Money management script question

Money management script question

Obuli Govindaraju
2012-10-30 03:46:03

Question 1: Let's say I am running a trading system simulation on all 500 stocks in SP500 index. Does the event "OnEndPeriod" run on all 500 stocks at once for the same date?

Question 2: I want to write a simple trading system as follows.

When RSI(4) < 20 I want to set a rsi4Flag = true. After that when there is a bullish candlestick I want to buy. So Basically the buying rule will be rsi4Flag == true && Bullish_CandleStick == true.
How can I implement this using onEndPeriod? Or is there a better way to do it?

QuantShare
2012-10-30 09:40:11

1/ Yes, the "OnEndPeriod" is called only once for the same date.
2/ It is better to add this rule in the trading system formulla

Bullish_CandleStick = Your rule;
buy = Bullish_CandleStick and rsi(4) < 20;

Obuli Govindaraju
2012-10-30 10:29:08

Thank you for the quick reply.

Rsi(4) does not stay true all the time when a bullish candlestick occurs. That is why I want to first set a flag first indicating oversold after that I can simply look for a bullish candlestick.

QuantShare
2012-10-30 12:56:55

You can use "hhv" function to detect if a rule has occurred at least once in the last N-bars:
hhv(rsi(4) < 20, 5); // Check the last 5 bars

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