Backtesting and the ‘correct’ use of stops (Code that is)!!!!

• 05/14/2025 at 11:39 AM #247095
  NeoTrader

  Code for review...

  // ======================================================================== // STRATEGY: DMI-ADX Crossover with Stop Loss + Opposite Signal Exit // ======================================================================== // BT-DMI-test-V3.0.13.2-VS-AQ // === INPUTS === myDMIperiod = myDMIperiod // 10 // optimize from 1 to 20 via PRT Platform myATRperiod = 14 myATRmultiplier = 2.5 myRiskPercent = 5 // Risk percentage (5%) myInitialBalance = 100000 // Starting capital myADXThreshold = 20 // Minimum ADX value for trend strength confirmation // === INDICATORS === myDIplus = DIPLUS[myDMIperiod] myDIminus = DIMINUS[myDMIperiod] myADX = ADX[myDMIperiod] myATR = AVERAGETRUERANGE[myATRperiod] // === SIGNALS === // Basic DMI crossover signals - SAME BAR ENTRY myLongSignal = myDIplus CROSSES OVER myDIminus myShortSignal = myDIminus CROSSES OVER myDIplus // ADX trend strength filter // ADXStrong: Filter out weak trends to avoid whipsaw trades in choppy markets myADXStrong = myADX > myADXThreshold // Final signals with filter applied myLongSignal = myLongSignal AND myADXStrong myShortSignal = myShortSignal AND myADXStrong // === STOP LOSS DISTANCE === myStopLossDistance = myATR * myATRmultiplier // === RISK MANAGEMENT === // Initialize account balance tracking ONCE myCurrentBalance = myInitialBalance ONCE myPreviousEquity = myInitialBalance ONCE myProfitLoss = 0 // Update account balance based on closed positions IF BarsSince(LongOnMarket) = 0 OR BarsSince(ShortOnMarket) = 0 THEN // New position opened myPreviousEquity = myCurrentBalance ENDIF // If position was closed on previous bar, update the balance IF (LongOnMarket[1] AND NOT LongOnMarket) OR (ShortOnMarket[1] AND NOT ShortOnMarket) THEN // Calculate profit/loss from the closed position IF LongOnMarket[1] THEN myProfitLoss = (close[1] - POSITIONPRICE[1]) * COUNTOFPOSITION[1] ELSE myProfitLoss = (POSITIONPRICE[1] - close[1]) * ABS(COUNTOFPOSITION[1]) ENDIF // Update current balance myCurrentBalance = myCurrentBalance + myProfitLoss ENDIF // Calculate position size based on risk myRiskAmount = myCurrentBalance * (myRiskPercent / 100) // Calculate position size based on stop loss distance IF myStopLossDistance > 0 THEN myRiskBasedPositionSize = ROUND(myRiskAmount / myStopLossDistance) // Ensure minimum position size of 1 IF myRiskBasedPositionSize < 1 THEN myRiskBasedPositionSize = 1 ENDIF ELSE myRiskBasedPositionSize = 1 ENDIF // === STATE FLAGS === // Initialize these variables only once to maintain state between bars ONCE myReverseToLong = 0 ONCE myReverseToShort = 0 ONCE myEntryPrice = 0 ONCE myLongStopLevel = 0 ONCE myShortStopLevel = 0 ONCE myExitType = 0 // 0=neutral, +1=opposite signal, -1=stop loss hit ONCE myExitPrice = 0 // Price at which exit occurred // === POSITION MANAGEMENT === IF LongOnMarket THEN // Store entry price when entering a position IF BarsSince(LongOnMarket) = 0 THEN myEntryPrice = close myLongStopLevel = myEntryPrice - myStopLossDistance myExitType = 0 myExitPrice = 0 // Set stop loss using built-in function SET STOP PRICE myLongStopLevel ENDIF ENDIF IF ShortOnMarket THEN // Store entry price when entering a position IF BarsSince(ShortOnMarket) = 0 THEN myEntryPrice = close myShortStopLevel = myEntryPrice + myStopLossDistance myExitType = 0 myExitPrice = 0 // Set stop loss using built-in function SET STOP PRICE myShortStopLevel ENDIF ENDIF // === ENTRY WHEN FLAT === IF NOT LongOnMarket AND NOT ShortOnMarket THEN IF myReverseToLong THEN BUY myRiskBasedPositionSize SHARES AT MARKET myReverseToLong = 0 ELSE IF myReverseToShort THEN SELLSHORT myRiskBasedPositionSize SHARES AT MARKET myReverseToShort = 0 ELSE IF myLongSignal THEN BUY myRiskBasedPositionSize SHARES AT MARKET ELSE IF myShortSignal THEN SELLSHORT myRiskBasedPositionSize SHARES AT MARKET ENDIF ENDIF ENDIF ENDIF ENDIF // === VISUALIZATION === // Show stop levels on price chart GraphOnPrice myLongStopLevel coloured("Green") GraphOnPrice myShortStopLevel coloured("Red") // Track exit types in a separate panel GRAPH myExitType AS "Exit Type (+1=Signal, 0=Neutral, -1=Stop Loss)" // End

