Currently there is no way to backtest a strategy that involves the trading of multiple securities. For example, if you want to trade a long/short strategy between 2 securities - say a pairs spread strategy between ALTR and XLNX.
Say your rules are as follows:
1) go long security-1 (ALTR) and short security-2 (XLNX) if parameter > X
2) go short security-1 (ALTR) and long security-2 (XLNX) if parameter < X
Now say you want to find the value of 'parameter' that produces the highest net-profit for this strategy, which involves positions in security-1 and positions in security-2. You want to optimize this strategy but there is no way to do that in MultiCharts since the current implementation operates on a per chart basis so the optimization will ONLY consider positions in data-1 (security-1) and not the collective strategy, which includes positions in data-1 (security-1) and data-2 (security-2).
I have written a feature request for this.
https://www.multicharts.com/pm/viewissue ... _no=MC-494
If you could kindly comment and I welcome MultiCharts users to vote for this feature request and make suggestions as required. Lets work together to make MultiCharts into the best trading platform out there!
ability to backtest strategy involving multiple securities
Questions about MultiCharts and user contributed studies.
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