Counting of Bars Incorrect Results

• 05/18/2018 at 1:59 PM #70774
  Vonasi

  I wrote a very simple strategy to test some ideas but I noticed that it was not opening every position that it should. It should simply open a position if there has been four red candles after a green candle and then closes the position after holding for one bar. I used a FOR DO NEXT loop to count but when compared to my Same Candle Run Graph indicator that is in the library which uses multiples of close < open it can clearly be seen that trading opportunities are being missed.

  Can anyone explain why this should be?

  Tested on FTSE100 Weekly.

  

  

  DEFPARAM cumulateOrders = False QtyBars = 4 PositionSize = 1 Count = 0 IF close[QtyBars] > open[QtyBars] THEN For i = 0 to (QtyBars-1) do IF close[i] < open[i] THEN Count = Count + 1 ELSE Break ENDIF NEXT ENDIF IF Count = QtyBars THEN BUY PositionSize contract at Market ENDIF IF Onmarket THEN Sell at Market ENDIF Graph Count

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  DEFPARAM cumulateOrders = False   QtyBars = 4   PositionSize = 1   Count = 0   IF close[QtyBars] > open[QtyBars] THEN For i = 0 to (QtyBars-1) do IF close[i] < open[i] THEN Count = Count + 1 ELSE Break ENDIF NEXT ENDIF   IF Count = QtyBars THEN BUY PositionSize contract at Market ENDIF   IF Onmarket THEN Sell at Market ENDIF   Graph Count

   

  

  Vonasi

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  05/18/2018 at 2:06 PM #70778
  robertogozzi

  If close > open then If summation[4](close[1] < open[1]) = 4 then Buy.... Endif Endif

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  If close > open then    If summation[4](close[1] < open[1]) = 4 then       Buy....    Endif Endif

   

  

  robertogozzi

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  05/18/2018 at 2:18 PM #70780
  Vonasi

  So I re-wrote the code to do away with the FOR DO NEXT loop and the results are exactly the same. Trades are missed.

  DEFPARAM cumulateOrders = False QtyBars = 4 PositionSize = 1 IF close[QtyBars] > open[QtyBars] and close < open and close[1] < open[1] and close[2] < open[2] and close[3] < open[3] THEN BUY PositionSize contract at Market ENDIF IF Onmarket THEN Sell at Market ENDIF

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  DEFPARAM cumulateOrders = False   QtyBars = 4   PositionSize = 1   IF close[QtyBars] > open[QtyBars] and close < open and close[1] < open[1] and close[2] < open[2] and close[3] < open[3] THEN BUY PositionSize contract at Market ENDIF   IF Onmarket THEN Sell at Market ENDIF

  Strangely similar code in my indicator but displaced by one bar so as to run it as an analyse tool works fine.

  IF close > Open + Spread and close[1] < open[1] and close[2] < open[2] and close[3] < open[3] and close[4] < open[4] and close[5] > open[5] THEN Down4Total = Down4Total + (close - open) - Spread ENDIF IF close < open and close[1] < open[1] and close[2] < open[2] and close[3] < open[3] and close[4] < open[4] and close[5] > open[5] THEN Down4Total = Down4Total + (close - open) - Spread ENDIF

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  IF close > Open + Spread and close[1] < open[1] and close[2] < open[2] and close[3] < open[3] and close[4] < open[4] and close[5] > open[5] THEN Down4Total = Down4Total + (close - open) - Spread ENDIF IF close < open and close[1] < open[1] and close[2] < open[2] and close[3] < open[3] and close[4] < open[4] and close[5] > open[5] THEN Down4Total = Down4Total + (close - open) - Spread ENDIF

   

  

  Vonasi

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  05/18/2018 at 2:23 PM #70781
  Vonasi

  I think you have it wrong Robertogozzi. The green bar should be before the four red bars.

