My initial thought was to import this data, then 'simulate' the trade by creating a strategy that enters the trade on the specified date and exist on the specified date, etc. But am I correct in saying that this would require adding every symbol as a data series in the strategy? I suppose this is doable brut force, but before I go down this route, I wanted to check with you.
Since each stock/trade will have its own specific entry/exit dates & price, I'm really just trying to use the tracking mechanism in strategy performance to find the MAE/MFE during the life of each trade.
However, since I want a specific (and different) entry date/price for each symbol, it seems I am still going to have to embed these symbol/dates/prices into the strategy by importing them.
My thought is something like this: (I'm giving an example using shorthand notation, not actual code)
Find the entry/exit date and price from the imported data for each symbol, then enter a trade on the specified date at the given price, then set a profit target or stop at the specified target and on the specified date.
I should have an entry/exit for each symbol/date combo.
Is this the most straightforward way to do this?
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