I run about 50 different strategies against a simulation account, against live market data. Over days and weeks, some strategies go hot and others go cold. I'd like to keep track of the last five days of simulated results for each strategy. If a certain strategy has 4/5 positive days, then I want that strategy to be activiated and trade to my brokerage account. If, over the last five days of simulated trading against the live market day, at least two of those days are bad, then I do not want to activate that strategy against my brokerage account. So, a the week, strategies are activated and deactivated.
Might you be able to provide a general outline or guidance of how to approach? Thanks,
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