Yes, I think you should be able to do this with the low-level interface, although I'm not sure exactly what you mean by "short the market".
Regards, GP --- In [email protected], "trustdnb" <[EMAIL PROTECTED]> wrote: > > Is it possible to generate multiple trades per signal using the custom > backtester? I am working on a long only system that is sensitive to > the direction the broad market and want to see how the system performs > while hedging market risk. > > Logically, what I want to happen is that when the system receives a > buy signal it simultaneously (1) enters a long trade on the stock and > (2) shorts an equal dollar amount the market. Upon exiting the long > trade (via sell signal or via stop loss), the system will > simultaneously cover the market short. > > The "normal" mode wont allow you to generate trades on two different > systems at the same time, but can this be done via the CBT? If this > sort of thing can be done, it could also be useful for pair trading > strategies. Is there any example code around that might be helpful? >
