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Spread and Pair Trading: Difference between revisions
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==Pair Trading in Backtesting== | ==Pair Trading in Backtesting== | ||
It is not possible to use Global Variables for backtesting of your pair-trading strategy either in regular MultiCharts, or in MultiCharts .NET. However it is possible for both products in Portfolio | It is not possible to use Global Variables for backtesting of your pair-trading strategy either in regular MultiCharts, or in MultiCharts .NET. However it is possible for both products in Portfolio Trader by means of Global Variables. Multiple data series should be allocated in correct order in Portfolio Trader, so it is possible to perform pair trading, using GV, because of vertical bar-by-bar calculation of the strategy on all of your data series. | ||
<div style="background-color: #E5F6FF;">'''Example''': When you have GV on first series, you should be able to get those GV when script is calculated on next data series. The calculation of the script is sequential. It means that the script is first calculated on bar 1 of data A and it generates a sell order (as an example) and passes a value through global variable. Then the script is calculated on bar 1 of data B where it reads the global variable and generates identical buy order. Though everything happens sequentially, in fact the sell and buy orders are generated on the bars with the same timestamp (if data A and data B have identical series).</div> | <div style="background-color: #E5F6FF;">'''Example''': When you have GV on first series, you should be able to get those GV when script is calculated on next data series. The calculation of the script is sequential. It means that the script is first calculated on bar 1 of data A and it generates a sell order (as an example) and passes a value through global variable. Then the script is calculated on bar 1 of data B where it reads the global variable and generates identical buy order. Though everything happens sequentially, in fact the sell and buy orders are generated on the bars with the same timestamp (if data A and data B have identical series).</div> | ||
[[Category:FAQ]] | [[Category:FAQ]] | ||
