Bollinger band error

8278sv · 2023-03-20T22:02:49+00:00

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

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03/20/2023 at 11:02 PM #211848 quote
8278sv
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New
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
```
Screenshot-2023-03-20-at-22.01.38.png
03/21/2023 at 8:15 AM #211855 quote

Nicolas
Keymaster

Legend

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

03/21/2023 at 10:56 AM #211866 quote
8278sv
Participant

New
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
```
Screenshot-2023-03-21-at-09.54.00.jpg
03/21/2023 at 12:54 PM #211871 quote
Nicolas
Keymaster

Legend
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
```
8278sv thanked this post
03/21/2023 at 3:31 PM #211881 quote

8278sv
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New

Thank you so much Nicolas
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