Navigation: <Root level>

Examples and Tutorials





The topics that follow provide four simple guided Tutorials that can be used when getting to know RealTest.

There is also a series of tutorial videos on the mhptrading YouTube channel.

The Examples folder (C:\RealTest\Scripts\Examples) contains the following:

Tutorial Scripts

sample1.rts - simple moving average crossover strategy for SPY (see Tutorial 1)

sample2.rts - a parameterized version of sample1, allowing for optimization (see Tutorial 2)

sample2a.rts - a three-parameter version of sample2, also used in the same tutorial

sample_scan.rts - introduces the Data section and the scanner (see Tutorial 3)

sector_efts.rts - implements a monthly rotational strategy for the S&P 500 sector ETFs (see Tutorial 4)

Import Examples

import_csv.rts - a hypothetical example of how to specify CSV data import (data not provided)

import_ms.rts - a hypothetical example of how to specify MetaStock data import (data not provided)

import_multi.rts - an example of how to combine data from multiple sources into a single RTD file

import_norgate.rts - shows how to import data directly from Norgate NDU, and how to access Norgate's index constituency data

import_tiingo.rts - shows how to import data from Tiingo, if you have an API key

import_yahoo.rts - shows how to import all the SPX components from Yahoo (see Tutorial 3)

djia_earnings.rts - an example of how to use an Event List File to include earnings dates in your imported data

djia_make_syminfo.rts - shows how to create a Symbol Information File with Norgate metadata for use with other data sources

djia_use_syminfo.rts - shows how to use a symbol information file to add metadata to a Yahoo import

actual_trades.rts - shows how to "test" a list of actual trades using an Imported Trade List file, includes templates for various trade list formats

Scanning Examples

breadth.rts - illustrates use of cross-sectional formulas in the Data Section to calculate and chart market a breadth indicator

ibd_rs.rts - shows how to calculate IBD's relative strength ranks for any universe of stocks

index_breadth.rts - shows the best way to calculate breadth statistics using only historical index constituents each day

industry_indices.rts - shows how to use Norgate's "Corresponding Industry Index" features to know the industry relative strength of any stock

multi_filter_scan.rts - shows how to write a scan that creates multiple rows per symbol per date with different data in them

stockbee_mm.rts - calculates current and historical values for all of the "Stockbee Market Monitor" breadth indicators

Indicators and Techniques

beta_indicator.rts - shows how to calculate "beta" of individual stocks vs. an index

connors_rsi.rts - shows how to implement this popular indicator

dividend_yield_series.rts - shows how to calculate the dividend yield series for all stocks

fundamentals.rts - shows how to import and scan for Norgate current fundamentals

martingale.rts - shows how to implement pyramiding within a single strategy

scale_in.rts - shows how to scale in to a position as price moves in your favor, keeping risk smaller

trail_half.rts - shows how to divide a strategy into two half-allocation strategies to implement "take half off at a target and trail the rest"

supertrend.rts - shows how to calculate and plot the "supertrend" indicator (dual trailing stops)

zigzag.rts - shows how to calculate "Zig", "Peak" and "Trough" indicators by using Self-Referential Data Items

zigzag_advanced.rts - a more elaborate version of the above, showing how to reference past peaks and troughs

Single-Strategy Systems

cii_rotate.rts - shows how to use Norgate's Corresponding Industry Index capability to hold the top 3 stocks of the top 5 industries each month

dividend_capture.rts - shows how to use Norgate dividend data and a slightly unusual approach to capturing dividends

dynamic_sizing.rts - a minimal strategy showing the mechanics of dynamic position sizing in one stock

dynamic_sizing_multi.rts -expands the above to the multi-stock portfolio level

fliper.rts - a simple implementation of the Nick Radge "Flipper" strategy idea

higher_lows.rts - a trend-following strategy that uses a series of higher pivot lows as an entry signal

keltner_pullback.rts - a pullback-after-momentum strategy based on the work of Adam Grimes, uses risk-based position sizing

ndx_rotate.rts - a simple momentum-based rotational strategy using Nasdaq 100 component stocks

ndx_rotate_factor_test.rts - shows how to loop through a set of completely different formulas using the optimizer

