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Model - roto
Created by Q bitfool on 2/14/2019
, last modified on 2/18/2019
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C# Coded Model

C# Coded Model Tips

These models are programmed in the C# language and utilize the Microsoft .NET framework. A Quantacula model is a C# class derived from the UserModelBase base class.

The Initialize method is called first. Override this method to instantiate indicators or other objects you will need during your model's processing.

The Execute method is called once for each bar of data in the history. Override this method to implement your model's trading logic. You are passed the current index into the historical data in the idx parameter.

Model Name

You can use Markdown syntax in your description.

This is the simple RSI rotation model published by Glitch. I'm leaving it as written, which makes it easier to see the way Glitch refactored things when moving to the Roto2 strategy which allows two (or more) rotation models to be combined.


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Data Selection
Select this option to backtest the Model on a single symbol.
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Benchmark Symbol
The benchmark symbol is used to compare your backtest results against the overall market. Typically a market index symbol such as SPY or QQQ is used.

Data Scale
Backtest Settings

Starting Capital
Margin Factor
Max Open Positions
Position Sizing
% of equity
Date Range
Settings Tips

The settings here control what data is used when you backtest your Model, as well as the position sizing. Settings information is saved when you save your Model.


Equity Curve

Performance Metrics
Summary Model Benchmark
Profit %
Sharpe Ratio
Sortino Ratio
Alpha α N/A
Beta β N/A
Profit Factor
Recovery Factor
Drawdown Model Benchmark
Maximum Drawdown
Maximum Drawdown %
Maximum Drawdown Date
Interest and Commission Model Benchmark
Commission Paid
Cash Interest Earned
Margin Interest Paid
Positions Model Benchmark
Number of Positions
Number of NSF Positions (not taken)
Win Rate
Average Profit
Average Profit %
Average Hold Time (Bars)
Winning Positions Model Benchmark
Number of Winners
Winning %
Winners Avg Profit
Winners Avg Profit %
Winners Avg Hold Time (Bars)
Losing Positions Model Benchmark
Number of Losers
Losing %
Losers Avg Loss
Losers Avg Loss %
Losers Avg Hold Time (Bars)

Monthly Performance
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
Open Positions
Position Symbol Quantity Entry Date Entry Price Last Price Profit Profit %

Closed Positions
Position Symbol Quantity Entry Date Entry Price Exit Date Exit Price Profit Profit %
Trade Signals
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