Why is my indicator so slow when I use it in a strategy?

• 05/25/2021 at 9:06 PM #170406
  Kurosh

  This is code of indicator that take:

  • StopLossType => Select type of stop loss trailing (integer)
  • LongPosition => True if is on long position (boolean)
  • ShortPosition => True if is on short position (boolean)
  • EnterPrice => Last price of position (decimal)
  • EnterPriceClose => Last close price of position (decimal)
  • TrailingStopLoss => Trailing stop loss pips (integer)
  • StartBreakeven => Breakeven pips (integer)
  • PointsToKeep => Points for breakeven (integer)

   

  StopLossController

  SupertrendMulti = 18 SupertrendPeriod = 150 BreakevenLevel = 0 IF StopLossType = 2 THEN SupertrendIndicator = Supertrend[SupertrendMulti,SupertrendPeriod] ENDIF IF NOT LongPosition AND NOT ShortPosition THEN CurrentMaxPrice = 0 CurrentMinPrice = CLOSE * 1000 ENDIF // --- BUY SIDE --- IF LongPosition AND StopLossType = 1 AND NOT StopLossType = 0 THEN CurrentMaxPrice = Max(CurrentMaxPrice,CLOSE) IF CurrentMaxPrice - EnterPrice >= TrailingStopLoss * PointSize THEN BreakevenLevel = CurrentMaxPrice - TrailingStopLoss * PointSize ENDIF ENDIF IF LongPosition AND StopLossType = 2 AND NOT StopLossType = 0 AND EnterPriceClose >= StartBreakeven * PointSize THEN IF BreakevenLevel = 0 THEN BreakevenLevel = EnterPrice + PointsToKeep * PointSize ELSE IF CLOSE > SupertrendIndicator THEN BreakevenLevel = Max(BreakevenLevel,SupertrendIndicator) ENDIF ENDIF ENDIF // --- SELL SIDE --- IF ShortPosition AND StopLossType = 1 AND NOT StopLossType = 0 THEN CurrentMinPrice = Min(CurrentMinPrice,CLOSE) IF EnterPrice -CurrentMinPrice>=TrailingStopLoss*PointSize THEN BreakevenLevel = CurrentMinPrice+TrailingStopLoss*PointSize ENDIF ENDIF IF ShortPosition AND StopLossType = 2 AND NOT StopLossType = 0 AND EnterPriceClose > StartBreakeven*PointSize THEN IF BreakevenLevel = 0 THEN BreakevenLevel = EnterPrice - PointsToKeep*PointSize ELSE IF CLOSE < SupertrendIndicator THEN BreakevenLevel = MIN(BreakevenLevel,SupertrendIndicator) ENDIF ENDIF ENDIF Return BreakevenLevel AS "Breakeven Level"

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  SupertrendMulti = 18 SupertrendPeriod = 150 BreakevenLevel = 0   IF StopLossType = 2 THEN SupertrendIndicator = Supertrend[SupertrendMulti,SupertrendPeriod] ENDIF   IF NOT LongPosition AND NOT ShortPosition  THEN CurrentMaxPrice = 0 CurrentMinPrice = CLOSE * 1000 ENDIF   // --- BUY SIDE --- IF LongPosition AND StopLossType = 1 AND NOT StopLossType = 0 THEN CurrentMaxPrice = Max(CurrentMaxPrice,CLOSE) IF CurrentMaxPrice - EnterPrice >= TrailingStopLoss * PointSize THEN BreakevenLevel = CurrentMaxPrice - TrailingStopLoss * PointSize ENDIF ENDIF   IF LongPosition AND StopLossType = 2 AND NOT StopLossType = 0 AND EnterPriceClose >= StartBreakeven * PointSize THEN IF BreakevenLevel = 0 THEN BreakevenLevel = EnterPrice + PointsToKeep * PointSize ELSE IF CLOSE > SupertrendIndicator THEN BreakevenLevel = Max(BreakevenLevel,SupertrendIndicator) ENDIF ENDIF ENDIF     // --- SELL SIDE --- IF ShortPosition AND StopLossType = 1 AND NOT StopLossType = 0 THEN CurrentMinPrice = Min(CurrentMinPrice,CLOSE) IF EnterPrice -CurrentMinPrice>=TrailingStopLoss*PointSize THEN BreakevenLevel = CurrentMinPrice+TrailingStopLoss*PointSize ENDIF ENDIF   IF ShortPosition AND StopLossType = 2 AND NOT StopLossType = 0 AND EnterPriceClose > StartBreakeven*PointSize THEN IF BreakevenLevel = 0 THEN BreakevenLevel = EnterPrice - PointsToKeep*PointSize ELSE IF CLOSE < SupertrendIndicator THEN BreakevenLevel = MIN(BreakevenLevel,SupertrendIndicator) ENDIF ENDIF ENDIF   Return BreakevenLevel AS "Breakeven Level"

  I can add to the charts but if I add to my strategy it is so slow.

