★ ProRealTime - electronic trading systems ..

If possible, always duplicate the code of the personal indicator you want to call directly in your ProBacktest rather than using the CALL function so that your backtest codes only use standard ProRealTime indicators. The maximum authorized investment of the system depends on this. During the execution of a backtest, gains, losses and brokerage fees effect the amount of capital available to a trading system unless you activate the NoCashUpdate setting.

See the section Reinvest gains for more information. For automatic trading systems, the capital available to your systems is the capital in your portfolio. If a backtest does not place any trades, try increasing the amount of initial capital.

Brokerage fees and risk management You can customize these parameters to accurately reflect the fees and other parameters of your broker. Any kind of brokerage fee can be applied to any type of instrument. The types of brokerage fees available include: Cash per order: Fixed amount of cash in the currency of the instrument applied every time an order is executed.

You can also specify a minimum and a maximum value per order. It determines the max. Spread in pips : value added to the mid price to reflect the bid-ask spread. The risk management section lets you define max position size: Any order that tries to increase the position size beyond this will be rejected. Parameters in the "Risk management" section do not take brokerage fees into account. The margin is the cash necessary to buy a contract.

The value of a point is automatically calculated by the workstation for the future on which you are backtesting the trading system. Here are the point values of the main futures. It's also possible to define minimum or maximum brokerage fees per transaction. To learn more and see an example, we suggest you watch the video "Money management, stops and optimization".

The result of the optimization is presented in an Optimization report. You will see the statistics of the best combinations of variables tested and use this information to determine which variable you want to use in your trading system. Here is an example of a program that can be optimized with 2 moving averages with periods of n and m. Variable names are casesensitive. These statistics are as follows: "Gains", is the gain or loss realized by the trading system. Note: Brokerage fees as defined in the Brokerage parameters section are taken into account in this calculation.

It can be useful to determine efficiency of orders placed. Note that the amount of data that can be used for the backtest is generally limited to the amount of data displayed on the chart. You can increase the amount of historical data loaded on your chart by using the left dropdown menu of each chart. You need to load the amount of data on which you want to run the test before executing the backtest.

In the case of a real-time backtest, the orders appear on the chart whenever a signal is triggered. It is also possible to associate these orders to popups or sounds from by selecting Alert and sound configuration from the Options menu. If an ending date is defined, all positions opened at that date are closed.

Note: If your backtest takes a long time to execute, you can reduce the period of execution: the amount of time it takes to backtest a trading system is proportional to the amount of historical data on which the trading system is tested. After executing a backtest, the results are displayed in the following manner: Equity curve showing the gain and losses of the trading system Positions histogram Detailed report For more information about the display of results of backtests, check Annex A at the end of this document.

Customized trading hours: If you define reduced trading hours for a market, that means that only data during these reduced trading hours will be shown on charts and taken into account by ProBacktest. Note that it is only possible to define reduced trading hours within a given day. For example, a the market is open 24 hours per day, you could choose to take into account only data between and , but it is not possible to take into account data between one day and the next day.

If an order is placed at the customized close of the last bar of the trading day with customized trading hours configured, this order will be placed at the customized open of the next trading day. Notes concerning customized time zones and weekend data: Some hour markets have options to "use intraday quotes to build daily candles".

This option is not taken into account by ProBacktest, which always uses official daily candles based on the standard local market time zone. Some markets such as Forex include weekend data. Weekend data is always taken into account for backtesting purposes. For the Forex market, Sunday's data is included in the Monday daily candle for backtesting purposes there is no daily candle for Sunday.

This means that time-based instructions time, flatafter, flatbefore will take this time zone into account for their calculation. The user's timezone means the time zone chosen for the market to which the instrument belongs. By default, the time zone of the instrument is the time zone of your computer.

In case of a modification, the modified time zone will be taken into account the next time you run a backtest. All intraday time instructions are concerned: Time and its derivative instructions hour, minute Opentime and its derivative instructions openhour, openminute Flatafter and Flatbefore IntradayBarIndex reset to zero at the open of the market in the user's time zone Daily time-based instructions are not affected by the time zone selected: Dopen, Dhigh, Dlow, Dclose Date and its derivative instructions year, month, day DayOfWeek and Days These instructions take into account the time zone of the local market.

In this case, the end of the backtest is shown only by a black vertical line on the chart. There is a "Quit" instruction in the code which is executed. In this case, the end of the backtest is shown by the following icon: The available capital no longer sufficient to cover losses "estimated" capital is negative.

In this case, the end of the backtest will be shown by this icon An order is rejected due to insufficient cash. This order will appear in the order list of the detailed report. This panel contains the values of myvariable at the close of each bar, as shown in the example below: Note: The GRAPH instruction cannot be used in automatic trading mode. Any additional variable will be ignored by this instruction.

Prorealtime system development into mql

The first section explains how to send a trading system to ProOrder to prepare it for execution as an automatic trading system. The second section explains how to start a trading system and check the results. The third section explains the parameters of trading systems and their conditions of execution. The fourth section explains how manual and automatic trading systems coexist in the workstation. The fifth section explains implications of executing multiple automatic trading systems on the same instrument.

The last section contains a list of indicators which cannot be used in automatic trading due to their method of calculation. It is recommended that you read the entire manual before starting a trading system to learn about the execution of trading systems.

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Click on "Backtesting and automatic trading" to see the list of your trading systems: Choose the trading system you want to execute automatically and push the button "Prepare for automatic trading". The trading system will then appear in ProOrder. Note that the Max position size which can be set in the ProOrder window prior to starting a trading system takes precedence over quantities in the code. Max position size for futures and forex is defined in number of lots or contracts.

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For example, if your code has an instruction to buy 3 lots, but you limit the max position size to 1, this buy 3 order will be ignored. Similarly, if your code has an instruction to buy 1 lot, then sellshort 3 lots, the sellshort order will be ignored and you will remain in the long 1 position. You should always check the max position size prior to executing a code. For stocks, max position size is defined in cash not including brokerage fees.

After you push the Start button, the system will be displayed in the "running" section as shown below.

Why trade using ProRealTime?

It is possible to click on the link in the "version" section to see a copy of the code of this system. You can also click the button shown in yellow below to see the equity curve of the system and a detailed report on its performance. You should read these conditions carefully.

If you do not click the "Extend" button before this date, ProOrder may automatically stop them. You can view the validity date in the ProOrder window expressed in your computer's time zone and extend your trading systems validity via the "Extend" button at the bottom of the ProOrder window when a trading system is running: The amount of time of each extension can be configured from the Automatic Trading tab in the Trading preferences window.

It is possible increase this parameter while you have trading systems running. Your change will be applied to the next extension you make. Note: if you modify your computer's timezone while the platform is open, you will need to restart your workstation in order for the Valid until time to be displayed in the new timezone.