Yes, that's what I have done for now. Thank you for the prompt response!
Best posts made by Shravan Venkataraman
Latest posts made by Shravan Venkataraman
How do I accomplish - putting on multiple trades at the same time, closing them separately
I want to be able to test strategies where, based on certain conditions, I enter a trade in one instrument and while that trade is still on, enter in another instrument also.
Essentially, I want the system checking different stocks for the same condition, and putting on multiple trades if multiple stocks fulfill the entry condition at the same time.
I went through the multitrades documentation, but couldn't quite grasp it outright.
Has anyone done an implementation like this, or testing with option spreads and strategies?
RE: How to backtest a basket of stocks?
Essentially, instead of running the strategy against each stock individually and generating individual backtest report, if there are 50 stocks, I want the strategy to run on all 50 stocks, and if there are multiple stocks that fulfill the condition at the same time, take all those trades, and eventually test like this, and generate one single backtest report - trading like that every day over the backtest years.
How to backtest a basket of stocks?
I want to be able to backtest a particular strategy on a basket of stocks.
Say if the strategy is moving average crossover. 3-5ema crossover.
I want to be able to check say all the index constituents of NASDAQ or NIFTY50 for the condition fulfilled and take trades in all the stocks that fulfill the condition.
Can anyone point me in the right direction as to how I can accomplish this?
Backtesting Options based on Futures
Here's what I want to accomplish.
I want to go over futures data, apply a particular strategy (say moving average crossover) and at the specific time point of the crossover, I want to buy and sell using options (synthetic futures or long call/put).
So, essentially what I want to be able to do is, supply a timeseries of OHLC data of options of the underlying (say NIFTY50) along with the different strike prices and optiontype (PE/CE) and enter/exit trades in backtest based on that.
So, essentially, my options timeseries data csv file header is as follows:
Date, Expiry, OptionType, StrikePrice, Open, High, Low, Close
How do I use this to backtest options with the OHLC format?
I remember the admin mentioning about being able to test options with OHLC format. Any direction on this could really help.
Thanks a ton!