Support Board
Date/Time: Wed, 27 Nov 2024 12:28:26 +0000
Post From: Is it possible to simulate account balance for backtesting?
| [2023-08-16 16:46:24] |
| User61168 - Posts: 403 |
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User370531 - Since lack of account management functionality in SIM is a huge limitation, I will share my journey for a possible work around for Money/Position mgmt. Please note that I am just a simple guy using only simple alert studies in all my algo trading. I am an aspiring 100% system trader with goal of zero manual intervention in my live trading. Due to these limitations, I am currently at 70-75% level of autonomy. 1) I use a line study to indicate a value of trade ticket quantity - since I don't know of any way to access trade quantity from trade ticket in my simple alert formulas 2) Another line study to indicate "starting" account value in points/ticks. 3) Spreadsheet formula to keep a running tab of current account pnl using the Trading:Closed Profit/Loss study. This keeps track of my realized pnl 4) For a while, I used the realized Pnl value to MANUALLY increase trade ticket position size if you want to deploy some money management techniques. Super painful and time consuming to do this monkey business during backtesting. 5) Then I came to the realization that there is also no way for simple alerts to access high floating equity watermark (closed+open pnl) 6) Then came another realization that there is no way for simple alerts to access or simulate margin used and available margin values so ended up scraping all these valuable and advanced techniques and simply went with "fixed position size per account value" money mgmt style i.e. one contract per $x in account capital and then manually set the position qty in trade ticket at start of each trading session. This also forces me to trade only one instrument per account and hurts my ability to diversify and scale up. Long Story short... all these capabilities exist within ASCIL custom C++ programming and in spreadsheets trading study to a certain extent. For now, I am happy where I am with SC and it's fantastic feature-rich charting capabilities like no other platform out there. |