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  // ======================================================================== // STRATEGY: DMI-ADX Crossover with Stop Loss + Opposite Signal Exit // ======================================================================== // BT-DMI-test-V3.0.13.2-VS-AQ   // === INPUTS === myDMIperiod = myDMIperiod // 10 // optimize from 1 to 20 via PRT Platform myATRperiod = 14 myATRmultiplier = 2.5 myRiskPercent = 5 // Risk percentage (5%) myInitialBalance = 100000 // Starting capital myADXThreshold = 20 // Minimum ADX value for trend strength confirmation   // === INDICATORS === myDIplus = DIPLUS[myDMIperiod] myDIminus = DIMINUS[myDMIperiod] myADX = ADX[myDMIperiod] myATR = AVERAGETRUERANGE[myATRperiod]   // === SIGNALS === // Basic DMI crossover signals - SAME BAR ENTRY myLongSignal = myDIplus CROSSES OVER myDIminus myShortSignal = myDIminus CROSSES OVER myDIplus   // ADX trend strength filter // ADXStrong: Filter out weak trends to avoid whipsaw trades in choppy markets myADXStrong = myADX > myADXThreshold   // Final signals with filter applied myLongSignal = myLongSignal AND myADXStrong myShortSignal = myShortSignal AND myADXStrong   // === STOP LOSS DISTANCE === myStopLossDistance = myATR * myATRmultiplier   // === RISK MANAGEMENT === // Initialize account balance tracking ONCE myCurrentBalance = myInitialBalance ONCE myPreviousEquity = myInitialBalance ONCE myProfitLoss = 0   // Update account balance based on closed positions IF BarsSince(LongOnMarket) = 0 OR BarsSince(ShortOnMarket) = 0 THEN // New position opened myPreviousEquity = myCurrentBalance ENDIF   // If position was closed on previous bar, update the balance IF (LongOnMarket[1] AND NOT LongOnMarket) OR (ShortOnMarket[1] AND NOT ShortOnMarket) THEN // Calculate profit/loss from the closed position IF LongOnMarket[1] THEN myProfitLoss = (close[1] - POSITIONPRICE[1]) * COUNTOFPOSITION[1] ELSE myProfitLoss = (POSITIONPRICE[1] - close[1]) * ABS(COUNTOFPOSITION[1]) ENDIF      // Update current balance myCurrentBalance = myCurrentBalance + myProfitLoss ENDIF   // Calculate position size based on risk myRiskAmount = myCurrentBalance * (myRiskPercent / 100)   // Calculate position size based on stop loss distance IF myStopLossDistance > 0 THEN myRiskBasedPositionSize = ROUND(myRiskAmount / myStopLossDistance)   // Ensure minimum position size of 1 IF myRiskBasedPositionSize < 1 THEN myRiskBasedPositionSize = 1 ENDIF ELSE myRiskBasedPositionSize = 1 ENDIF   // === STATE FLAGS === // Initialize these variables only once to maintain state between bars ONCE myReverseToLong = 0 ONCE myReverseToShort = 0 ONCE myEntryPrice = 0 ONCE myLongStopLevel = 0 ONCE myShortStopLevel = 0 ONCE myExitType = 0  // 0=neutral, +1=opposite signal, -1=stop loss hit ONCE myExitPrice = 0  // Price at which exit occurred     // === POSITION MANAGEMENT === IF LongOnMarket THEN // Store entry price when entering a position IF BarsSince(LongOnMarket) = 0 THEN myEntryPrice = close myLongStopLevel = myEntryPrice - myStopLossDistance myExitType = 0 myExitPrice = 0      // Set stop loss using built-in function SET STOP PRICE myLongStopLevel ENDIF ENDIF   IF ShortOnMarket THEN // Store entry price when entering a position IF BarsSince(ShortOnMarket) = 0 THEN myEntryPrice = close myShortStopLevel = myEntryPrice + myStopLossDistance myExitType = 0 myExitPrice = 0      // Set stop loss using built-in function SET STOP PRICE myShortStopLevel ENDIF ENDIF                 // === ENTRY WHEN FLAT === IF NOT LongOnMarket AND NOT ShortOnMarket THEN IF myReverseToLong THEN BUY myRiskBasedPositionSize SHARES AT MARKET myReverseToLong = 0 ELSE IF myReverseToShort THEN SELLSHORT myRiskBasedPositionSize SHARES AT MARKET myReverseToShort = 0 ELSE IF myLongSignal THEN BUY myRiskBasedPositionSize SHARES AT MARKET ELSE IF myShortSignal THEN SELLSHORT myRiskBasedPositionSize SHARES AT MARKET ENDIF ENDIF ENDIF ENDIF ENDIF   // === VISUALIZATION === // Show stop levels on price chart GraphOnPrice myLongStopLevel coloured("Green") GraphOnPrice myShortStopLevel coloured("Red")   // Track exit types in a separate panel GRAPH myExitType AS "Exit Type (+1=Signal, 0=Neutral, -1=Stop Loss)"     // End

