Bollinger band error
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Hi
I seem to be getting unexpected results when testing a strategy on Bollinger bands. For the purposes of trying to work out what the issue is, I’ve totally stripped down the code to just the below – from this it seems to be an issue with bollinger bands alone. Was wondering if anyone else had this issue.
It doesnt enter when I thought it should. I.e. when the close is above the lower bollinger band. INstead it enters at some random point – see screen shot. THis is EUR USD (1 hour)
bbl = BollingerDown[20](close) Bullish0 = close >= bbl IF Bullish0 THEN buy 1 perpoint AT MARKETHi Nicolas. It is set at the same properties. But looks like I made an error – many, many apologies all! The real issue seems to be with the average true range. I didnt include it in the previous message as didnt think there was an issue with this. Anyhow see below – full code. Any idea what the problem can be? I want to use the atr as part of the buy and stop loss as a risk management method. When i change it to for example ‘buy 1 perpoint at market’ and similar for stop loss then it seems to work fine.
// Conditions to enter long positions defparam cumulateorders=false bbu1 = BollingerUp[20](close) bbl1 = BollingerDown[20](close) atr= averagetruerange[1](close) Bullish0 = close >= bbl1 IF Bullish0 THEN buy (10/(2.5*atr)) perpoint AT MARKET set stop loss (2.5*atr) ENDIF c1 = (close crosses over bbu1) IF c1 THEN SELL AT MARKET ENDIF
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Summary
This topic contains 4 replies,
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2 years, 11 months ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 03/20/2023 |
| Status: | Active |
| Attachments: | 2 files |
