Backtestning on new simple strategy Asian VS Western Markets

hobbitar · Wed, 20 May 2020 12:17:58 +0000

Hello! I’m new to ProRealTime and need a little help with backtesting on a strategy that i have been testing live a couple of times. The idea is that some european markets follow the Asian markets when they close +-1,5% or more. For Example: When Nikkei225 close at +1,85% the German Market (DAX30) will go in the same direction When Nikkei225 close at -1,85% The German Market (DAX30) will go in the same direction Is it possible to write a code that backtest this strategy? If the asian market close +-1,5% or more i entry the european market at opening and close the position at the end of the day (or at midday if its more profitable) If the asian market close at – i short the european market, if the asian market close at + i go long I have tried to manually backtest this strategy with paper and pen and it looks promising but it would be really interesting to see how it performs with ProRealTime. It would be really great if it’s also possible to experiment with different indexes.

This topic has 3 replies, 2 voices, and was last updated 4 years ago by Vonasi.

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05/20/2020 at 1:17 PM #132409

hobbitar

Hello!

I’m new to ProRealTime and need a little help with backtesting on a strategy that i have been testing live a couple of times. The idea is that some european markets follow the Asian markets when they close +-1,5% or more. For Example:

When Nikkei225 close at +1,85% the German Market (DAX30) will go in the same direction
When Nikkei225 close at -1,85% The German Market (DAX30) will go in the same direction

Is it possible to write a code that backtest this strategy?

If the asian market close +-1,5% or more i entry the european market at opening and close the position at the end of the day (or at midday if its more profitable)

If the asian market close at – i short the european market, if the asian market close at + i go long

I have tried to manually backtest this strategy with paper and pen and it looks promising but it would be really interesting to see how it performs with ProRealTime. It would be really great if it’s also possible to experiment with different indexes.

hobbitar
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05/20/2020 at 2:56 PM #132425

Vonasi

hobbitar – Welcome to the forums. I tidied up your first post as it was an ugly mess of red text and bold text. I’m not sure what method you are using to type your posts but please try to be more careful with any future posts.

Vonasi
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05/20/2020 at 3:15 PM #132426

hobbitar

Thank you Vonasi i’m sorry for that, don’t know what happened there but i will be more careful ahead before posting.

hobbitar
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05/20/2020 at 4:22 PM #132446

Vonasi

ProOrder strategies can only work on the data of the instrument that they are launched on so it is not possible for a strategy launched on DAX to know what has happened on the Nikkei225.

Vonasi
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