Hello,

is there a way to backtest in WL the following scenario?

The portfolio profit or loss in a backtest (over all holding positions) exceed a special/defined amount. In this case WL should close the current position with the biggest profit or loss (or another option: all winning/losing positions).

Regards

In Wealth-Lab 6, accessing portfolio-level equity is only supported in PosSizers. Portfolio P/L is not supported in Strategies because they're pre-executed with 1 Share (RP mode) to obtain the list of all trades and then, real-world position sizing rules come into play. Still, PosSizers only size positions and closing out a trade isn't something they can help with.

But there is an advanced workaround in Community Components that makes possible to get a portfolio simulation's equity curve. It's been discussed on the forum before so you'll find some food for thought. Here's it:

WealthScript Techniques | Interacting Dynamically with Portfolio Level Equity

Hello Eugene,

thanks for your answer - that helped a lot! Just one last question on the entry side of a trade:

Can I interact with the open positions from other symbols in the Wealth-Lab Script or is it just possible with a PosSizer as well?
Example 1: If I already have a open position in AAPL then don't open a position in GOOG.
Example 2: If a possible position in one symbol is highly correlated with the existing open positions in other symbols then refuse the trade.
If the examples are not possible within the WL script - can I check these constraints with a PosSizer?

Thanks for your help!

Hi Andreas,

QUOTE:
Example 1: If I already have a open position in AAPL then don't open a position in GOOG.

There's ActivePositions collection that contains all open positions. Each Position, active or not, has a Symbol property (plus an alternative: Position.Bars.Symbol) that returns the symbol for a given position. Looping through ActivePositions, determine if there's an open position in AAPL and act accordingly. Example:

CODE:
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QUOTE:
Example 2: If a possible position in one symbol is highly correlated with the existing open positions in other symbols then refuse the trade.
If the examples are not possible within the WL script - can I check these constraints with a PosSizer?

If by saying "position in one symbol is highly correlated" you actually meant correlation between prices of underlying symbols, then you might find this strategy helpful:

Correlation Matrix