simple_day_trade.rts - implements a simple long-only "day trading strategy" that enters with limit orders and exits at MOC

simple_day_trade_basket_orders.rts - shows how easy it is to to generate a daily IB Basket Trader order file for this strategy

simple_day_trade_basket_scan.rts - shows how produce the same order list using a Scan, in case you ever needed to

spy_tlt_uis.rts - demonstrates using Walk-Forward optimization to implement a SPY/TLT strategy from an article

vigilant_asset_allocation.rts - implements the Keller and Keuning monthly ETF rotational strategy

vxx_long_short.rts - be long or short the VXX ETF depending on VIX term structure

weekly_trend_following.rts - a weekly Russell 1000 trend-following strategy similar to the Nick Radge "Weekend Trend Trader"

Multi-Strategy Systems

bensdorp_book.rts - an implementation of the strategies described in Automated Stock Trading Systems by Laurens Bensdorp

combined.rts - demonstrates how to combine strategies that use different symbol universes

combined_multi_bar_size.rts - shows how strategies in a script can each use their own bar size and refer to external bar sizes

Mean Reversion Theme and Variations

mr_sample.rts - presents a somewhat sophisticated long/short mean-reversion strategy pair using Norgate data (and an example of "tail risk" in January 2021)

mr_sample_benchmark.rts - adds a benchmark strategy to the mr_sample example

mr_sample_cash.rts - adds a strategy to the MR long/short pair to sweep unused capital into a "cash equivalent" ETF

mr_sample_common.rts - contains the common elements of the following three examples, each of which includes this script

mr_sample_debug.rts - demonstrates use of strategy debugging formulas to look under the hood of a running test, and also demonstrates the usefulness of the Library script section

mr_sample_hedged.rts - adds an index ETF hedge to the mr_sample strategy pair

mr_sample_orders.rts - shows how to configure this pair of strategies for OrderClerk order generation

mr_sample_orders_alera.rts - shows how to configure the strategy pair for daily Alera Portfolio Manager signal file generation

mr_sample_orders_basket.rts - shows how to configure the strategy pair for daily IB Basket Trader order file generation

mr_sample_scan.rts - demonstrates a possible Daily Setups Scan that could be used with the mr_sample strategy pair

mr_sample_scan_basket.rts - shows how to configure a scan to create an IB Basket Trader CSV file

mr_sample_test_scan.rts - shows how to run a test+scan to generate a set of daily orders

mr_sample_tracking.rts - shows how to test a strategy that only takes trades when its own equity curve is above a moving average (avoided above mentioned "tail risk"...)

mr_sample_tracking_alloc.rts - shows how to test a strategy that reduces its allocation when its drawdown increases

Futures Examples

es_compare.rts - using Norgate futures data, tests buy and hold of two continuous contract series (adjusted and unadjusted) vs. rolling through each individual contract

futures_calendar_spread.rts - shows two ways to construct calendar spreads using Norgate futures data

futures_volume_rank.rts - simple trend-following strategy that uses #Rank #ByMkt to trade the most active individual contract from each market and roll as needed

gc_kelly.rts - demonstrates how to model Kelly Criterion position sizing using a simple trend-following strategy for gold futures

turtles.rts - an approximation of the original "Turtles" futures system, as documented by Curtis Faith

vx_futures.rts - be long or short the front-month VX futures contract depending on the term structure

vx_term_structure.rts - illustrates how to plot the entire VX futures term structure in the indicator pane of a $VIX chart

Files Used by Examples Scripts

actual_trades.csv - the list of trades used in the actual_trades.rts example

chartist_api_template.csv - order list template file for "The Chartist Smart API" (Nick Radge) output format

djia_earnings.csv - a sample list of earnings dates for the DJIA components since 1/1/2019 (not guaranteed to be accurate)

djia_info.csv - a detailed symbol information metadata file for the DJIA components

djia_syms.txt - symbols of the current DJIA components

holidays.txt - example HolidayList file, to facilitate order list generation for weekly or monthly strategies

ib_basket_template.csv - order list template file for IB Basket Trader output format

spx_syms.txt - symbols of the current S&P 500 components





Copyright © 2020-2022 Systematic Solutions, LLC