Backtest on Contract orders works, but not with full equity

• 04/28/2020 at 12:43 PM #128610
  alex12

  This might seem a simple question, though it has been bothering me for a while now.

  Sometimes, I cannot backtest a strategy for which I’m using full equity instead of a fixed amount of contracts.

  First of all, I define the equity and the capital like this:

  capital = 10 equity = capital + StrategyProfit

  1 2	capital = 10 equity = capital + StrategyProfit

   

  And to enter/exit positions I write the following:

  //Entries // Conditions to enter long positions IF NOT LongOnMarket AND long THEN BUY equity CASH AT MARKET ENDIF // Conditions to exit long positions If LongOnMarket AND closelong THEN SELL AT MARKET ENDIF // Conditions to enter short positions IF NOT ShortOnMarket AND short THEN SELLSHORT equity CASH AT MARKET ENDIF // Conditions to exit short positions IF ShortOnMarket AND closeshort THEN EXITSHORT AT MARKET ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

  //Entries // Conditions to enter long positions IF NOT LongOnMarket AND long THEN BUY equity CASH AT MARKET ENDIF   // Conditions to exit long positions If LongOnMarket AND closelong THEN SELL AT MARKET ENDIF   // Conditions to enter short positions IF NOT ShortOnMarket AND short THEN SELLSHORT equity CASH AT MARKET ENDIF   // Conditions to exit short positions IF ShortOnMarket AND closeshort THEN EXITSHORT AT MARKET ENDIF

   

  Backtesting with equity doesn’t seem to work when I write this, even though it has worked for me in the past.

  Since there is no error in the code of the strategy itself (because when I translate it into contracts it directly works), I figured the mistake must be either in the entries/exits snippet or perhaps a setting in the platform which is causing this.

  I’m pretty new to ProRealTime and really enjoy the software, I’d much appreciate your help.

  

  alex12

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  04/28/2020 at 5:59 PM #128710
  Vonasi

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  04/28/2020 at 6:19 PM #128713
  swedshare

  Hi alex12,

  Might I suggest you replace your code with the below and change your buy/sell conditions to say “position” instead of “equity”

  Capital = 1000 // initial capital of your choice Equity = Capital + StrategyProfit Position = Max(1, Equity * (1/Capital)) Position = Round(Position*100) Position = Position/100 // lower the number to take larger starting position

  1 2 3 4 5

  Capital = 1000 // initial capital of your choice Equity = Capital + StrategyProfit Position = Max(1, Equity * (1/Capital)) Position = Round(Position*100) Position = Position/100 // lower the number to take larger starting position

   

  

  swedshare

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  04/28/2020 at 7:27 PM #128721
  alex12

  Thank you for your reply.

  I tried substituting my snippet with your code and used then included “position” into the entry conditions instead of equity.

  However, I am still getting a flat equity curve and no completed trades (same results I got when using the “equity” definition).

  So now my capital section is looking like this:

  //Capital Capital = 100 // initial capital of your choice Equity = Capital + StrategyProfit Position = Max(1, Equity * (1/Capital)) Position = Round(Position*100) Position = Position/100 // lower the number to take larger starting

  1 2 3 4 5 6

  //Capital Capital = 100 // initial capital of your choice Equity = Capital + StrategyProfit Position = Max(1, Equity * (1/Capital)) Position = Round(Position*100) Position = Position/100 // lower the number to take larger starting

  And the conditions for entries and exits look like this:

  //Entries // Conditions to enter long positions IF NOT LongOnMarket AND long THEN BUY Position CASH AT MARKET ENDIF // Conditions to exit long positions If LongOnMarket AND closelong THEN SELL AT MARKET ENDIF // Conditions to enter short positions IF NOT ShortOnMarket AND short THEN SELLSHORT Position CASH AT MARKET ENDIF // Conditions to exit short positions IF ShortOnMarket AND closeshort THEN EXITSHORT AT MARKET ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

  //Entries // Conditions to enter long positions IF NOT LongOnMarket AND long THEN BUY Position CASH AT MARKET ENDIF   // Conditions to exit long positions If LongOnMarket AND closelong THEN SELL AT MARKET ENDIF   // Conditions to enter short positions IF NOT ShortOnMarket AND short THEN SELLSHORT Position CASH AT MARKET ENDIF   // Conditions to exit short positions IF ShortOnMarket AND closeshort THEN EXITSHORT AT MARKET ENDIF

  Is there still something that can be done?

  

  alex12

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  04/28/2020 at 10:26 PM #128739
  swedshare

  In that case there is something else wrong with your code. If you share the complete code and settings (timeframe and product being traded) we might solve it.

  I’m not used to seeing “cash at market”, more common with “contract at market” but maybe it doesn’t matter.

  

  swedshare

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  04/30/2020 at 10:10 AM #128961
  alex12

  Here is the code of the strategy:

  //Capital Capital = 100 // initial capital of your choice Equity = Capital + StrategyProfit Position = Max(1, Equity * (1/Capital)) Position = Round(Position*100) Position = Position/100 // lower the number to take larger starting //Values ma = average[20](close) long = close > ma short = close < ma // Conditions to enter long positions IF NOT LongOnMarket AND long THEN BUY Position CASH AT MARKET ENDIF // Conditions to enter short positions IF NOT ShortOnMarket AND short THEN SELLSHORT position CASH AT MARKET ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

  //Capital Capital = 100 // initial capital of your choice Equity = Capital + StrategyProfit Position = Max(1, Equity * (1/Capital)) Position = Round(Position*100) Position = Position/100 // lower the number to take larger starting   //Values ma = average[20](close) long = close > ma short = close < ma   // Conditions to enter long positions IF NOT LongOnMarket AND long THEN BUY Position CASH AT MARKET ENDIF   // Conditions to enter short positions IF NOT ShortOnMarket AND short THEN SELLSHORT position CASH AT MARKET ENDIF

  (This is the strategy with the “Conditions to close positions” removed since they are not necessary)

  By using your snippet or the one I used previously I get the same error. I’m doing this because my goal is to backtest with full equity which grows as profits grow, that is why I don’t want to use the “CONTRACTS” function.

  I’m backtesting it on the market BTCUSD, on the 1H chart, for a backtesting period of about one year.

  The equity curve I receive when trying this is flat, and no trades are completed. Maybe there is another way to perform a backtest for growing equity?

  

  alex12

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  04/30/2020 at 11:29 AM #128978
  swedshare

  Works for me. But you cannot have “cash” in your conditions. Change it to “contract”. It will still take larger positions if your equity is increasing. I did the test on Bitcoin Cash $1.

  

  swedshare

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  04/30/2020 at 3:45 PM #129064
  alex12

  Great! It seems to work now.

  However, is there a way to enter the position, not by the compounded number of contracts but with the cash equity which keeps adding its profits?

  Because using the number of contracts that keep adding might not be as precise as the direct equity plus the profits as cash.

  Perhaps it’s just because I don’t fully understand the logic behind the code snippet you gave me 🙂

  

  alex12

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  04/30/2020 at 4:09 PM #129070
  alex12

  Also, there seems to be no difference in the backtest between using “1 contract” and “position contract”.

  

  alex12

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  04/30/2020 at 8:20 PM #129127
  swedshare

  You cannot use 100% of your capital since the broker requires a margin. The code will automatically take a larger position as long as your equity increases (previous trade is a winner). You can also adjust how big the starting position will be, for example using 50% of initial capital. See the attached image how the code takes a larger position.

  I would not recommend trading Bitcoin because of the extremly high spread. The only one who will win on that product is the broker.

  

  swedshare

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