Per-symbol backtests - select symbol list dynamically (vs from a file)

Per-symbol backtests - select symbol list dynamically (vs from a file)

Kiran
2015-04-14 12:32:49

The per-symbol backtest/optimization in this blog is an extremely useful feature .. however, it's tedious to go through 3 steps each time before backtesting/optimization -
a) set up a file with the symbol list on the hard drive,
b) modify the file-name in the SymbolIndex function
c) copy/paste the list as a Custom list of symbols in the trading syste,
http://www.quantshare.com/sa-502-how-to-backtest-each-stock-or-asset-individually

1) How can we modify the SymbolIndex function to grab the list dynamically from the Symbol List set up in the trading system? That would obviate all 3 steps
2) If that's not possible, how do we modify SymbolIndex function so we can pass the file-name as a parameter in the trading system (vs having to go through step b above)?

thanks
Kiran

//----------------SymbolIndex code-------------------------
string fileLocation = @"C:\Users\bellare\Documents\finance\QuantShare\lists
asdaq100.txt";
string[] lines = System.IO.File.ReadAllLines(fileLocation);

int index1 = (int)index[0];
string symbol1 = symbol[0].ToLowerInvariant();

if(index1 < 0)
{
result.Assign(lines.Length);
}
else if(index1 < lines.Length)
{
string symbol2 = lines[index1].Trim().ToLowerInvariant();
if(symbol1 == symbol2)
{
result.Assign(1);
}
}

QuantShare
2015-04-15 05:56:25

1) How can we modify the SymbolIndex function to grab the list dynamically from the Symbol List set up in the trading system? That would obviate all 3 steps

This is not possible as the trading indicator has no access to the trading system.

2) If that's not possible, how do we modify SymbolIndex function so we can pass the file-name as a parameter in the trading system (vs having to go through step b above)?

You just need to open the function using (Tools -> Create functions) then click on "Add a parameter" and update the parameter type to "string"
Say you added a parameter whose name is "file". After that you must replace:

string fileLocation = @"c:\mylist.txt";

by

string fileLocation = file[0];

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