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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

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

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

Commission - commission formula

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

ExitLimit - exit limit price formula

ExitLimitTime - exit limit execution time

ExitRule - exit rule formula

ExitStop - exit stop price formula

ExitStopTime - exit stop execution time

ExitTime - exit rule time constant

LimitExtra - limit price extra excursion formula

LimitSlip - slippage formula for limit orders

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

MaxEntries - maximum entries per day formula

MaxExposure - maximum exposure percentage formula

MaxInvested - maximum investment amount formula

MaxPositions - maximum open positions formula

MaxSameCat - maximum same category open positions formula

MaxSetups - maximum entry setups per day formula

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

PriceRound - order and trade price rounding interval

Pyramid - whether to allow overlapping trades in the same symbol

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

Side - strategy side constant

Slippage - general slippage formula

StopSlip - slippage formula for stop orders

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

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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