  My strategy :

  Example of strategy

  DEFPARAM Preloadbars = 10000 IF NOT LongOnMarket THEN BUY 1 CONTRACTS AT MARKET ENDIF SET STOP PLOSS 10 LongPosition = 0 ShortPosition = 0 TrailingStopLoss = 15 StartBreakeven = 15 PointsToKeep = 5 EnterPrice = 0 EnterPriceClose = 0 StopLossType = 2 IF LONGONMARKET THEN LongPosition = 1 ENDIF IF SHORTONMARKET THEN ShortPosition = 1 ENDIF IF ONMARKET THEN EnterPrice = TradePrice(1) EnterPriceClose = TradePrice(1)-Close BreakevenLevel = CALL "StopLossController"[StopLossType, LongPosition, ShortPosition, EnterPrice, EnterPriceClose, TrailingStopLoss, StartBreakeven, PointsToKeep] ENDIF IF LONGONMARKET AND BreakevenLevel > 0 THEN SELL AT BreakevenLevel STOP ENDIF IF SHORTONMARKET AND BreakevenLevel > 0 THEN EXITSHORT AT BreakevenLevel STOP ENDIF

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  DEFPARAM Preloadbars = 10000   IF NOT LongOnMarket THEN BUY 1 CONTRACTS AT MARKET ENDIF   SET STOP PLOSS 10   LongPosition = 0 ShortPosition = 0 TrailingStopLoss = 15 StartBreakeven = 15 PointsToKeep = 5 EnterPrice = 0 EnterPriceClose = 0 StopLossType = 2   IF LONGONMARKET THEN LongPosition = 1 ENDIF   IF SHORTONMARKET THEN ShortPosition = 1 ENDIF     IF ONMARKET THEN EnterPrice = TradePrice(1) EnterPriceClose = TradePrice(1)-Close   BreakevenLevel = CALL "StopLossController"[StopLossType, LongPosition, ShortPosition, EnterPrice, EnterPriceClose, TrailingStopLoss, StartBreakeven, PointsToKeep] ENDIF   IF LONGONMARKET AND BreakevenLevel > 0 THEN SELL AT BreakevenLevel STOP ENDIF   IF SHORTONMARKET AND BreakevenLevel > 0 THEN EXITSHORT AT BreakevenLevel STOP ENDIF

  Why?? any suggestion?

  Thanks

  

  Kurosh

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  05/26/2021 at 7:11 AM #170429
  Nicolas

  If you feel that the backtest is slow, it might be because of backtests servers overloading. Try to backtest at a different time of the day, are you doing optimization?

  

  Nicolas

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  05/26/2021 at 8:10 AM #170433
  Kurosh

  Thanks Nicolas, In this step I do not do optimization, Like more then one week I tray this indicator and always is slow, but if I put my code from indicator to my strategy is working well, why?

  

  Kurosh

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  05/26/2021 at 8:17 AM #170434
  robertogozzi

  Actually it’s very slow. I tried embedding the indicator in the strategy and it’s fast (Dax, 4h, 200K).

  I am attaching the modified version.

   

  

  robertogozzi

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  05/26/2021 at 8:18 AM #170436
  robertogozzi

  I was posting while you were replying. So you already experienced that. Sorry.

   

  

  robertogozzi

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  05/26/2021 at 9:59 AM #170457
  Nicolas

  I can’t really know why it is slow in backtest, try to reduce the quantity of IF/ENDIF? CALL the indicator only when it is needed in the strategy?

  

  Nicolas

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  05/26/2021 at 10:42 AM #170471
  Kurosh

  It’s incredible, if I put my code from indicator to my strategy is working well, but if commit all code in indicator is very slow yet.

   

   

  SupertrendMulti = 18 SupertrendPeriod = 150 BreakevenLevel = 0 //IF StopLossType = 2 THEN //SupertrendIndicator = Supertrend[SupertrendMulti,SupertrendPeriod] //ENDIF // //IF NOT LongPosition AND NOT ShortPosition THEN //CurrentMaxPrice = 0 //CurrentMinPrice = CLOSE * 1000 //ENDIF // //// --- BUY SIDE --- //IF LongPosition AND StopLossType = 1 AND NOT StopLossType = 0 THEN //CurrentMaxPrice = Max(CurrentMaxPrice,CLOSE) //IF CurrentMaxPrice - EnterPrice >= TrailingStopLoss * PointSize THEN //BreakevenLevel = CurrentMaxPrice - TrailingStopLoss * PointSize //ENDIF //ENDIF // //IF LongPosition AND StopLossType = 2 AND NOT StopLossType = 0 AND EnterPriceClose >= StartBreakeven * PointSize THEN //IF BreakevenLevel = 0 THEN //BreakevenLevel = EnterPrice + PointsToKeep * PointSize //ELSE //IF CLOSE > SupertrendIndicator THEN //BreakevenLevel = Max(BreakevenLevel,SupertrendIndicator) //ENDIF //ENDIF //ENDIF // // //// --- SELL SIDE --- //IF ShortPosition AND StopLossType = 1 AND NOT StopLossType = 0 THEN //CurrentMinPrice = Min(CurrentMinPrice,CLOSE) //IF EnterPrice -CurrentMinPrice>=TrailingStopLoss*PointSize THEN //BreakevenLevel = CurrentMinPrice+TrailingStopLoss*PointSize //ENDIF //ENDIF // //IF ShortPosition AND StopLossType = 2 AND NOT StopLossType = 0 AND EnterPriceClose > StartBreakeven*PointSize THEN //IF BreakevenLevel = 0 THEN //BreakevenLevel = EnterPrice - PointsToKeep*PointSize //ELSE //IF CLOSE < SupertrendIndicator THEN //BreakevenLevel = MIN(BreakevenLevel,SupertrendIndicator) //ENDIF //ENDIF //ENDIF Return BreakevenLevel AS "Breakeven Level"