  Hiya all coders,

  This one has had my head pickled of late!!!

  PLEASE NOTE: I only ever use the daily: 1 day / 1 bar.

  Background:
  —————
  To get a backtest benchmark, I use a fixed stop loss.
  Once the fixed stop loss backtest has been validated,
  I then move to a training stop system.

  I have found a way to validate the exit type (Separate panel)
  1. Stop loss hit SL (-1)
  2. Opposite signal triggered OS (+1)
  This is working and a good visual for said exit types.
  And provides a useful visual of the trade entry system, and its exit.

  Issue:
  ——–
  Currently, my code is not detecting the stop loss hits, and thus the trade continues!
  When the SL is detected, it can be days / bars later.
  I also notice that there are occurrences where the trade exit is nowhere near a stop loss level or an opposite signal !

  I have used both the system code => SET STOP PRICE
  And a manual check, ‘high or low’ values of the latest bar.
  The opposite signal trigger is working – and for some reason, the OS check is occurring before the SL!!!

  Subjectively:
  —————-
  The stop loss SL check should be performed before the opposite signal OS check.
  If, during the day, the price has been higher or lower than the SL level, then the SL should be triggered before the next bar / next day.
  if no stop loss is triggered, then the OS check should be performed, and if triggered the open trade is closed, and the opposite trade is opened (on the same bar)

  I hope this explanation makes sense.

  I appreciate any code guidance that provides a working solution.

  My thanks always.
  NT

  

  NeoTrader

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  05/14/2025 at 1:12 PM #247098
  JS

  Hi NT,
  A few comments regarding your code:

  • The logic in the signal definitions is incorrect…

  • Some variables are defined multiple times in different ways…

  • Misuse of “BarsSince”…

  • Certain variables are never reset…

  • myReverseToLong always remains zero…

  • myReverseToShort always remains zero…

  • …

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  JS

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  05/14/2025 at 1:42 PM #247103
  NeoTrader

  JS wrote:

  Hi NT,
  A few comments regarding your code…..

  Hey JS,

  My my, that sounds like a code mess to untangle…
  Would you be kind enough to help me, by showing the correction is code form?

  Is that possible ?
  With thanks in anticipation,

  NT

  

  NeoTrader

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  05/14/2025 at 2:52 PM #247105
  JS

  Hi NT,

  I would like to help you, but this is going to take too much time to get the code right…

  Line 22 and 23 you define myLongSignal and myShortSignal but in line 30 and 31 you redefine them…

  When you are “Long” then BarsSince(LongOnMarket) is always equal to zero so myPreviousEquity will be redefined repeatedly…

  myReverseToLong is reset to zero once but does not change after that…

  Same with myReverseToShort…

  Maybe better to start with a simpler strategy to understand the PRT logic…

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  JS

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  05/14/2025 at 3:15 PM #247108
  GraHal

  Also myExitType looks like it is always = 0?

  Beats me how you can author / amend / add to 148 lines of code Neo … but you can’t debug it?

  Idea so you can progress … run the code past AI / ChatGPT … you will get suggested fixes in a few seconds.

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  GraHal

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  05/14/2025 at 3:26 PM #247111
  NeoTrader

  JS wrote:

  Hi NT,

  I would like to help you, but this is going to take too much time to get the code right…

  Hi JS,
  Oh, okay….

