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I am creating some automated strategies with ACSIL and would like to find an easy way to automatically record the indicator values at the time of trade execution. I am just backtesting right now and not running anything live.
To elaborate, if I have ATR and ADX indicators on a chart and I run a backtest of a system on that chart, I would like to create a list of the readings of ATR and ADX at each trade entry and exit.
Has anyone heard of a way to do this?
-LF
Can you help answer these questions from other members on NexusFi?
A spreadsheet in SC would likely be the easiest way to implement something to record the info.
So, just brainstorming: maybe your system would incorporate an array that represents, for each consecutive bar, whether the system is in a trade or not. For instance, 0 means flat, 1 means long and -1 means short. Then add a spreadsheet study that is "based on" your system study, it specifically accesses this trade status variable within the system. This spreadsheet should update with a new row upon any change in this "signal" (i.e. last bar was non-zero , this bar is zero, means position exited.) When adding a row, also grab the current indicator values you'd like, as columns. You may want to force the spreadsheet to automatically clear out the rows (or add a new timestamped heading row) each time the backtest is run.
Thanks for the suggestion! I decided to use the spreadsheet study. Since it displays all of the indicator values at the close of the bar for every row you load, I am just going to copy the entirety of the sheet into excel. Then I'm going to import the trade activity log txt file into excel and create a macro that appends the indicator values to the trade data based on a time of trade match.
At some point I may attempt to code it in to the spreadsheet as you suggest, but this will probably be more flexible for analysis purposes right now.