Why did my strategy open a position?

• 12/19/2020 at 8:39 AM #154380
  sulimaster

  Hi

  My code below seemed to work previously so I cannot understand why it doesn’t work anymore. Has something changed in PRT or is there a coding error?

  Backtesting based on Daily DJI. I have also attached screenshots of the trade day, trigger day and trigger day -1 values of the indicators to assist you. Why did backtesting open a new long position on 16th Dec 2020?

  The issue seems to be specifically in relation to the code in lines 33 to 45. In this particular example (see screenshots), x[1] > y[1] AND x[1] > 70 AND x > y are all true so a = 1. If a = 1, then as per line 49, it should not enter into a long position on 16th Dec 2020.

  x = AroonUp[10]

  y = AroonDown[10]

  Please advise. Let me know if you need any further information.

  Thanks

  Sachin

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated x = AroonUp[10] y = AroonDown[10] short = 12 long = 26 signal = 9 EMAshort1 = exponentialaverage[short](close) EMAshort2 = exponentialaverage[short](EMAshort1) DifferenceShort = EMAshort1 - EMAshort2 ZeroLagShort = EMAshort1 + DifferenceShort EMAlong1 = exponentialaverage[long](close) EMAlong2 = exponentialaverage[long](EMAlong1) DifferenceLong = EMAlong1 - EMAlong2 ZeroLagLong = EMAlong1 + DifferenceLong ZeroLagMACD = ZeroLagShort - ZeroLagLong signal1 = ExponentialAverage[signal](ZEROLAGMACD) signal2 = ExponentialAverage[signal](signal1) DIFFERENCE2 = signal1 - signal2 SignalMACD = signal1 + DIFFERENCE2 z = Williams[8](close) ATR = AverageTrueRange[14](close) //POSITIONPERF(1) < 0 AND TRADEPRICE(2) > TRADEPRICE(1) AND IF ZeroLagMACD[1] > SignalMACD[1] AND ZeroLagMACD > SignalMACD AND x[1] > y[1] AND x[1] > 70 AND x > y THEN a = 1 ELSE a = 0 ENDIF //POSITIONPERF(1) < 0 AND TRADEPRICE(2) < TRADEPRICE(1) AND IF ZeroLagMACD[1] < SignalMACD[1] AND ZeroLagMACD < SignalMACD AND x[1] < y[1] AND y[1] > 70 AND x < y THEN b = 1 ELSE b = 0 ENDIF // Conditions to enter long positions IF a = 0 AND ATR < 500 AND ZeroLagMACD > SignalMACD AND z > -80 AND x > y AND x > 70 THEN BUY 0.2 PERPOINT AT MARKET SET STOP LOSS 1.5 * ATR ENDIF // Conditions to exit long positions IF (ZeroLagMACD CROSSES UNDER SignalMACD AND z < -20) OR y > x THEN SELL AT MARKET ENDIF // Conditions to enter short positions IF b = 0 AND ATR < 500 AND ZeroLagMACD < SignalMACD AND z < -20 AND y > x AND y > 70 THEN SELLSHORT 0.2 PERPOINT AT MARKET SET STOP LOSS 1.5 * ATR ENDIF // Conditions to exit short positions IF (ZeroLagMACD CROSSES OVER SignalMACD AND z > -80) OR x > y THEN EXITSHORT AT MARKET ENDIF //c = BARINDEX - TRADEINDEX //IF LONGONMARKET AND (highest[c](high) - TRADEPRICE) > 500 THEN //SET STOP TRAILING 100 //ELSIF SHORTONMARKET AND (TRADEPRICE - lowest[c](low)) > 500 THEN //SET STOP TRAILING 100 //ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   x = AroonUp[10] y = AroonDown[10]   short = 12 long = 26 signal = 9   EMAshort1 = exponentialaverage[short](close) EMAshort2 = exponentialaverage[short](EMAshort1) DifferenceShort = EMAshort1 - EMAshort2 ZeroLagShort = EMAshort1 + DifferenceShort EMAlong1 = exponentialaverage[long](close) EMAlong2 = exponentialaverage[long](EMAlong1) DifferenceLong = EMAlong1 - EMAlong2 ZeroLagLong = EMAlong1 + DifferenceLong ZeroLagMACD = ZeroLagShort - ZeroLagLong signal1 = ExponentialAverage[signal](ZEROLAGMACD) signal2 = ExponentialAverage[signal](signal1) DIFFERENCE2 = signal1 - signal2 SignalMACD = signal1 + DIFFERENCE2 z = Williams[8](close)   ATR = AverageTrueRange[14](close)   //POSITIONPERF(1) < 0 AND TRADEPRICE(2) > TRADEPRICE(1) AND IF ZeroLagMACD[1] > SignalMACD[1] AND ZeroLagMACD > SignalMACD AND x[1] > y[1] AND x[1] > 70 AND x > y THEN a = 1 ELSE a = 0 ENDIF   //POSITIONPERF(1) < 0 AND TRADEPRICE(2) < TRADEPRICE(1) AND IF ZeroLagMACD[1] < SignalMACD[1] AND ZeroLagMACD < SignalMACD AND x[1] < y[1] AND y[1] > 70 AND x < y THEN b = 1 ELSE b = 0 ENDIF   // Conditions to enter long positions   IF a = 0 AND ATR < 500 AND ZeroLagMACD > SignalMACD AND z > -80 AND x > y AND x > 70 THEN BUY 0.2 PERPOINT AT MARKET SET STOP LOSS 1.5 * ATR ENDIF   // Conditions to exit long positions   IF (ZeroLagMACD CROSSES UNDER SignalMACD AND z < -20) OR y > x THEN SELL AT MARKET ENDIF   // Conditions to enter short positions   IF b = 0 AND ATR < 500 AND ZeroLagMACD < SignalMACD AND z < -20 AND y > x AND y > 70 THEN SELLSHORT 0.2 PERPOINT AT MARKET SET STOP LOSS 1.5 * ATR ENDIF   // Conditions to exit short positions   IF (ZeroLagMACD CROSSES OVER SignalMACD AND z > -80) OR x > y THEN EXITSHORT AT MARKET ENDIF   //c = BARINDEX - TRADEINDEX   //IF LONGONMARKET AND (highest[c](high) - TRADEPRICE) > 500 THEN //SET STOP TRAILING 100 //ELSIF SHORTONMARKET AND (TRADEPRICE - lowest[c](low)) > 500 THEN //SET STOP TRAILING 100 //ENDIF

