitialCash + STRATEGYPROFIT

Units = ( CurrentCash/10 * 0.5 ) / Close

// Conditions to enter long positions
indicator1 = CALL "MyIndicators: CriptoFondU"
c1 = (indicator1 = 1)

IF c1 THEN
BUY Units CONTRACTS AT MARKET
ENDIF

// Conditions to enter short positions
indicator2 = CALL "MyIndicators: CriptoFondU"
c2 = (indicator2 = -1)

IF c2 THEN
SELLSHORT Units CONTRACTS AT MARKET
ENDIF
```
11/25/2019 at 2:55 PM #113546 quote

robertogozzi
Moderator

Legend

The first unit can be 0.5, then it must always be a whole number starting from 1. Then buy 0.5 units / lots / contracts or 1, 2, 30, 1000 … The closure must always be total, partial closure is not yet allowed.

marco_ghislanzoni thanked this post

11/25/2019 at 2:59 PM #113547 quote

marco_ghislanzoni
Participant

New

Grazie/Thanks Roberto! That makes the BackTester basically unusable for the Forex or Cryptos traded through CFD’s. No good news.

11/25/2019 at 3:04 PM #113549 quote

robertogozzi
Moderator

Legend

Sorry for speaking italian, I just translated it.

11/25/2019 at 3:11 PM #113551 quote

marco_ghislanzoni
Participant

New

Sorry as well about the Italian title, I thought I was posting this in the Italian forum.
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ProBackTest: orders with decimal quantities

ProOrder: Automated Strategies & Backtesting

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marco_ghislanzoni @marco_ghislanzoni Participant

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This topic contains 4 replies,
has 2 voices, and was last updated by marco_ghislanzoni
6 years, 10 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	11/25/2019
Status:	Active
Attachments:	No files