Hi

My code below seemed to work previously so I cannot understand why it doesn’t work anymore. Has something changed in PRT or is there a coding error?

Backtesting based on Daily DJI. I have also attached screenshots of the trade day, trigger day and trigger day -1 values of the indicators to assist you. Why did backtesting open a new long position on 16th Dec 2020?

The issue seems to be specifically in relation to the code in lines 33 to 45. In this particular example (see screenshots), x[1] > y[1] AND x[1] > 70 AND x > y are all true so a = 1. If a = 1, then as per line 49, it should not enter into a long position on 16th Dec 2020.

x = AroonUp[10]

y = AroonDown[10]

Please advise. Let me know if you need any further information.

Thanks

Sachin

// Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated

x = AroonUp[10]
y = AroonDown[10]

short = 12
long = 26
signal = 9

EMAshort1 = exponentialaverage[short](close)
EMAshort2 = exponentialaverage[short](EMAshort1)
DifferenceShort = EMAshort1 - EMAshort2
ZeroLagShort = EMAshort1 + DifferenceShort
 
EMAlong1 = exponentialaverage[long](close)
EMAlong2 = exponentialaverage[long](EMAlong1)
DifferenceLong = EMAlong1 - EMAlong2
ZeroLagLong = EMAlong1 + DifferenceLong
 
ZeroLagMACD = ZeroLagShort - ZeroLagLong
 
signal1 = ExponentialAverage[signal](ZEROLAGMACD)
signal2 = ExponentialAverage[signal](signal1)
DIFFERENCE2 = signal1 - signal2
 
SignalMACD = signal1 + DIFFERENCE2
 
z = Williams[8](close)

ATR = AverageTrueRange[14](close)

//POSITIONPERF(1) < 0 AND TRADEPRICE(2) > TRADEPRICE(1) AND
IF ZeroLagMACD[1] > SignalMACD[1] AND ZeroLagMACD > SignalMACD AND x[1] > y[1] AND x[1] > 70 AND x > y THEN
a = 1
ELSE
a = 0
ENDIF

//POSITIONPERF(1) < 0 AND TRADEPRICE(2) < TRADEPRICE(1) AND
IF ZeroLagMACD[1] < SignalMACD[1] AND ZeroLagMACD < SignalMACD AND x[1] < y[1] AND y[1] > 70 AND x < y THEN
b = 1
ELSE
b = 0
ENDIF

// Conditions to enter long positions

IF a = 0 AND ATR < 500 AND ZeroLagMACD > SignalMACD AND z > -80 AND x > y AND x > 70 THEN
BUY 0.2 PERPOINT AT MARKET
SET STOP LOSS 1.5 * ATR
ENDIF

// Conditions to exit long positions

IF (ZeroLagMACD CROSSES UNDER SignalMACD AND z < -20) OR y > x THEN
SELL AT MARKET
ENDIF

// Conditions to enter short positions

IF b = 0 AND ATR < 500 AND ZeroLagMACD < SignalMACD AND z < -20 AND y > x AND y > 70 THEN
SELLSHORT 0.2 PERPOINT AT MARKET
SET STOP LOSS 1.5 * ATR
ENDIF

// Conditions to exit short positions

IF (ZeroLagMACD CROSSES OVER SignalMACD AND z > -80) OR x > y THEN
EXITSHORT AT MARKET
ENDIF

//c = BARINDEX - TRADEINDEX

//IF LONGONMARKET AND (highest[c](high) - TRADEPRICE) > 500 THEN
//SET STOP TRAILING 100
//ELSIF SHORTONMARKET AND (TRADEPRICE - lowest[c](low)) > 500 THEN
//SET STOP TRAILING 100
//ENDIF

Trade-Day.jpg Trigger-Day-1.jpg Trigger-Day.jpg