  Can I ask that you send me a link to code, that can send me in the right direction….
  For the FIXED stop loss for instance….

  I ask this, as I am not sure if others may look in on this matter, as you have commented…. or shall I repost requesting more defined code guidance ??

  In the meantime, I’ll strip out the stop loss and opposite signal processes, and start again…

  My regards

  NT

  

  NeoTrader

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  05/14/2025 at 3:40 PM #247113
  GraHal

  Is below of any help

  https://www.prorealcode.com/documentation/ploss-2/

   

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  GraHal

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  05/14/2025 at 3:55 PM #247114
  JS

  Article about a “trailing stop”…
  https://www.prorealcode.com/blog/learning/kinds-trailing-stop-proorder/

  Article about “Breakeven” coding…
  https://www.prorealcode.com/blog/learning/breakeven-code-automated-trading-strategy/

  Article about using an indicator for the “stop loss”…
  https://www.prorealcode.com/blog/learning/moving-stoploss-dynamic-informations-proorder/

  I recommend checking the “Blog” section, which contains many interesting articles (including videos)…
  https://www.prorealcode.com/category/blog/

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  JS

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  05/14/2025 at 4:00 PM #247116
  NeoTrader

  GraHal wrote:

  Is below of any help

  https://www.prorealcode.com/documentation/ploss-2/

  Hey GraHal,
  Not sure how ploss is related to the stop loss solution I am looking for…

  Any ‘stop loss’ links you might know…?
  Aside, I’ll keep searching,

  Cheers,

  NT

  

  NeoTrader

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  05/14/2025 at 4:13 PM #247122
  NeoTrader

  JS wrote:

  Article about a “trailing stop”… <<< looking for fixed stop loss, not trailing stop 🙂
  https://www.prorealcode.com/blog/learning/kinds-trailing-stop-proorder/

  Article about “Breakeven” coding… <<< Can this be used in backtest, it states its for automated trading ?
  https://www.prorealcode.com/blog/learning/breakeven-code-automated-trading-strategy/

  Article about using an indicator for the “stop loss”… <<< Digesting this one, lovely, thank you 
  https://www.prorealcode.com/blog/learning/moving-stoploss-dynamic-informations-proorder/

  I recommend checking the “Blog” section, which contains many interesting articles (including videos)…
  https://www.prorealcode.com/category/blog/ 
  Reviewed said blog, but no specific finds for ‘fixed stop loss’

  I’ll strip out the code, and have a go refactoring the code for a simplistic fixed stop loss. Hopefully, that moves me in the right direction

  Thanks for the pointers

  NT.

  

  NeoTrader

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  05/14/2025 at 4:44 PM #247125
  NeoTrader

  GraHal wrote:

  Also myExitType looks like it is always = 0?

  Beats me how you can author / amend / add to 148 lines of code Neo … but you can’t debug it? <<< AI assisted, and the code was also provided by support at PRT.

  Idea so you can progress … run the code past AI / ChatGPT … you will get suggested fixes in a few seconds.

  Yep.
  Ive been running the code past several (5 no.) AIM’s for the past few hours…

  So far, they have made the code worse, even when I provide the explicit probacktest code syntax !!!

  I have trawled so much of the site, looking for FIXED stop loss backtest code samples, examples…. and so far, I am not seeing any answers on this one….

  Aside, I appreciate your involvement GraHal

  NT

  

  NeoTrader

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  05/14/2025 at 4:51 PM #247127
  GraHal

  NeoTrader wrote:

  looking for FIXED stop loss backtest code

  What do you mean by above?
  The link I provided (a few posts above) was for a FIXED stop loss of 50 points.
  You can optimise the points value or use a % instead of points.

  I use fixed stop loss in most of my Algos (example below) along with a coded Trailing Stop function.
  Plenty of coded TS’s on this link …

  Snippet Link Library

  If buycondition Then buy 1 contract at market SET STOP %LOSS A67 SET TARGET %PROFIT A68 Endif

  1 2 3 4 5

  If buycondition Then buy 1 contract at market SET STOP %LOSS A67 SET TARGET %PROFIT A68 Endif

   

   

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  05/14/2025 at 5:02 PM #247128
  NeoTrader

  GraHal wrote:

  What do you mean by above?……

  That is what I get for doing too many things at once….

  Indeed GraHal,

  You link does apply to a ‘fixed stop loss’.

  I am just setting some time aside to sort this code pickle out.
  Thank you, for the correction, and making sure I am on the right track.

  I’ll post my updated code.

  With thanks

  NT

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