   

  

  sulimaster

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  12/22/2020 at 4:03 AM #154815
  robertogozzi

  If you append this code to your strategy:

  graph a graph ATR graph ZeroLagMACD graph SignalMACD graph z graph x graph y graph (a = 0 AND ATR < 500 AND ZeroLagMACD > SignalMACD AND z > -80 AND x > y AND x > 70)

  1 2 3 4 5 6 7 8

  graph a graph ATR graph ZeroLagMACD graph SignalMACD graph z graph x graph y graph (a = 0 AND ATR < 500 AND ZeroLagMACD > SignalMACD AND z > -80 AND x > y AND x > 70)

  you will be able to see that on Dec. 15th 2020 conditions at line 49 were met when the daily candle closed, so it immediately entered a trade (signaled with an arrow on Dec. 16th).

  1 user thanked author for this post.

  sulimaster

  

  robertogozzi

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  12/22/2020 at 9:37 AM #154854
  Vonasi

  sulimaster – Please follow the forum rules and give any future topics a meaningful title otherwise we will end up with a forum full of ‘Code error’ topics. I have changed your topic title.

  

  Vonasi

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  12/22/2020 at 4:14 PM #154899
  sulimaster

  Thanks Roberto

  Another thing I’m struggling with – in the live market (trading with IG), using the same strategy, why was a long trade opened on 18th Dec 2020 instead of 16th December 2020 as per the tick by tick back test (see attached)?

  

  sulimaster

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  12/23/2020 at 1:42 AM #154937
  robertogozzi

  Mine was opened on Dec. 16th.

   

  

  robertogozzi

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