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Strategy Elements


Provides a value to use for this strategy when ranking all strategies to determine setup prioritization in top-down mode


Numeric formula


StrategyScore is evaluated for each strategy at each turn of the setup selection process.

The strategy with the highest score gets first choice to add its next setup(s) at that step.

If StrategyScore is not provided, the default is simply the negative strategy number (first strategy gets top rank, then second, etc.)

Typically all strategies will use the same score formula (use a shared Template if so) though this is not a requirement.

Here are some examples of common StrategyScore formulas:

StratNum                    // highest strategy number (reverse script order)

-S.Positions                    // fewest open positions

-OrderSum(1)                    // fewest new orders so far today

ROC(S.Equity,20)          // best recent performance (m2m)

S.DDPct                    // worst current drawdown

The fewer setup constraints are in place, the more significant this formula becomes. For example if the only constraint is e.g. Combined: MaxExposure: 100, then StrategyScore will play a large role in deciding which strategy or set of strategies are most likely to receive that exposure.

StrategyScore also gains significance when MaxPerTurn is used to allow a strategy to select all of its setups on its first turn, or mor than one setup per turn.

Use the multi_moc_top_down.rts and oex_tf_top_down.rts example scripts to experiment with these.

See Also: Backtest Engine Details and Capacity Constraints




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