RTS Alpha Executive #2

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m · 2025-02-09T23:51:15Z

m commented

2025-02-09 23:51:15 +00:00

Create a language for defining how rules should be executed.

Focus on being able to backtest using this, even where sentiment, asset groups, etc are concerned.
This will require a shift of responsibility in asset groups from Neptune into Fisk, along with a direct Manticore querying system.

Create a language for defining how rules should be executed. Focus on being able to backtest using this, even where sentiment, asset groups, etc are concerned. This will require a shift of responsibility in asset groups from Neptune into Fisk, along with a direct Manticore querying system.

m commented

2025-02-09 23:54:20 +00:00

Notes:

Alpha:
m store_interval: interval to keep in memory
60 store_size: size of lookback in interval
rules: list of rules

Rule:
lock_in: lock in for x periods
defs: definitions for the rule that all have to be true

Def:
varA: A
varB: B
comparison: ==, <, >
varASpecial: Look Back, Sum
varBSpecial: ...

Notes: Alpha: m store_interval: interval to keep in memory 60 store_size: size of lookback in interval rules: list of rules Rule: lock_in: lock in for x periods defs: definitions for the rule that all have to be true Def: varA: A varB: B comparison: ==, <, > varASpecial: Look Back, Sum varBSpecial: ...

m commented

2025-02-09 23:56:40 +00:00

Monolith RTS OHLC Reframer
-> Fisk RTS
-> in memory: x m: 60m
(60 x 1 minute complete sticks from Monolith RTS)
-> last one recalculated from RTS secondly until that closes, then POPL

on step
-> recalculate ma 10, 100
-> add to each point (or keep separate)
-> go through rules
-> if all rules match, trigger

Monolith RTS OHLC Reframer -> Fisk RTS -> in memory: x m: 60m (60 x 1 minute complete sticks from Monolith RTS) -> last one recalculated from RTS secondly until that closes, then POPL on step -> recalculate ma 10, 100 -> add to each point (or keep separate) -> go through rules -> if all rules match, trigger

m commented

2025-02-09 23:59:26 +00:00

Backtest notes
Factors

TOHLCVA replay
Asset Groups -> get_rule_id & look up
Trading Time -> Check time

Override market methods to line up with replay

OHLC entry

Asset Groups -> get last relevant entry before ts and replay through engine

Trading Time -> use OHLC ts

Risk -> override marker methods to simulate

Long 1 @ 1.00
get_balance = (long - short) x price
store trade buy price

tick

price @ 2.00

profit = (buy price - price) x position

exit
recalc profit

profit += profit

Backtest notes Factors * TOHLCVA replay * Asset Groups -> get_rule_id & look up * Trading Time -> Check time Override market methods to line up with replay OHLC entry Asset Groups -> get last relevant entry before ts and replay through engine Trading Time -> use OHLC ts Risk -> override marker methods to simulate Long 1 @ 1.00 get_balance = (long - short) x price store trade buy price tick price @ 2.00 profit = (buy price - price) x position exit recalc profit profit += profit

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Reference: XF/fisk#2