Initialization not working

• 03/09/2020 at 6:22 PM #121603
  smart.fr

  Hello,

  The outcome of the following code is exactly the same as if “Close” was 0 in the “ONCE” instructions, and all the remaining code did not exist.
  GRAPHing my variables produces flat lines whereas GRAPHing the formulas used to calculate them produces correct graphs.
  It looks like assignations don’t work.
  What am I missing here?
  (It’s a very simple ProBackTest system based on 2 trailing stops, one to open a long position and another one to close it.)

  Thanks for your help!
  Stephane

  // Initialisation ONCE StopLossBuy = PriceBaseStage * ROUND(Close / PriceBaseStage) + BuyLevel ONCE RaiseConfirmationPrice = PriceBaseStage * ROUND(Close / PriceBaseStage) + RaiseConfirmationLevel ONCE StopLossSell = PriceBaseStage * (ROUND(Close / PriceBaseStage) - 1) + SellLevel ONCE DropConfirmationPrice = PriceBaseStage * (ROUND(Close / PriceBaseStage) - 1) + DropConfirmationLevel ONCE CapitalInitial = 10000 ////////////////////////////////////////////////////////////////////////////////////////// // VARIABLES ////////////////////////////////////////////////////////////////////////////////////////// //PriceBaseStage [1000], //DropConfirmationLevel [700;900][50] //BuyLevel [100;300][50] //RaiseConfirmationLevel[700;900][50] //SellLevel [100;300][50] GRAPH StopLossBuy GRAPH RaiseConfirmationPrice GRAPH StopLossSell GRAPH DropConfirmationPrice ////////////////////////////////////////////////////////////////////////////////////////// // CALCUL DES STOP LOSS ////////////////////////////////////////////////////////////////////////////////////////// // Suivre la baisse StopLossBuy = StopLossBuy[1] DropConfirmationPrice = DropConfirmationPrice[1] IF (Low <= DropConfirmationPrice) THEN // La baisse est confirmée, on diminue le stop loss d'achat et la prochaine confirmation de baisse StopLossBuy = StopLossBuy - PriceBaseStage DropConfirmationPrice = DropConfirmationPrice - PriceBaseStage ENDIF // Suivre la hausse StopLossSell = StopLossSell[1] RaiseConfirmationPrice = RaiseConfirmationPrice[1] IF (High >= RaiseConfirmationPrice) THEN // La hausse est confirmée, on augmente le stop loss de vente et la prochaine confirmation de hausse StopLossSell = StopLossSell + PriceBaseStage RaiseConfirmationPrice = RaiseConfirmationPrice + PriceBaseStage ENDIF ////////////////////////////////////////////////////////////////////////////////////////// // CALCUL DES SIGNAUX ////////////////////////////////////////////////////////////////////////////////////////// // Condition pour ouvrir une position longue ConditionAchat = (High >= StopLossBuy) // Condition pour clôturer une position longue ouverte ConditionVente = (Low <= StopLossSell) ////////////////////////////////////////////////////////////////////////////////////////// // POSITIONS ////////////////////////////////////////////////////////////////////////////////////////// // Conditions pour ouvrir une position acheteuse IF NOT LongOnMarket AND ConditionAchat THEN Quantite = Round(0.9 * (CapitalInitial + StrategyProfit) / Close) BUY Quantite CONTRACTS AT MARKET ENDIF // Conditions pour fermer une position acheteuse If LongOnMarket AND ConditionVente THEN SELL AT MARKET ENDIF

