How do I set a strategy so it enters and exits orders based on these parameters?
1-Backtesting resolution- Look inside bar backtesting - in other words entries are based on tick rather than minute so orders can be placed intra bar and not always next bar or close of bar.
2-Position limits for pyramiding - Allow x number of entries/exits in the direction currently held.
3-Is it possible when intrabar order generation is enabled to limit entries to once per bar o x number of entries/exits per bar?
Thank you in advance.
1-Backtesting resolution- Look inside bar backtesting - in other words entries are based on tick rather than minute so orders can be placed intra bar and not always next bar or close of bar.
2-Position limits for pyramiding - Allow x number of entries/exits in the direction currently held.
3-Is it possible when intrabar order generation is enabled to limit entries to once per bar o x number of entries/exits per bar?
Thank you in advance.
Rename
WL doesn't use tick data in its backtester, it uses bar data. But you can certainly simulate intra-bar fills by using Limit or Stop orders. Here's a quick example.
And the other matter of limiting positions is all under the control of your Strategy code. The sky's the limit but it requires some coding knowledge.
And the other matter of limiting positions is all under the control of your Strategy code. The sky's the limit but it requires some coding knowledge.
CODE:
using WealthLab.Backtest; using WealthLab.Core; namespace WealthScript1 { public class MyStrategy : UserStrategyBase { //Execute public override void Execute(BarHistory bars, int idx) { if (idx == bars.Count - 3) { double price = bars.Close[idx]; PlaceTrade(bars, TransactionType.Buy, OrderType.Stop, price); PlaceTrade(bars, TransactionType.Buy, OrderType.Stop, price * 1.02); PlaceTrade(bars, TransactionType.Buy, OrderType.Stop, price * 1.04); PlaceTrade(bars, TransactionType.Buy, OrderType.Stop, price * 1.06); } } } }
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