Backtetsing multiple instruments in Ninjascript

[michal_trader]

Hello,

I am trying to backtest strategy on EOD data on 100s of stock. The strategy should select 4 stocks from the list with the lowest RSI indicator, i.e. scan all stocks in the lists and then buy only 4 stocks with the lowest RSI.

My struggle is that the strategy analyzer goes instrument by isntrument. Takes first instrument and runs it through the script through whole time frame then moving to another instrument. This way I cannot select those with lowest RSI on that particular day as the strategy analyzer takes only one instrument on that day before moving to the next day. I would rather need to go day by day. Take all instruments on the first day, select instruments with lowest RSI then move to the next day.

Would you have an example of a similar script? I searched the forum with no success.

Thank you
Michal

[NinjaTrader_ChrisL]

Hi Michal, thanks for writing in.

You would need to write the RSI value to a .txt file for other instances of the backtests to see the value. We have an example here showing how to read and write to a txt file:

https://ninjatrader.com/support/help..._propertie.htm

Best regards,
-ChrisL

[michal_trader]

Hi ChrisL, thanks for your hint.

I would be able to read RSI values from the file. But the strategy is a bit more complicated. My intentions is to buy max. 4 stocks with RSI<10. Let's assume on Day 1 there are 3 stocks which satisfy the criteria. On Day 2 there are 6 more stocks which meets the criteria. But only 1 stock with the lowest RSI should be bought (since 3 stocks are already held from Day 1) .

1) How do write in script a check which tells how many stocks are held from previous day?

2) Assume that RSI is <10 for stock A on Day 1 and the stock is bought. On Day 2 RSI is again <10 for stock A but since the stock was already bought the previous day, backtest should ignore a buying signal (and instead buy a different stock which has RSI<10).

Thanks
Michal

[NinjaTrader_ChrisL]

Hello, thanks for your reply.

1. You can read the Positions or PositionsAccount object to get the position information for the strategy itself, or from the Account. If you override OnExecutionUpdate you can also track each execution going through the strategy.

2. An alternative approach would be to have one strategy that adds the other instruments with AddDataSeries() since each instrument is involved with the trade. This would be more straightforward than inter-strategy communication. See this guide on multi-instrument scripts:
https://ninjatrader.com/support/help...nstruments.htm

Best regards,
-ChrisL