Bollinger band error

• 03/20/2023 at 11:02 PM #211848
  8278sv

  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 MARKET

  1 2 3 4 5 6

  bbl = BollingerDown[20](close) Bullish0 = close >= bbl     IF Bullish0 THEN buy 1 perpoint AT MARKET

   

  

  8278sv

  Participant

  Topics: 3

  Replies: 5

  Been thanked: 0 times
  03/21/2023 at 8:15 AM #211855
  Nicolas

  Are you sure the bollinger bands on your chart has the same exact settings? (period = 20, deviation = 2.0).

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20867

  Been thanked: 4783 times
  03/21/2023 at 10:56 AM #211866
  8278sv

  Hi 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

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27

  // 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

   

  

  8278sv

  Participant

  Topics: 3

  Replies: 5

  Been thanked: 0 times
  03/21/2023 at 12:54 PM #211871
  Nicolas

  Ok so the problem is located in your contract size calculation, if the size is too small, then no order will be triggered.

  I suggest you set a minimal contract size like this:

  minSize = 0.1 //define here what would be the minimal size buy max(minSize,(10/(2.5*atr))) perpoint AT MARKET

  1 2 3

  minSize = 0.1 //define here what would be the minimal size   buy max(minSize,(10/(2.5*atr))) perpoint AT MARKET

   

  1 user thanked author for this post.

  8278sv

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20867

  Been thanked: 4783 times
  03/21/2023 at 3:31 PM #211881
  8278sv

  Thank you so much Nicolas

  

  8278sv

  Participant

  Topics: 3

  Replies: 5

  Been thanked: 0 times
• Author
  Posts