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Weird results for one position with and without defparam cumulate orders

Vonasi · 2019-02-05T21:17:50+00:00

I wrote a very simple end of day strategy that went long and short the EURUSD Daily and that only had one position open at a time and only held for one day or continued holding the one position if conditions were still true. Here is the strategy but with the entry conditions removed because they are not relevant to the problem: c1 = (simple price action condition) c2 = (simple long look back filter) c3 = (simple short look back filter) sell at market exitshort at market if c1 and c2 then buy 1 contract at market endif if not c1 and c3 then sellshort 1 contract at market endif …here are the results: [attachment file=90553] [attachment file=90554] I then thought that I would add a DEFPARAM CUMULATEORDERS = FALSE to the strategy just as belt and braces but surprisingly the results changed – even though neither version opens more than one position at a time. Here are the results: [attachment file=90555] [attachment file=90556] Why did the results change?

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Weird results for one position with and without defparam cumulate orders

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02/07/2019 at 4:57 PM #90765 quote

GraHal
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Master

Vonasi wrote:

This means that it is impossible to stay on the market two candles in a row.

So with CUMULATEORDERS = FALSE (as I use on all mine!) how then do we have loads of Systems that do stay onmarket for many bars in a row?

02/07/2019 at 5:08 PM #90767 quote

Vonasi
Moderator

Master

GraHal wrote:

how then do we have loads of Systems that do stay onmarket for many bars in a row?

Because they don’t send a BUY and a SELL order at the bars close. If you send no orders then you obviously stay on the market. If you send just a SELL order then you exit market and have no position in the next bar but if your strategy does decide to both SELL and to BUY and you have it set to FALSE then you do miss that opportunity to stay on the market for the next candle.

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Weird results for one position with and without defparam cumulate orders

ProOrder: Automated Strategies & Backtesting

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Vonasi @vonasi Moderator

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This topic contains 16 replies,
has 3 voices, and was last updated by Vonasi
7 years, 7 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	02/05/2019
Status:	Active
Attachments:	8 files

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Weird results for one position with and without defparam cumulate orders

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Weird results for one position with and without defparam cumulate orders ProOrder: Automated Strategies & Backtesting

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Weird results for one position with and without defparam cumulate orders

ProOrder: Automated Strategies & Backtesting