  I’ll try this: (but I do not understand why the other two methods do not work as a strategy when they do as an indicator)

  If close[4] > open[4] then If summation[4](close < open) = 4 then Buy.... Endif Endif

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  If close[4] > open[4] then    If summation[4](close < open) = 4 then       Buy....    Endif Endif

   

  

  Vonasi

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  05/18/2018 at 2:26 PM #70782
  Vonasi

  No that does not work either. I’m beginning to think it is an issue with the data. I still don’t understand why it works as an indicator one bar later though.

  

  Vonasi

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  05/18/2018 at 2:38 PM #70783
  Vonasi

  Here is another example: This one was looking for five reds after a green but it opens a position when the last of the five is in fact a green.

  

  The code used was this:

  DEFPARAM cumulateOrders = False QtyBars = 5 PositionSize = 1 IF close[QtyBars] > open[QtyBars] THEN IF summation[QtyBars](close < open) = QtyBars THEN BUY PositionSize contract at Market ENDIF ENDIF IF Onmarket THEN Sell at Market ENDIF

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  DEFPARAM cumulateOrders = False   QtyBars = 5   PositionSize = 1   IF close[QtyBars] > open[QtyBars] THEN IF summation[QtyBars](close < open) = QtyBars THEN BUY PositionSize contract at Market ENDIF ENDIF   IF Onmarket THEN Sell at Market ENDIF

   

  

  Vonasi

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  05/18/2018 at 3:38 PM #70787
  robertogozzi

  I tried it on Gbp/Nok, 1 minute, and it works fine!

  

  robertogozzi

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  05/18/2018 at 3:49 PM #70790
  Nicolas

  Weekly timeframe? Try in other ones to see how it goes..

  

  Nicolas

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  05/18/2018 at 4:13 PM #70793
  Vonasi

  Nicolas wrote:

  Weekly timeframe? Try in other ones to see how it goes..

  Yes but why does it not work in weekly? Is there something about the weekly closing data that is incorrect? If so it will make the new multi time frame feature pretty useless.

  The data is correct if you wait a week before making the decision that you should have bought at the beginning of the week as my indicator proves!

  I will check other time frames and report back…..

  

  Vonasi

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  05/18/2018 at 4:47 PM #70798
  Vonasi

  I just checked on daily data and all seems to be working correctly across a range of different same bar runs but then I tried it on a 6 (x) Days chart and something is very wrong there. There are trades opened that should not be opened. They are winners but that is not the point! The strategy was set to open a trade if a green bar is followed by four red bars. The graph at the bottom is my Candle Run indicator.

  

  

  

  Vonasi

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  05/18/2018 at 5:05 PM #70802
  JC_Bywan

  Only briefly interrupting my silence in case this might help: could it be the good old custom choice of “not displaying weekend data” in the platform local options? … resulting in probuilder indicators working as you expect with friday close being also weekly close, but backtests & pro-order strategies running on prt servers with weekend data regardless of your pc-localised-only custom choice (not run on your pc displaying therefore only a subset of data excluding weekend and sunday close, yet used)? Might be consistent with weekly and x days timeframes behaving differently depending if running a strategy or an indicator.

  

  JC_Bywan

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  05/18/2018 at 5:49 PM #70803
  Vonasi

  This is ticked for every market where it is an option.

  

  

  Vonasi

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  05/18/2018 at 10:03 PM #70810
  Vonasi

  Something is definitely not as it should be. Here is an image from a strategy based on bars that represent 25 days on the DAX and strategy that does not use tick by tick data. PRT only opens and closes positions at the open of the new bar so how is this possible?

  Maybe this needs moving to the PRT platform support for PRT to comment on?

  

  

  Vonasi

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  05/21/2018 at 8:31 AM #70988
  Vonasi

  Any thoughts from anyone about what is going on here? These strange results are making market analysis impossible for me at the moment.

  Should this thread be moved to PRT platform support?

  

  Vonasi

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  05/23/2018 at 8:14 AM #71140
  Vonasi

  I’ve started a thread in the platform support forum with a link to this thread so that hopefully someone from PRT will pick up on this issue and explain what is going on.

  

  Vonasi

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