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Category
Strategy Elements
Description
Ranks potential entries when a strategy has more setups than can be entered
Input
Any formula specifying a numeric value
Notes
EntryScore is a legacy-mode formula. When using the new Top-Down Mode, always use SetupScore to rank your setups. The following notes apply only to legacy mode.
Setups with higher scores are entered first.
If EntryScore is not specified, setups will be entered in alphabetical order by symbol.
The number of positions that a strategy can enter per day is determined by evaluating the MaxSetups, MaxEntries, MaxExposure, MaxInvested, and, MaxPositions formulas at entry time.
For strategies that include an EntryLimit or EntryStop, beware that use of an EntryScore formula constitutes a look-ahead error. In fact, the only reason this strategy element exists is to permit either random or specific entry order assumptions to be experimented with to get a feel for the range of possible results given that actual entry order can not be known in advance.
For strategies that use limit or stop orders and want to cap the number of orders placed to the number you would actually want to be filled (without look-ahead bias), it is recommended to use SetupScore and MaxSetups instead of EntryScore. Even better, use TopDownMode.
For more information on how the backtest engine works, see Backtest Engine Details.
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