Comportement différent d'un indicateur qd appelé dans un backtest

• 05/29/2016 at 1:08 PM #8309
  François

  Hello All,

  ci-dessous un code pour calculer les points pivots mensuels.

  Qd posé sur le graphe, cet indicateur donne exactement le même résultat que l’indicateur points pivots de PRT.

  if (month > month[1]) or (month=1 and month[1]=12) then monthHigh = prevMonthHigh monthLow = prevMonthLow monthClose = prevMonthClose prevMonthHigh = high prevMonthLow = low endif prevMonthHigh = max(prevMonthHigh, high) prevMonthLow = min(prevMonthLow, low) prevMonthClose = close p = (monthHigh + monthLow + monthclose) / 3 S1 = (p*2)-monthHigh S2 = p-(monthHigh-monthLow) S3 = monthLow-2*(monthHigh-p) Res1 = (p*2)-monthLow Res2 = p+(monthHigh-monthLow) Res3 = monthHigh+2*(p-monthLow) return p, S1 as "S1", S2 as "S2", S3 as "S3", Res1 as "R1", Res2 as "R2", Res3 as "R3"

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  if (month > month[1]) or (month=1 and month[1]=12) then monthHigh = prevMonthHigh monthLow = prevMonthLow monthClose = prevMonthClose prevMonthHigh = high prevMonthLow = low endif prevMonthHigh = max(prevMonthHigh, high) prevMonthLow = min(prevMonthLow, low) prevMonthClose = close   p = (monthHigh + monthLow + monthclose) / 3   S1 = (p*2)-monthHigh S2 = p-(monthHigh-monthLow) S3 = monthLow-2*(monthHigh-p)   Res1 = (p*2)-monthLow Res2 = p+(monthHigh-monthLow) Res3 = monthHigh+2*(p-monthLow)   return p, S1 as "S1", S2 as "S2", S3 as "S3", Res1 as "R1", Res2 as "R2", Res3 as "R3"

  Mais, ce même indicateur appelé dans un backtest donne des valeurs différentes, pas de bcp.

  Sur l’image en bleu les points pivot PRT égaux aux points pivots du code ci-dessus et en noir les points pivots du code ci-dessus appelés dans le backtest.

  Qq a une explication ou a déjà rencontré un problème similaire?

   

  F.

  

  François

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  05/29/2016 at 2:21 PM #8314
  Nicolas

  ---

  Il n’y a peut-être pas suffisamment de bars dans l’historique quand tu lances ton back test. Il faudrait peut-être en ajouter avec preloadbars.

  

  Nicolas

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  05/29/2016 at 3:17 PM #8321
  François

  Je viens d’essayer mais ca n’a pas d’effet.

  Voici le code du backtest que j’ai minimisé au max:

  DEFPARAM PRELOADBARS = 300 pp, ignored, ignored, ignored, ignored, ignored, ignored = CALL "Pivot Points Monthly" graph pp //graph myS1 //graph myS2 //graph myS3 //graph myR1 //graph myR2 //graph myR3 if 0 = 1 then buy 1 cash at close limit endif

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  DEFPARAM PRELOADBARS = 300   pp, ignored, ignored, ignored, ignored, ignored, ignored = CALL "Pivot Points Monthly" graph pp //graph myS1 //graph myS2 //graph myS3 //graph myR1 //graph myR2 //graph myR3   if 0 = 1 then buy 1 cash at close limit endif

  La seule chose qui me vient à l’esprit est un problème d’arrondi.

  A propos j’utilise la version journalière, peut-être que les données affichées et les données du backtest diffèrent?

  

  François

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  05/29/2016 at 3:49 PM #8322
  larouedegann

  Bonjour,

  Regarde sur PRT si la bonne formule du calcul du point pivot est utilisé.

  3 sorte de calculs pour déterminer un point pivot journalier.

  (h+b+c)/3

  (h+b+c+o du jour)/4  —-> o.du mois pour toi

  (h+b+o du jour)/3      ——>o. du mois pour toi

  Salutations

  

  larouedegann

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  05/29/2016 at 3:50 PM #8323
  François

  Je ne saurai pas expliqué pourquoi cette différence mais en modifiant le code de l’indicateur comme ci-dessous, ca fonctionne.

  if (month > month[1]) or (month=1 and month[1]=12) then monthHigh = prevMonthHigh monthLow = prevMonthLow monthClose = prevMonthClose prevMonthHigh = high prevMonthLow = low else prevMonthHigh = max(prevMonthHigh, high) prevMonthLow = min(prevMonthLow, low) prevMonthClose = close endif p = (monthHigh + monthLow + monthclose) / 3 S1 = (p*2)-monthHigh S2 = p-(monthHigh-monthLow) S3 = monthLow-2*(monthHigh-p) Res1 = (p*2)-monthLow Res2 = p+(monthHigh-monthLow) Res3 = monthHigh+2*(p-monthLow) return p, S1 as "S1", S2 as "S2", S3 as "S3", Res1 as "R1", Res2 as "R2", Res3 as "R3"

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  if (month > month[1]) or (month=1 and month[1]=12) then monthHigh = prevMonthHigh monthLow = prevMonthLow monthClose = prevMonthClose prevMonthHigh = high prevMonthLow = low else prevMonthHigh = max(prevMonthHigh, high) prevMonthLow = min(prevMonthLow, low) prevMonthClose = close endif   p = (monthHigh + monthLow + monthclose) / 3   S1 = (p*2)-monthHigh S2 = p-(monthHigh-monthLow) S3 = monthLow-2*(monthHigh-p)   Res1 = (p*2)-monthLow Res2 = p+(monthHigh-monthLow) Res3 = monthHigh+2*(p-monthLow)   return p, S1 as "S1", S2 as "S2", S3 as "S3", Res1 as "R1", Res2 as "R2", Res3 as "R3"

   

  

  François

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