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  // Initialisation ONCE StopLossBuy = PriceBaseStage * ROUND(Close / PriceBaseStage) + BuyLevel ONCE RaiseConfirmationPrice = PriceBaseStage * ROUND(Close / PriceBaseStage) + RaiseConfirmationLevel ONCE StopLossSell = PriceBaseStage * (ROUND(Close / PriceBaseStage) - 1) + SellLevel ONCE DropConfirmationPrice = PriceBaseStage * (ROUND(Close / PriceBaseStage) - 1) + DropConfirmationLevel ONCE CapitalInitial = 10000   ////////////////////////////////////////////////////////////////////////////////////////// //   VARIABLES ////////////////////////////////////////////////////////////////////////////////////////// //PriceBaseStage [1000], //DropConfirmationLevel [700;900][50] //BuyLevel [100;300][50] //RaiseConfirmationLevel[700;900][50] //SellLevel [100;300][50]   GRAPH StopLossBuy GRAPH RaiseConfirmationPrice GRAPH StopLossSell GRAPH DropConfirmationPrice   ////////////////////////////////////////////////////////////////////////////////////////// // CALCUL DES STOP LOSS //////////////////////////////////////////////////////////////////////////////////////////   // Suivre la baisse StopLossBuy = StopLossBuy[1] DropConfirmationPrice = DropConfirmationPrice[1] IF (Low <= DropConfirmationPrice) THEN // La baisse est confirmée, on diminue le stop loss d'achat et la prochaine confirmation de baisse StopLossBuy = StopLossBuy - PriceBaseStage DropConfirmationPrice = DropConfirmationPrice - PriceBaseStage ENDIF   // Suivre la hausse StopLossSell = StopLossSell[1] RaiseConfirmationPrice = RaiseConfirmationPrice[1] IF (High >= RaiseConfirmationPrice) THEN // La hausse est confirmée, on augmente le stop loss de vente et la prochaine confirmation de hausse StopLossSell = StopLossSell + PriceBaseStage RaiseConfirmationPrice = RaiseConfirmationPrice + PriceBaseStage ENDIF   ////////////////////////////////////////////////////////////////////////////////////////// // CALCUL DES SIGNAUX //////////////////////////////////////////////////////////////////////////////////////////   // Condition pour ouvrir une position longue ConditionAchat = (High >= StopLossBuy)   // Condition pour clôturer une position longue ouverte ConditionVente = (Low <= StopLossSell)   ////////////////////////////////////////////////////////////////////////////////////////// //   POSITIONS //////////////////////////////////////////////////////////////////////////////////////////   // Conditions pour ouvrir une position acheteuse IF NOT LongOnMarket AND ConditionAchat THEN Quantite = Round(0.9 * (CapitalInitial + StrategyProfit) / Close) BUY Quantite CONTRACTS AT MARKET ENDIF   // Conditions pour fermer une position acheteuse If LongOnMarket AND ConditionVente THEN SELL AT MARKET ENDIF

  

  smart.fr

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  03/10/2020 at 9:15 AM #121636
  Nicolas

  Please do not open multiple topics with the same question.

  First idea that come to mind:

  1. at first run, PriceBaseStage is equal to 0 and a division by zero error has the effect of stopping future evaluations of the variables
  2. try to limit the preloaded bars with a defparam preloadbars=0 , to exclude calculation before the real start date of the backtest

  1 user thanked author for this post.

  GraHal

  

  Nicolas

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  03/11/2020 at 9:30 AM #121790
  smart.fr

  Thank you Nicolas.

  PriceBaseStage is a variable which is set to 1000, so it is never equal to 0.
  Unfortunately, DEFPARAM PreLoadBars = 0 doesn’t change anything.

  I was suggested by Fifi743 to use an indicator instead of doing the calculations in the system. It generally helps.
  However here, it doesn’t improve the outcome.
  Looks like the ONCE calculations are made out of any bars (hence “Close” seemingly equal to 0).

  Has anyone experienced this phenomenom? I’m pretty sure there’s an obvious fix or workaround…
  Thanks!

  

  smart.fr

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  03/11/2020 at 10:31 AM #121797
  Nicolas

  Could you please give me a example with fixed settings (with no optimization) applied to a specific instrument on a precise date/time? Sorry but i’m a bit a confused on when/where to test it as it should.

  

  Nicolas

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  03/11/2020 at 6:18 PM #121858
  smart.fr

  Finally got the solution from Noobywan on the French forum.
  Instead of using ONCE, rely on testing BARINDEX.
  Thanks Noobywan!

  IF BARINDEX = 1 (Initializations) END IF IF BARINDEX > 1 (Regular processing) ENDIF

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  IF BARINDEX = 1 (Initializations) END IF IF BARINDEX > 1 (Regular processing) ENDIF

  

  smart.fr

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