Insufficient Capital in Strategy Backtesting when Buying Futures and Forex Asset

• 02/03/2025 at 6:18 PM #243386
  jogtt

  I am backtesting a trading strategy with different asset classes. For the time being, it has worked properly with indices and stocks. Nonetheless, when analysing Futures or Forex , the position is opened at the opening price of a candle and then closed at the close price of the very same candle, although the sell conditions are not met.

  I believe the error is related to how shares are bought and the leverage that might be involved, as the message I am getting In the ‘Equity Curve’ chart panel is Insufficient capital, but since I am still a beginner, I do not actually know how to go about this . I am using the following code:

  // Initial capital InitialCapital = 100000000 CumulativeProfit = StrategyProfit + InitialCapital // Calculate the number of shares (lots) to buy LotsToBuy = FLOOR(CumulativeProfit / Close) // Execute Buy Trade IF Close>Close[1] THEN IF NOT OnMarket THEN BUY LotsToBuy LOTS AT MARKET ENDIF ENDIF  // Execute Sale Trade IF Close<Close[3] THEN // SellCondition1 AND SellCondition2 OR SellCondition4 IF OnMarket THEN SELL AT MARKET ENDIF ENDIF

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  // Initial capital InitialCapital = 100000000 CumulativeProfit = StrategyProfit + InitialCapital   // Calculate the number of shares (lots) to buy LotsToBuy = FLOOR(CumulativeProfit / Close)   // Execute Buy Trade IF Close>Close[1] THEN    IF NOT OnMarket THEN       BUY LotsToBuy LOTS AT MARKET    ENDIF ENDIF    // Execute Sale Trade IF Close<Close[3] THEN // SellCondition1 AND SellCondition2 OR SellCondition4    IF OnMarket THEN       SELL AT MARKET    ENDIF ENDIF

  It would be highly appreciated if you could let me know how to fix the code.

  Many thanks in advance for your help!

  

  jogtt

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  02/03/2025 at 6:44 PM #243395
  robertogozzi

  As to your exiting condition, simply append this line to your code, so you can see when it’s TRUE:

  graph (Close<Close[3]) AND OnMarket

  1	graph (Close<Close[3]) AND OnMarket

  As to the Capital, input the value you want as shown in the highlighed box (see the attached pic).

  But you should also reduce your InitialCapital, as the larger it is the higher number of assets/lots will be traded, without solving the problem.

  

  robertogozzi

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  02/03/2025 at 7:53 PM #243403
  jogtt

  Thanks for your reply, robertogozzi.

  I have been modifying the code as you suggested, and the sell condition is not triggered, as you can see in the image attached.

  Concerning the initial capital, I have tried different values: 100, 1k, 10k, 100k, 1M. Although 1 future contract was worth 35-40USD at the entry time step, the ‘insufficient capital’ issue is not solved…any ideas?

  

  jogtt

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