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                                                   Advice on building a trading simulator strategy

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Mike
2015-01-11 05:04:18


Hey Guys,

I've built a ETF rotation strategy in the simulator and used a formula for the selection, ranking and buying and selling, this is working well. I'm now having challenges adding debugs to validate operation and add position sizing I'm hoping you can help with.

1) Is it possible to output variables used in calculation of the strategy to anywhere, preferably the simulator results page without using money manager?
2) Can I add position sizing to my simulator formula without moneymanager?

3) Is there any documentation on Moneymanager that would help someone who has not used C# before?

For the position sizing I want to calculate an optimised ratio of stock selected by the ETF formula and a bond ETF that maximises sharpe over a fixed lookback period. I wrote the formula in the strategy and then tried to use the Data.ParseFormula command to get the result into money manager but this makes it even harder to troubleshoot and modify.

Any advice on how I should be building this or monenymanager examples you could point me to reverse engineer would be a great help.


Thanks,



QuantShare
2015-01-12 02:57:55

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Hi Mike,

1) Is it possible to output variables used in calculation of the strategy to anywhere, preferably the simulator results page without using money manager?

For QS based formulas, you need to debug the formula by plotting the different variables on a chart.

2) Can I add position sizing to my simulator formula without moneymanager?

In the next version you will be able to do that (Simple positing sizing techniques)

3) Is there any documentation on Moneymanager that would help someone who has not used C# before?

Once you learn C#, using the money management script will be very easy.



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