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Simulation/Backtest Trading Indicator

by bug man, 1312 days ago
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This is a variation of the Buy Indicator. The indicator contains an additional parameter that lets you define a minimum number of trades threshold.

The Buy Indicator performs for each bar a simulation or backtest and returns the average return/performance of the strategy defined in the rule and N-Bar stop parameters. For each bar, it returns the performance of a strategy that consists of buying the current security when the rule passes and exiting it after a given number of bars (N-Bar Stop).
The new parameter instructs the indicator to return a value only if the number of trades generated by the simulation (that is performed inside the function) is higher or equal to the number of trades threshold. Otherwise, the indicator returns an NAN value (Not a number).

Trading rule example:
rule1 = BuyInd1(close > open, 5, 10, 250) > 0;

- We define a strategy that consists of buying the stock if its close price is higher that the open price and then exiting it after 5 bars
- The strategy is executed on each bar and for the last 250 bars (Approximately one year).
- The indicator returns the strategy average return on bars on which the simulation generated at least 10 trades.
- A bullish signal is generated (rule1 is True or equal to one) if the trading strategy average return is positive (or higher than 0%).

Here are some trading indicators related to the buy indicator:
Buy Sell Simulation Indicator
Strategy Indicator - Percent winning trades for a trading rule


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Type: Trading Indicator

Object ID: 935


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