Screener daycount only returns 1 – don't know why.

• 04/12/2019 at 7:39 AM #96198
  stuffa

  Hi all

  I downloaded the Gann Market Model Strategy from the library and edited out the Probacktest code so as to use it as a screener.  I also added daycount code that Nicolas assisted me with a while back but can not get it to count.  I only get 1(one) all the time for the daycount result.  This daycount code works perfectly on other screeners that I have and the code for the “daycount” part is exactly the same.

  The edited code is as follows and a screen shot of the results with a circled result clearly not matching the Strategy results.  Have poured over this and do not know what is wrong.  Any help greatly appreciated.

  Thanks

  Chris

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  //short term a1= ExponentialAverage[50](high)[1] b1=ExponentialAverage[50](low)[1] if customclose > a1 then c1 = 1 Else IF customclose < b1 then c1=-1 endif ENDIF if c1= -1 then D1 = a1 ELSE D1=b1 endif a2= ExponentialAverage[100](high)[1] b2=ExponentialAverage[100](low)[1] if customclose > a2 then c2 = 1 Else IF customclose < b2 then c2=-1 endif ENDIF if c2= -1 then D2 = a2 ELSE D2=b2 endif a3= ExponentialAverage[200](high)[1] b3=ExponentialAverage[200](low)[1] if customclose > a3 then c3 = 1 Else IF customclose < b3 then c3=-1 endif ENDIF if c3= -1 then D3 = a3 ELSE D3=b3 endif if D1 < close then result = 1 else result = 0 endif if D2 < close then resulta = 1 else resulta = 0 endif if D3 < close then resultb = 1 else resultb = 0 endif c10 = (result + resulta + resultb) //Screen for entry condition and start daycount if c10 > 2 THEN resultL = 1 daycount = 0 endif // exit condition if c10 < 3 THEN resultL = 0 endif //count days trade open once daycount = 0 IF resultL = 1 and savedate<>Date THEN daycount = daycount + 1 savedate = Date ENDIF screener[resultL] (daycount as "days")

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  //short term a1= ExponentialAverage[50](high)[1] b1=ExponentialAverage[50](low)[1] if customclose > a1 then c1 = 1 Else IF customclose < b1 then c1=-1 endif ENDIF if c1= -1 then D1 = a1   ELSE D1=b1   endif   a2= ExponentialAverage[100](high)[1] b2=ExponentialAverage[100](low)[1] if customclose > a2 then c2 = 1 Else IF customclose < b2 then c2=-1 endif ENDIF if c2= -1 then D2 = a2   ELSE D2=b2   endif   a3= ExponentialAverage[200](high)[1] b3=ExponentialAverage[200](low)[1] if customclose > a3 then c3 = 1 Else IF customclose < b3 then c3=-1 endif ENDIF if c3= -1 then D3 = a3   ELSE D3=b3   endif   if D1 < close then result = 1 else result = 0 endif   if D2 < close then resulta = 1 else resulta = 0 endif   if D3 < close then resultb = 1 else resultb = 0 endif   c10 = (result + resulta + resultb)   //Screen for entry condition and start daycount   if c10 > 2 THEN resultL = 1 daycount = 0 endif   // exit condition if c10 < 3 THEN resultL = 0 endif   //count days trade open once daycount = 0   IF resultL = 1 and savedate<>Date THEN daycount = daycount + 1 savedate = Date ENDIF   screener[resultL] (daycount as "days")

   

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  stuffa

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  04/12/2019 at 8:46 AM #96218
  Nicolas

  You can try this version, I changed a bit the way you are finding the start of the signal “resultL”:

  //short term a1= ExponentialAverage[50](high)[1] b1=ExponentialAverage[50](low)[1] if customclose > a1 then c1 = 1 Else IF customclose < b1 then c1=-1 endif ENDIF if c1= -1 then D1 = a1 ELSE D1=b1 endif a2= ExponentialAverage[100](high)[1] b2=ExponentialAverage[100](low)[1] if customclose > a2 then c2 = 1 Else IF customclose < b2 then c2=-1 endif ENDIF if c2= -1 then D2 = a2 ELSE D2=b2 endif a3= ExponentialAverage[200](high)[1] b3=ExponentialAverage[200](low)[1] if customclose > a3 then c3 = 1 Else IF customclose < b3 then c3=-1 endif ENDIF if c3= -1 then D3 = a3 ELSE D3=b3 endif if D1 < close then result = 1 else result = 0 endif if D2 < close then resulta = 1 else resulta = 0 endif if D3 < close then resultb = 1 else resultb = 0 endif c10 = result and resulta and resultb //Screen for entry condition and start daycount if c10 and not c10[1] THEN resultL = 1 daycount = 0 //startbar=barindex endif // exit condition if not c10 THEN resultL = 0 endif //count days trade open IF resultL = 1 THEN daycount = daycount + 1 ENDIF screener[resultL] (daycount as "days")//(barindex-startbar as "days")

