1. Scripting

1.1. Introduction

Scripts in the QuantShare software use .Net framework and the Jscript.Net programming language.

.Net Scripts extend QuantShare capabilities and make the application extremely fexible.
Scripts can be shared between QuantShare users.

There are two kinds of scripts, main script and specialized scripts.

The main script allows the user:

·         Control the application behavior

·         Extract databases data

·         Insert, inspect, control and modify database data

·         Control the objects (composites, watch lists, list of rules...)

The specialized scripts allow the user to take control over some specific tasks.

The application offers you the possibility to write scripts for the following tasks:

Money management: Contains five events, the first and last events happen once while the other events could happen many times during the backtesting.

·         OnStartSimulation: The simulator executes this script before starting the backtesting process.

·         OnNewTrade: The simulator executes this script before entering a new position.

·         OnCloseTrade: The simulator executes this script before exiting a position.

·         OnEndPeriod: The simulator executes this script at the end of each period or bar. (In end of day back-testing, a period is a day)

·         OnEndSimulation: The simulator executes this script when the back-testing process ends.

Example: Create a script that initialize an optimizable variable in the 'OnStartSimulation' event

    Create a script, in the 'OnNewTrade' event, that updates the number of shares to buy depending on the trading system drawdown and the optimizable variable defined in the 'OnStartSimulation' event

Example: Create a time-series metric for your trading system using the 'OnEndPeriod' and the 'OnEndSimulation' events

Note: In money management scripts, you can define global variables that can be shared between events.

List of rules analyzer metrics: Script that let you create metrics to assess rules
Example: Calculate the average performance of a rule for each month.

Ranking system analyzer metrics: Script that let you create metrics to assess ranking systems
Example: Calculate the standard deviation of the buckets annual return.

Simulation metrics: Script that let you create metrics to assess simulations
Example: Calculate a custom metric that uses Sharpe, Sortino and some others ratios

Prediction model metrics: Script that let you create metrics to assess prediction models

Example: Calculate a custom metric that uses others already calculated metrics.

Pre-Parsing data: Script that let you manipulate text or CSV data
Example: Create a new column that is based on others columns data
Example: Update a column data so it can be parsed by the software

Post-Parsing data: Script that let you manipulate parsed data just before the application stores it

Example: Correct bad quotes

Functions: Function scripts let you create QuantShare functions. These functions could be used in charting, simulation...

Example: Correct a custom indicator that is not available in the QuantShare indicators list

1.2. Script Control

.Net script shares the same control; the control is an advanced text box control where you can type in your script.

You can press on CTRL+SPACE at any moment to display the list of functions or variable that you can use in the current script.

Each script contains its own functions and classes.

You can click on the right icon to display information about the current script.