开云体育

Hi,

I have implemented a breakout strategy in python with following steps:

1. get stocks with class?ScannerSubscription() for a 13 weeks high or low
2. calculate support/resistance for result of above scan result by adding contract details with?reqHistoricalData()
3. select target stock by further calculations
4. place the order

Above steps work fine but I can only test with live data because I found no way how I can execute step 1 only for data until a certain date so that I can use it for backtesting. For historical market data with reqHistoricalData() it works fine because I can filter for certain date

My question:

• Can I do backtesting the way I planned it or is this not possible with?ScannerSubscription(). If not, are there other approaches how I can implement backtesting?

Many thanks
Robert

Just get historical data for 13 weeks (from any date) and calc the high and low yourself.

Do a little abstraction so a function Get13WeekHighLow will use a subscription when live and historical data when backtesting.

Thanks Nick - I will go for your solution