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StrategyScore

 

 

 

 

Category

Strategy Elements

Description

Provides a value to use for this strategy when ranking all strategies to determine setup prioritization in Top-Down Mode

Input

Numeric formula

Notes

StrategyScore is evaluated for each strategy at each step of the top-down ranking loop.

The strategy with the highest score gets first choice to add its next setup 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.

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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