COG (Non-Repainting) trading strategy

• 06/30/2020 at 11:42 AM #137672
  Zigo

  COG (Non-Repainting) Backtest

  // Definitie van code parameters DEFPARAM CumulateOrders = False // Opstapelen posities gedeactiveerd Defparam flatbefore = 000000 Defparam flatafter = 000000 HL=(high+low)/2 Sum=(summation[4](HL))/4 a0=TriangularAverage[21](sum) // Condities om long posities te openen c1 = (hL>= a0) IF c1 THEN BUY 0.2 CONTRACT AT MARKET ENDIF // Condities om long posities te sluiten c2 = HL < a0 IF c2 THEN SELL AT MARKET ENDIF // Condities om short posities te openen c3=HL<a0 IF c3 THEN SELLSHORT 0.2 CONTRACT AT MARKET ENDIF // Condities om short posities te sluiten c4 =HL >a0 IF c4 THEN EXITSHORT AT MARKET ENDIF set stop ptrailing 45

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  // Definitie van code parameters DEFPARAM CumulateOrders = False // Opstapelen posities gedeactiveerd Defparam flatbefore = 000000 Defparam flatafter = 000000 HL=(high+low)/2   Sum=(summation[4](HL))/4 a0=TriangularAverage[21](sum)   // Condities om long posities te openen   c1 = (hL>= a0) IF c1 THEN BUY 0.2 CONTRACT AT MARKET ENDIF   // Condities om long posities te sluiten   c2 = HL < a0 IF c2 THEN SELL AT MARKET ENDIF   // Condities om short posities te openen c3=HL<a0   IF c3 THEN SELLSHORT 0.2 CONTRACT AT MARKET ENDIF   // Condities om short posities te sluiten   c4 =HL >a0   IF c4 THEN EXITSHORT AT MARKET ENDIF set stop ptrailing 45

  Run the backtest (see attachement) it gives good results. But in automatic running it doesn’t.

  

  Zigo

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  06/30/2020 at 12:12 PM #137682
  Mauro T. “Algorithm System”

  If you use the demo with Contartto 0.2 it does not work …. it has many chisure with 0 bars you cannot use tick by tick mode it is not possible to know if the gain is real …

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  Zigo

  

  Mauro T. “Algorithm System”

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  06/30/2020 at 12:33 PM #137686
  Zigo

  @ Mauro, thank you I have changed it to 1 contract it.

  

  Zigo

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  06/30/2020 at 5:30 PM #137778
  Zigo

  Its not looking good! But I don’t know what to change?

  Is anybody know?

  

  Zigo

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  06/30/2020 at 6:50 PM #137794
  Paul

  ptrailing doesn’t work correct. Maybe switch to a trailing stop from the library & add a stoploss.

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  Zigo

  

  Paul

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  06/30/2020 at 8:00 PM #137811
  Mauro T. “Algorithm System”

  In the photo there are two operations closed in the negative ….. if in the Backtest it is different it is because they are not given with tick by tick ….. then as Paul told you you should change the ptrailing that does not work ….

  

  Mauro T. “Algorithm System”

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