ability to backtest strategy involving multiple securities

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ability to backtest strategy involving multiple securities

Postby algotr8der » 19 Jul 2011

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!
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