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  SupertrendMulti = 18 SupertrendPeriod = 150 BreakevenLevel = 0   //IF StopLossType = 2 THEN //SupertrendIndicator = Supertrend[SupertrendMulti,SupertrendPeriod] //ENDIF // //IF NOT LongPosition AND NOT ShortPosition  THEN //CurrentMaxPrice = 0 //CurrentMinPrice = CLOSE * 1000 //ENDIF // //// --- BUY SIDE --- //IF LongPosition AND StopLossType = 1 AND NOT StopLossType = 0 THEN //CurrentMaxPrice = Max(CurrentMaxPrice,CLOSE) //IF CurrentMaxPrice - EnterPrice >= TrailingStopLoss * PointSize THEN //BreakevenLevel = CurrentMaxPrice - TrailingStopLoss * PointSize //ENDIF //ENDIF // //IF LongPosition AND StopLossType = 2 AND NOT StopLossType = 0 AND EnterPriceClose >= StartBreakeven * PointSize THEN //IF BreakevenLevel = 0 THEN //BreakevenLevel = EnterPrice + PointsToKeep * PointSize //ELSE //IF CLOSE > SupertrendIndicator THEN //BreakevenLevel = Max(BreakevenLevel,SupertrendIndicator) //ENDIF //ENDIF //ENDIF // // //// --- SELL SIDE --- //IF ShortPosition AND StopLossType = 1 AND NOT StopLossType = 0 THEN //CurrentMinPrice = Min(CurrentMinPrice,CLOSE) //IF EnterPrice -CurrentMinPrice>=TrailingStopLoss*PointSize THEN //BreakevenLevel = CurrentMinPrice+TrailingStopLoss*PointSize //ENDIF //ENDIF // //IF ShortPosition AND StopLossType = 2 AND NOT StopLossType = 0 AND EnterPriceClose > StartBreakeven*PointSize THEN //IF BreakevenLevel = 0 THEN //BreakevenLevel = EnterPrice - PointsToKeep*PointSize //ELSE //IF CLOSE < SupertrendIndicator THEN //BreakevenLevel = MIN(BreakevenLevel,SupertrendIndicator) //ENDIF //ENDIF //ENDIF   Return BreakevenLevel AS "Breakeven Level"

   

  

  Kurosh

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  05/26/2021 at 11:56 AM #170488
  robertogozzi

  If you call it with constants, instead of variables, it works fine:

  BreakevenLevel = CALL "StopLossController"[0,0,15,15,5,0,0,2]

  1	BreakevenLevel = CALL "StopLossController"[0,0,15,15,5,0,0,2]

  

  robertogozzi

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  05/26/2021 at 12:30 PM #170496
  Kurosh

  Grazie Roberto, but it is not useful, in a lot of situation I need pass to indicator dynamic variable.

  problem is decimal inputs,

  • EnterPrice => Last price of position (decimal)
  • EnterPriceClose => Last close price of position (decimal)

  BreakevenLevel = CALL "StopLossController"[StopLossType,LongPosition,ShortPosition,15,15,TrailingStopLoss,StartBreakeven,PointsToKeep]

  1	BreakevenLevel = CALL "StopLossController"[StopLossType,LongPosition,ShortPosition,15,15,TrailingStopLoss,StartBreakeven,PointsToKeep]

   

  

  Kurosh

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  05/26/2021 at 1:59 PM #170504
  robertogozzi

  Yes, I know variables are necessary.

  It’s just to know what happens in multiple different situations, in case you want to report this issue to PRT.

   

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  Kurosh

  

  robertogozzi

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  09/07/2024 at 10:41 PM #237302
  DANY

  Dears,
  please, some news about this topic? It’s real important to solve this issue, otherwise it’s not possible to public a lot of strategy on marketplace.

  Thanks a lot.

  

  DANY

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  09/07/2024 at 11:42 PM #237303
  robertogozzi

  The issue with using CALL was sorted out a few years ago, when CALLed indicators were automatically appended to the code, so now the only overhead is the CALL itself, not loading the indicator.

  I sometimes experience slow backtesting, as well. It usually lasts one day or a few days, then the regular speed is restored.

  It may be due to overloaded servers because of  too many strategies running at the same time or to demo account while in maintenance mode.

  Try enquiring ProRealTime.

   

  1 user thanked author for this post.

  DANY

  

  robertogozzi

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