Equity Curve – How to identify a new trade

• 01/23/2024 at 3:07 PM #226760
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  Hi @Moderators and all,

  I am struggling getting the right signal of a new trade on the Equity Curve of a backtest.
  I am using this kind of trick

  EquityData <> EquityData[1] (meaning the Equity was flat for a while)

  But sometimes when the equity curve does not have the time to turn flat, I am unable to get the signal;

  >> Is there a function I am missing or is there no solution to get this information in the backtest window?

  Thanks a lot ^^

  

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  01/23/2024 at 6:05 PM #226784
  robertogozzi

  That line should work whenever EquityData <> EquityData[1], not just when it was flat and currently it is not. I donìt know how and when you used it, but there should be no need to wait for it to be flat before a change is detected.

   

   

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  robertogozzi

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  01/23/2024 at 6:35 PM #226790
  JS

  Maybe the same story as with the “StrategyProfit”…

  I have noticed that when you go from long to short or from short to long in one go, the “StrategyProfit” is not updated (or a bar too late)

  The solution is to do an intermediate step and close the positions in the “right way”:

  So instead of all at once: Long => Short

  Long => Sell => Short => ExitShort

  This kind of instruction only works when the positions are closed in the “right way”…?

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  JS

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  01/23/2024 at 6:40 PM #226791
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  thanks for your quick answer;

  to be clearer,

  • this is the code I wrote in order to identify the number of trades as the ProOrder functions are not allowed in indicators for Equity Curve
    It should but it cannot identify this

  if EquityData <> EquityData[1] and TradeFlag = 0 then OpenTrade = 1 TradeFlag = 1 TradeCounter = Max(1,TradeCounter + 1) elsif EquityData = EquityData[1] and TradeFlag = 1 then //and EquityData[1] = EquityData[2] and EquityData[2] = EquityData[3] OpenTrade = 0 TradeFlag = 0 else OpenTrade = 0 endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16

  if EquityData <> EquityData[1] and TradeFlag = 0 then   OpenTrade = 1 TradeFlag = 1 TradeCounter = Max(1,TradeCounter + 1)   elsif EquityData = EquityData[1]  and TradeFlag = 1 then //and EquityData[1] = EquityData[2] and EquityData[2] = EquityData[3]   OpenTrade = 0 TradeFlag = 0   else   OpenTrade = 0   endif

  • and enclosed is the problem I face, in case the equity curve does not turn flat ; the vertical lines indicate the identified new trades (and some are missing as you can see)

  thanks ^^

  

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  01/23/2024 at 6:52 PM #226794
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  JS wrote:

  Maybe the same story as with the “StrategyProfit”…

  I have noticed that when you go from long to short or from short to long in one go, the “StrategyProfit” is not updated (or a bar too late)

  The solution is to do an intermediate step and close the positions in the “right way”:

  So instead of all at once: Long => Short

  Long => Sell => Short => ExitShort

  This kind of instruction only works when the positions are closed in the “right way”…?

  thanks JS but in fact you cannot even use these ProOrder functions in indicators PRT world 😉

  

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  01/23/2024 at 7:37 PM #226796
  robertogozzi

  Check that you are executing the line (and the following lines):

  if EquityData <> EquityData[1] and TradeFlag = 0 then

  1	if EquityData <> EquityData[1] and TradeFlag = 0 then

  in the DEFAULT timeframe.

  If you are using a 1-minute TF, but those lines are in the 4-hour TF, they will be updated ONCE every 4 hours, if UpdateOnClose is used. That might be an issue.

   

   

  

  robertogozzi

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  01/23/2024 at 8:25 PM #226800
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  robertogozzi wrote:

  Check that you are executing the line (and the following lines):

  1	if EquityData <> EquityData[1] and TradeFlag = 0 then

  in the DEFAULT timeframe.

  If you are using a 1-minute TF, but those lines are in the 4-hour TF, they will be updated ONCE every 4 hours, if UpdateOnClose is used. That might be an issue.

  Ok thanks, but do you see another way to identify consecutive trades in the context of an Equity Curve Indicator?

  

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  01/24/2024 at 6:53 PM #226877
  robertogozzi

  Try this one:

  TradeClosed = strategyprofit <> strategyprofit[1] Conescutive = OnMarket AND TradeClosed

  1 2	TradeClosed = strategyprofit <> strategyprofit[1] Conescutive = OnMarket AND TradeClosed

   

  

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  01/24/2024 at 9:37 PM #226879
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  robertogozzi wrote:

  Try this one:

  1 2	TradeClosed = strategyprofit <> strategyprofit[1] Conescutive = OnMarket AND TradeClosed

  Thanks Roberto but these are all functions working solely in the context of algos and not indicators

  

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  01/26/2024 at 12:32 PM #226904
  robertogozzi

  You will need to simulate trading, like any backtesting software:

  ONCE TradeIsOpen = 0 TradeClosed = EquityData <> EquityData [1] // set TradeIsOpen whenever the conditions to enter a position are met, // then clear it as soon as the trade needs to be closed (like backtest // does). // ProBackTest is actually an indicator (well... quite difficult and time // consuming to code!) IF MyConditions THEN TradeIsOpen = 1 ENDIF Conescutive = TradeIsOpen AND TradeClosed

