RealTest User Guide
RealTest User Guide

 

 

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Futures Symbol Information

 

 

 

 

For futures data import from a source other than Norgate or CSI Futures, it is critical to include a SymInfo file with the correct PointValue for every symbol. Otherwise, backtest results will not be accurate. (TickSize is not required, but if present, it will be used in chart scaling, and will be useful in formulas such as slippage modeling.)

A futures SymInfo file must also include a "Type" column containing anything starting with "Fut" in each row. This is how RealTest knows the symbol is a futures contract.

You can import data that contains any mix of asset types. RealTest models transactions for each symbol according to its asset type. This is why it's important to tell RealTest what type a symbol is.

The Margin column in the SymInfo file, if provided (it's not required), specifies the current dollars-per-contract margin collateral for each futures symbol. By default RealTest uses the current Margin value for all historical dates in a backtest. You can optionally provide a formula to calculate estimated historical margin requirements via the FuturesMargin strategy element.

RealTest does not automatically limit futures exposure based on margin requirements but can optionally do so using the MinFreeCash constraint formula and/or the S.FuturesMargin stats array. The S.FreeCash stats array (referenced internally for MinFreeCash determination) assumes that a position requires futures margin only if the symbol has a non-zero margin requirement.

 

 

 

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