Basically all it means I want to short something that provides an appropriate hedge to the market risk of my longs. For the system I am working on know it probably means shorting an equal dollar amount of "QQQQ".
Is there a User Guide to the Custom Backtester? Or can you point me to some code that is remotely similar? --- In [email protected], "gp_sydney" <[EMAIL PROTECTED]> wrote: > > 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" <trustdnb@> 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? > > >
