Backtest and sorting symbols by (any) score

[fernlicht]

Hello all,
let's assume I have an automated strategy that invests by a kind of momentum score. I want to apply it on DOW30 single-stock instruments. The strategy calculates this score
every week and rebalances the instruments by buying the highest 5 momentum stocks. How to backtest this scenario in NT8? Do I need to load the symbol data of all 30 stocks into the strategy?
If yes can I load/add all the data of these instruments in a for{} loop and out of a cvs file, or do I need to hard code it? WHat would be the best concept? Any suggestions?
All the best

[NinjaTrader_Jesse]

Hello fernlicht,

Thank you for the post.

Do I need to load the symbol data of all 30 stocks into the strategy?

This depends on the goal. If the single strategy needs information about the 30 stocks to place trades on 1 or more instruments then yes you would need to add all 30 instruments using AddDataSeries: https://ninjatrader.com/support/help...=AddDataSeries

If the goal is to find how the strategy does on each individual instrument and get individual results then you could run a basket test on an instrument list. There are some combined results for the basket as well, you can find details about that here: https://ninjatrader.com/support/help...asket_test.htm

If yes can I load/add all the data of these instruments in a for{} loop and out of a cvs file, or do I need to hard code it? WHat would be the best concept?

For strategies that need secondary data at this time it is not supported to use for loops/variables or logic to control AddDataSeries. While you technically could use a loop and variables it may not work in all areas which a strategy can be applied or may work incorrectly in some tools. Currently its best to just hard code the instruments and bar series for AddDataSeries.



I look forward to being of further assistance.

[fernlicht]

Ok thanks, hardcoding is not really an option. Just thinking if I had to do this on the Russel 2000
But this means ranking symbols in any form can feasibly run only on live data.