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  //short term a1= ExponentialAverage[50](high)[1] b1=ExponentialAverage[50](low)[1] if customclose > a1 then c1 = 1 Else IF customclose < b1 then c1=-1 endif ENDIF if c1= -1 then D1 = a1   ELSE D1=b1   endif   a2= ExponentialAverage[100](high)[1] b2=ExponentialAverage[100](low)[1] if customclose > a2 then c2 = 1 Else IF customclose < b2 then c2=-1 endif ENDIF if c2= -1 then D2 = a2   ELSE D2=b2   endif   a3= ExponentialAverage[200](high)[1] b3=ExponentialAverage[200](low)[1] if customclose > a3 then c3 = 1 Else IF customclose < b3 then c3=-1 endif ENDIF if c3= -1 then D3 = a3   ELSE D3=b3   endif   if D1 < close then result = 1 else result = 0 endif   if D2 < close then resulta = 1 else resulta = 0 endif   if D3 < close then resultb = 1 else resultb = 0 endif   c10 = result and resulta and resultb   //Screen for entry condition and start daycount   if c10 and not c10[1] THEN resultL = 1 daycount = 0 //startbar=barindex endif   // exit condition if not c10 THEN resultL = 0 endif   //count days trade open   IF resultL = 1  THEN daycount = daycount + 1 ENDIF   screener[resultL] (daycount as "days")//(barindex-startbar as "days")

  I did not compared the days count with the indicator, please do.

  

  Nicolas

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  04/14/2019 at 3:02 AM #96375
  stuffa

  Thanks Nicolas.  That has got the daycount working (sort of???)  It still does not count correctly though.  I have attached 2 screen shots showing 2 stocks returning the same 156 days result in the screener.

  Problem is their buy dates are about 3 months apart and the strategy shows a continuous hold for these trades.  Also I have removed most of the “gann code” and put a simple moving average crossover to buy and my trailing stop to exit to simplify things for this issue.

  edited – Just tried changing the long entry from moving averages “greater than” to “crosses over” and got completely different results in the screener – not even the 2 stocks I have attached were in the results.  But the strategy with the “crosses over” still shows the same buy dates.  what the..    

   

  Both the strategy and screener code is below.

  DEFPARAM CumulateOrders = False StopL = call "PRC_StopReversal CPH"[2,5,5,5,1] long = ExponentialAverage[50](close) > ExponentialAverage[100](close) IF Long and not long[1] then BUY n shares AT MARKET ENDIF IF (close) < stopL THEN SELL AT MARKET ENDIF

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  DEFPARAM CumulateOrders = False StopL = call "PRC_StopReversal CPH"[2,5,5,5,1] long = ExponentialAverage[50](close) > ExponentialAverage[100](close)   IF Long and not long[1] then BUY n shares AT MARKET ENDIF   IF (close) < stopL THEN SELL AT MARKET ENDIF

   

   

  StopL = call "PRC_StopReversal CPH"[2,5,5,5,1] long = ExponentialAverage[50](close) > ExponentialAverage[100](close) IF long and not long[1] THEN resultL = 1 daycount = 0 ENDIF if (close) < stopL THEN resultL = 0 endif IF resultL = 1 THEN daycount = daycount + 1 ENDIF screener[resultL] (daycount as "days")

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  StopL = call "PRC_StopReversal CPH"[2,5,5,5,1] long = ExponentialAverage[50](close) > ExponentialAverage[100](close)   IF long and not long[1] THEN resultL = 1 daycount = 0 ENDIF   if (close) < stopL THEN resultL = 0 endif   IF resultL = 1 THEN daycount = daycount + 1 ENDIF   screener[resultL] (daycount as "days")

   

  Thanks

  

  stuffa

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  04/14/2019 at 9:23 AM #96380
  Vonasi

  stuffa – please use the ‘Insert PRT Code’ button when posting code in your replies as it makes it far easier for others to read. I have tidied up your last post for you. 🙂

  1 user thanked author for this post.

  stuffa

  

  Vonasi

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  04/14/2019 at 12:36 PM #96388
  Nicolas

  ProScreener has a limitation of 254 bars of history. That could be a reason of not finding the same results between the indicator, the strategy and the screener.

  

  Nicolas

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