Trading the Equity Curve

While backtesting a portfolio or trading system, trading signals and position sizing rules are defined at startup and cannot be changed or updated dynamically during the backtesting process. The money management tool allows you to create scripts for different events that are executed during the backtesting and therefore it allows you to interact and dynamically update portfolio settings and rules.

This money management script, for example, tracks the performance of the portfolio for the previous year (from the equity curve) and reduces the exposure and the maximum number of positions in the portfolio when the performance metric drops below zero. The active positions are scaled using a market-at-open order, which means that a scale-out order (Sell 50%) is generated for each position of your portfolio.

When the portfolio gain becomes positive (One year rate of return of the equity curve is higher than zero), the default portfolio settings are restored (100% of money invested and the original number of position is set).

Here are some other examples of money management scripts:
Capital Allocation based on the Expected Market Volatility (VIX)
Money management to Reject Trading Positions Based on their Past Performance
Adaptive Trading System - Percent Winning Trades for the Last N-Days
Adaptive Trading System - Minimum Percent Winners and Percent Invested

The different strategy settings (Portfolio equity curve performance, exposure and number of positions) can be optimized using the "Optimize" variable of the "OnStartSimulation" event of the money management script.
For more info, read this post:
Money Management: Optimize a trading system

Technical Analysis

• Congestion Index
• Polarized Fractal Efficiency
• watchlist4
• Chaikin Volume Accumulation Oscillator
• DV Bounded - DV2/DVB
• Vary the Start Date of a Trading System Simulation
• Bull and Bear Power
• Rate of Change Trending Trading System
• Relative Vigor Index - Signal Line
• Historical volatility regimes
• More trading objects...

Fundamental Analysis

• Broker Ratings & Recommendations
• CRB Global Commodity Equity Index
• NSE - Security-wise Delivery Position
• Historical Earnings Calendar for Major Stock Exchanges
• Financial fundamental data for US companies
• Real Disposable Personal Income
• Cash ON Hand for US stocks
• Stocks with an EPS Several Times Higher than the Industry Average EPS
• Earnings after and before market opens
• AAII Asset Allocation Survey: Stock Funds, Stocks, Bond Funds, Bonds and Cash
• More trading objects...