What would be the way to export the number of alerts for the total number of backtested days(for each day seperately)? It would be even better to be able to export the alerts along with their respective Entry/Exit Signals.
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There's no such thing as "historical Alert". Alerts only happen for the next bar when bar+1 == Bars.Count.
Only PosSizers (not Strategies) can have access to these historical items through the Candidates collection.
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I believe that it would be very beneficial to be able to extract the candidate collection is some way along with all information provided in the alerts tab. Could you please consider it as a potential improvement?
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In my book, it's a conceptual change. What is the benefit of it?
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I would be very interested to see the number of alerts vs. the P/L of a given strategy and obviously I am more interested in the alerts that would create a new position rather than those closing an existing one. You can assume that I am focusing on alerts since the systems I am talking about use limit and stop orders.
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The P/L of a given Strategy is not available to Strategies which are pre-executed with 1 share before applying real-life position sizing rules (at least without a solution like
this one), but to PosSizers and Visualizers. So it appears that you have the necessary ingredients to realize your goal: by accessing the
Candidates collection in a custom PosSizer.
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