  1 2 3 4 5 6 7 8 9 10 11

  ONCE TradeIsOpen = 0 TradeClosed = EquityData  <> EquityData [1] // set  TradeIsOpen whenever the conditions to enter a position are met, // then clear it as soon as the trade needs to be closed (like backtest // does). // ProBackTest is actually an indicator (well... quite difficult and time // consuming to code!) IF MyConditions THEN    TradeIsOpen = 1 ENDIF Conescutive = TradeIsOpen AND TradeClosed

   

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  robertogozzi

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  02/01/2024 at 4:48 PM #227257
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  robertogozzi wrote:

  You will need to simulate trading, like any backtesting software:

  1 2 3 4 5 6 7 8 9 10 11

  ONCE TradeIsOpen = 0 TradeClosed = EquityData <> EquityData [1] // set TradeIsOpen whenever the conditions to enter a position are met, // then clear it as soon as the trade needs to be closed (like backtest // does). // ProBackTest is actually an indicator (well… quite difficult and time // consuming to code!) IF MyConditions THEN TradeIsOpen= 1 ENDIF Conescutive = TradeIsOpen AND TradeClosed

  
  Hi Roberto,
  Are you telling me indirectly that I cannot indentify every trade through an indicator that I apply on the Equity Curve?

   

  

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  02/01/2024 at 6:16 PM #227260
  robertogozzi

  It’s not possible, try this code (apply it to the equity line):

  ONCE EquityLine = customclose ONCE TradeCount = 0 EquityChange = 0 IF (BarIndex > 0) THEN IF (EquityLine <> customclose) THEN EquityChange = 1 ENDIF ENDIF IF (not EquityChange AND EquityChange[1]) AND (close <> close[1]) THEN DrawText("*●",BarIndex,customclose) coloured("Red") ENDIF EquityLine = customclose RETURN

  1 2 3 4 5 6 7 8 9 10 11 12 13

  ONCE EquityLine   = customclose ONCE TradeCount   = 0 EquityChange      = 0 IF (BarIndex > 0) THEN    IF (EquityLine <> customclose) THEN       EquityChange = 1    ENDIF ENDIF IF (not EquityChange AND EquityChange[1]) AND (close <> close[1]) THEN    DrawText("*●",BarIndex,customclose) coloured("Red") ENDIF EquityLine = customclose RETURN

  it will plot a large red dot whenever the equity line changes, but it requires at least two bars NOT ONMARKET to detect trades properly.

   

   

   

  

  robertogozzi

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  02/02/2024 at 7:16 PM #227342
  robertogozzi

  The EquityLine changes every bar, as it combines StrategyProfit + PositionPerf.

  To use STRATEGYPROFIT only, you have to append this line to your backtest:

  GRAPH StrategyProfit

  1	GRAPH StrategyProfit

  Then add this indicator to the variable window where STRATEGYPROFIT is plotted:

  ONCE EquityLine = customclose ONCE TradeCount = 0 EquityChange = 0 IF (BarIndex > 0) THEN IF (EquityLine <> customclose) THEN EquityChange = 1 ENDIF ENDIF IF EquityChange THEN TradeCount = TradeCount + 1 DrawText("#TradeCount#",BarIndex,customclose,serif,bold,16) coloured("Red") ENDIF EquityLine = customclose RETURN

  1 2 3 4 5 6 7 8 9 10 11 12 13 14

  ONCE EquityLine   = customclose ONCE TradeCount   = 0 EquityChange      = 0 IF (BarIndex > 0) THEN    IF (EquityLine <> customclose) THEN       EquityChange = 1    ENDIF ENDIF IF EquityChange THEN    TradeCount = TradeCount + 1    DrawText("#TradeCount#",BarIndex,customclose,serif,bold,16) coloured("Red") ENDIF EquityLine = customclose RETURN

  my attached pic shows the results.

   

   

  

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  02/07/2024 at 5:20 PM #227593
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  robertogozzi wrote:

  The EquityLine changes every bar, as it combines StrategyProfit + PositionPerf.

  To use STRATEGYPROFIT only, you have to append this line to your backtest:

  1	GRAPH StrategyProfit

  Then add this indicator to the variable window where STRATEGYPROFIT is plotted:

  1 2 3 4 5 6 7 8 9 10 11 12 13 14

  ONCE EquityLine = customclose ONCE TradeCount = 0 EquityChange = 0 IF (BarIndex > 0) THEN IF (EquityLine <> customclose) THEN EquityChange= 1 ENDIF ENDIF IF EquityChange THEN TradeCount= TradeCount + 1 DrawText(“#TradeCount#”,BarIndex,customclose,serif,bold,16) coloured(“Red”) ENDIF EquityLine = customclose RETURN

  my attached pic shows the results.

  Thanks for your help Roberto

  We are getting closer but the indicator does not apply on the equity curve of course; moreover strategyprofit as I understand it, will only update at the end of the last trade right?

  So I wonder how our little hack could solve the problem I am facing on the Equity curve; am I missing something?

  My goal is to add on the Equity Curve an indicator that detects every new beginning trade.

  Thanks

  

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  02/08/2024 at 9:48 AM #227643
  robertogozzi

  It’s not possible to add indicators to the equity curve in ProBackTest to detect new trades.

  You can only achieve your goal simulating trading, or using GRAPH for the variable window as stated above.

   

  

  robertogozzi

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