backtesting

Trading Rule Settings and Backtesting tokens

This page reviews the 3 main settings (Quantity, Price, Action) associated with a Trading Rule used in a Trading System. The use of SHOW statements and NOTE tokens as diagnostic tools is highlighted. A full list of RTL "backtesting" tokens, with a focus on the "Context" Token (CTX), is also presented.

Trading System Builder Interface & Setup windows

Please check first this Trading System Tools page for a global overview insight of Investor/RT backtesting features.

Trading System Tools Overview

Investor/RT includes all the required tools for a professional approach to trading system design, including an easy to use Trading System Builder Interface providing advanced backtesting features, together with advanced optimization and walk forward testing features. Trading systems can then be deployed under real time live data feed for actual live (or simulated) trading thanks to Trading Systems indicator which offer unique ways to visualize the live execution of a trading strategy

2 posts / 0 new

Last post

Fri, 09/13/2019 - 11:50

Fiber

Last seen: 5 years 10 months ago

Joined: 09/02/2019 - 08:02

How to get Statistical calculations for portfolio?

Hi, I'm trying to calculate stats not on one symbol but for portfolio. Lets say I want to count gaps bigger then x percent.
I built a Signal and used it with Signal Statistics to get result for one symbol. In my case I want to calculate more variables and for many symbols at once.
In the Homework #10 there are example how to use backtesting and Long/Short trades at the session end to calculate desired result.
But in this case can get max 2 results ( by number Long and Short trades)

1 post / 0 new

Fri, 10/05/2018 - 19:48

joshdawson

Last seen: 1 year 10 months ago

Joined: 04/14/2015 - 12:25

Backtesting and debugging

Hello,
I am new at backtesting with IRT. The system I want to test is pretty simple. I want to look at previous quarter retracements vs the current price. For example when the current price reaches a retracement of 75% of the previous quarter, then the system enters the trade. The system will then exit the trade when the current price >= then the current quarterly high. I am not sure what I am doing wrong in the code?
Sesst (125 % quarter, 1 previous back) >= Low
Sesst (High, quarter) <= High
Sesst(200% quarter, 1,previous back) >= Low