Back Testing Operations

ICE Data Services -

Back Testing Operations

 

Strategy Object for Back Testing

 

Fill Type Constants  

 

  • Strategy.CLOSE -- uses the closing price as the fill price  
  • Strategy.LIMIT -- uses the StopOrLimit price as the fill price  
  • Strategy.MARKET -- uses the open price as the fill price  
  • Strategy.STOP -- uses the StopOrLimit price as the fill price   

 

Fill Bar Constants

 

  • Strategy.THISBAR -- uses the OHLC values of the current bar to determine the fill price in conjunction with the Fill Type  
  • Strategy.NEXTBAR -- uses the OHLC values of the next bar to determine the fill price in conjunction with the Fill Type   

 

LotSize Constants

 

  • Strategy.DEFAULT -- uses the Default LotSize as the number of shares  
  • Strategy.ALL -- typically used with Strategy.doSell or Strategy.doCover; specifies that all shares being held to be sold/covered   

 

Strategy Functions

 

Strategy.doLong(Description, Fill Type, Fill Bar, LotSize, StopOrLimit) -- returns true if filled, false if not filled  

Strategy.doSell(Description, Fill Type, Fill Bar, LotSize, StopOrLimit) -- returns true if filled, false if not filled  

Strategy.doCover(Description, Fill Type, Fill Bar, LotSize, StopOrLimit) -- returns true if filled, false if not filled  

Strategy.doShort(Description, Fill Type, Fill Bar, LotSize, StopOrLimit) -- returns true if filled, false if not filled  

Strategy.isInTrade() -- returns true if currently in a trade (long or short); otherwise, false  

Strategy.isLong() -- returns true if currently long; otherwise, false  

Strategy.isShort() -- returns true if currently short; otherwise, false  

Strategy.setStop(dStop) -- sets a stop order; this will close out the active position if the stop order price is reached or exceeded  

Strategy.clearStop() -- clears (removes) the current stop order  

Strategy.getPositionSize() -- returns the number of shares currently held; this number is negative if short, positive if long (e.g., -100 is short 100 shares. 100 is long 100 shares.)  

Strategy.getDefaultLotSize() -- returns the default lot size as set by the user before starting the backtest   

 

 

Notes about Strategy Functions

 

  • If calling Strategy.doLong, Strategy.doShort, Strategy.doSell, or Strategy.doCover and a Fill Type of Strategy.LIMIT or Strategy.STOP is provided, the StopOrLimit price must be specified.  

 

  • You must be long to use Strategy.doSell.  

 

  • You must be short to use Strategy.doCover.  

 

  • If a long position is currently held, calling Strategy.doShort will close the long position and enter a short position.

 

  • If a short position is currently held, calling Strategy.doLong will close the short position and enter a long position.   

 

 

Examples: (assumes default lotsize is 100)

 

 

Strategy.doLong("Go Long", Strategy.CLOSE, Strategy.THISBAR);

Go long 100 shares at the closing value of the current bar.

 

Strategy.doLong("Go Long", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);

Go long 100 shares at the closing value of the current bar.

 

Strategy.doLong("Go Long", Strategy.LIMIT, Strategy.THISBAR, null, 20);

Limit order to go long 100 shares @ $20 if the low of the current bar is <= 20.

 

if(Strategy.isLong()) {

 Strategy.doSell("Close Long", Strategy.STOP, Strategy.THISBAR, Strategy.ALL, 30);

}

If long, issue a stop sell order if high of the current bar >= 30.

 

Strategy.setStop(30);

Set a stop order to sell all shares if high of any bar at or after the current bar >= 30.