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Strategy Elements





All the elements of a trading strategy definition.

Allocation - capital allocation formula

Ambiguity - assumption to use when sequence of entry/target/stop is unknowable

BarSize - strategy-specific timeframe

CalendarSym - symbol to use as the market date list for this strategy

CashInOut - daily deposit and/or withdrawal specification by formula

CashList - CSV file with list of specific deposit and/or withdrawal amounts

Category - position category formula

CloseSlip - slippage formula for at-close market transactions

Commission - commission formula

Compounded - optionally overrides the default setting of S.Compounded for stats reporting

DebugEntry -log output from a running test at EntrySetup evaluation time

DebugExit - log output from a running test at ExitRule evaluation time

DebugTargetStop - log output from running a test at ExitLimit / ExitStop evaluation time

EntryLimit - entry limit price formula

EntryScore - entry score formula

EntrySetup - entry setup condition formula

EntrySkip - entry skip condition formula

EntryStop - entry stop price formula

EntryTime - entry time constant

EntryTradeValue - calculates a value to store in T.ValueIn item in the trade list record for this entry

ExitLimit - exit limit price formula

ExitLimitQty - share or contract quantity for partial limit-price exits

ExitLimitTime - exit limit execution time

ExitQty - share or contract quantity for partial at-market exits

ExitRule - exit rule formula

ExitStop - exit stop price formula

ExitStopQty - share or contract quantity for partial stop-price exits

ExitStopTime - exit stop execution time

ExitTime - exit rule time constant

ExitTradeValue - calculates a value to store in T.ValueOut item in the trade list record for this exit

LimitExtra - limit price extra excursion formula

LimitSlip - slippage formula for at-limit-price transactions

MarkToMarket - whether strategy equity includes open-position mark-to-market value

MaxEntries - maximum actual entries per day formula

MaxExposure - maximum exposure percentage formula

MaxInvested - maximum investment amount formula

MaxNewExp - maximum new exposure per day formula

MaxNewInv - maximum new investment per day formula

MaxNewPos - maximum new positions per day formula

MaxPerTurn - how many setups per selection turn a strategy can add

MaxPositions - maximum open positions formula

MaxSameCat - maximum same category open positions formula

MaxSameSym - maximum same symbol open positions formula

MaxSetups - maximum entry setups per day formula

OpenSlip - slippage formula for at-open market transactions

OrderNote - string to add to the text of each order and as the "note" value in CSV order lists

OrdersFile - path/name of Alera orders (signals) file to generate

PriceRound - order and trade price rounding interval

QtyFinal - can be used to modify the quantity of an entry after top-down setup ranking has been done

QtyPrice - which price (order vs. fill) to use when calculating Quantity, trade fraction, and exposure

QtyRound - position size rounding interval

QtyType - position size formula unit type

Quantity - position size formula value

Reduce - whether to reduce position size rather than skip the entry due to the MaxExposure and/or MaxInvested threshold

SetupScore - entry setup score formula

SetupSkip - setup skip condition formula

Side - strategy side constant

Slippage - general-purpose slippage formula

StopSlip - slippage formula for at-stop-price transactions

StrategyScore - value to use for this strategy when ranking all strategies to determine setup prioritization

TLAdjusted - whether quantities and prices in an imported trade list are split-adjusted

TLDateFmt - whether dates in an imported trade list are DMY or MDY

TLFields - defines the column layout of an imported trade list CSV file

TLStratName - strategy name within tradelist that maps to this script strategy

TLTimeShift - number of hours to add or subtract to trade list entry dates/times

TradeList - imported trade list file (CSV format)

Using - strategy/benchmark/template to inherit from




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