System that rotates between two instruments

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03/21/2021 at 11:03 AM #164788 quote

FabiusMor
Participant

Junior

Good morning everyone,

I’d like to know if it’s possible to code a system that does the following thing:

every last day of the month it calculates the ratio between instrument A and instrument B. If the ratio is above its 10 day moving average, the system invests in ETF XXX for the following month. If the ratio is below its 10 day moving average, the system invests in ETF YYY for the following month.

Do you think it’s possible? Maybe combining 2 strategies in one system?

Thank you and have a nice day!

03/21/2021 at 11:15 AM #164791 quote

Vonasi
Moderator

Master

No it is not possible. A strategy can only reference the instrument that it is applied to and no other instrument.

In ProScreener it is possible for a screener code to reference different instruments using the EQUITYFRAME instruction.

EQUITYFRAME

Hopefully one day PRT will add something similar to ProOrder.

03/21/2021 at 11:43 AM #164793 quote

robertogozzi
Moderator

Master

No, it’s not possible to compare different instruments within a strategy. One strategy, one instrument.

We all hope this will be supported in a future major release, though.
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System that rotates between two instruments

ProOrder: Automated Strategies & Backtesting

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FabiusMor @fabiusmor Participant

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This topic contains 2 replies,
has 3 voices, and was last updated by robertogozzi
4 years, 11 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	03/21/2021
Status:	Active
Attachments:	No files

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