Issue with Inconsistent Backtesting Results

• 11/22/2023 at 4:35 AM #224097
  hamidrm

  Hello

  I’m not sure what I’m doing wrong, as I’m not getting the expected entry in trades with this platform. Below is part of a larger strategy, but I’ve trimmed the code to simplify troubleshooting. If you notice, when the price touches the short moving average during a downtrend, the trade is not executed as expected. Please see the attached file. This is just one example among many occurrences. The platform’s time is set to UTC+1. Asset is US Crude $10 in 4Hrs time fame. The strategy involves executing a sell entry position when the long moving average is above the short moving average, and the price touches the short moving average. This should be done with a fixed stop loss and profit target

   

  defparam cumulateorders=false //////////////////////////////////////////Short Position Condition/////////////////////////////////////////// MAS=ExponentialAverage[15](close) MAL=ExponentialAverage[55](close) IF MAS[1]<MAL[1] THEN condition1Short=1 ELSE condition1Short=0 ENDIF IF ABS(High-MAS)<10*pipsize THEN priceTouched1=1 ELSE priceTouched1=0 ENDIF //// Conditions to enter short positions IF NOT ShortOnMarket AND condition1Short AND priceTouched1 THEN SELLSHORT 1 CONTRACTS AT MARKET SET STOP PLOSS 100*pipsize SET TARGET PPROFIT 100*pipsize ENDIF

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  defparam cumulateorders=false //////////////////////////////////////////Short Position Condition///////////////////////////////////////////   MAS=ExponentialAverage[15](close)   MAL=ExponentialAverage[55](close)   IF MAS[1]<MAL[1]  THEN condition1Short=1 ELSE condition1Short=0 ENDIF       IF ABS(High-MAS)<10*pipsize THEN priceTouched1=1 ELSE priceTouched1=0   ENDIF     //// Conditions to enter short positions IF NOT ShortOnMarket AND condition1Short AND priceTouched1  THEN SELLSHORT 1 CONTRACTS AT MARKET SET STOP PLOSS 100*pipsize SET TARGET PPROFIT 100*pipsize ENDIF

   

  

  hamidrm

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  11/22/2023 at 10:04 AM #224102
  GraHal

  Without seeing Cursor Details showing actual values how can we be sure ABS(High–MAS)<10*pipsize and is not > 10*pipsize on the bar inside the red ring?

  

  GraHal

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  11/22/2023 at 11:43 AM #224122
  hamidrm

  @GraHal, correct me if I’m wrong, but in a backtesting environment, does the ProRealTime engine process data in CSV format, including open, close, high, and low prices, without executing trades minute by minute or tick by tick within the current candlestick?

  

  hamidrm

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  11/22/2023 at 12:02 PM #224125
  GraHal

  Code on any / all Timeframes (TF) is read and executed at the end of each bar.  Trades are opened / closed at the open of the next bar.

  On a 4 Hour TF the conditions which exist at the end of 4 hours re HLOC are what would open / close a trade etc.

  If you want minute by minute execution then you would need to use a 1 minute TF or multi-timeframe (4 hour and 1 min)

  If above does not answer your question then please elaborate / ask again?

  

  GraHal

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  11/23/2023 at 8:55 AM #224185
  hamidrm

  Thanks all good,

  1 user thanked author for this post.

  GraHal

  

  hamidrm

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