create a pro backtest using a created indicator

LivJoJade · 2022-03-05T07:13:22+00:00

Hi everyone, I wish to create a probacktest to buy on a bullish signal given on the daily timeframe if it is delivered subsequently to a bullish signal given on the weekly timeframe. I would lie to add to the position if further buy signals are given on the daily so that I compound the entries. A full or partial exit would be if a bearish signal is delivered on the daily timeframe. Not interested in entering short on and markets so the probacktest is only for long positions. I thank you in anticipation of any help given. This is the indicator created with the following variables added: Variables: MyUpperLevel Integer 70 MyLowerLevel Integer 30 myPeriod Integer 14 // current RSI myRSI = RSI[myPeriod](close) // variables we will store between bars ONCE myLastHighPrice = 0 ONCE myLastLowPrice = 1000 ONCE myLastRSIPeakVal = 1000 ONCE myLastRSITroughVal = 0 // set the output default values myRSIBullCol = -1 myRSIBearCol = -1 myRSIBullDiv = 1 myRSIBearDiv = -1 // check for peak // * // * * // 2 1 0 IF (myRSI = myUpperLevel THEN // great we have a peak above our level lets see if its lower than the prior peak IF myRSI[1] myLastHighPrice THEN // we have a bearish divergence change the bar colour myRSIBearCol = 1 ENDIF ENDIF // we need to remember this peak myLastRSIPeakVal = myRSI[1] // update the last high price myLasthighPrice = High ENDIF ENDIF // check for trough // 2 1 0 // * * // * IF (myRSI > myRSI[1]) AND (myRSI[2] > myRSI[1]) THEN IF myRSI[1] myLastRSITroughVal THEN //ok were lower than the last peak lets check if price was moving up IF Low < myLastLowPrice THEN // we have a bearish divergence change the bar colour myRSIBullCol = 1 ENDIF ENDIF // we need to remember this trough myLastRSITroughVal = myRSI[1] // update the last low myLastLowPrice = Low ENDIF ENDIF // finally output the signals RETURN myRSIBearDiv COLOURED BY myRSIBearCol AS “Bearish Divergence Signal”, myRSIBullDiv COLOURED BY myRSIBullCol AS “Bullish Divergence Signal”

Viewing 10 posts - 1 through 10 (of 10 total)

Author

Posts
03/05/2022 at 8:13 AM #189374 quote

LivJoJade
Participant

Junior

Hi everyone, I wish to create a probacktest to buy on a bullish signal given on the daily timeframe if it is delivered subsequently to a bullish signal given on the weekly timeframe. I would lie to add to the position if further buy signals are given on the daily so that I compound the entries. A full or partial exit would be if a bearish signal is delivered on the daily timeframe.

Not interested in entering short on and markets so the probacktest is only for long positions.

I thank you in anticipation of any help given.

This is the indicator created with the following variables added:

Variables:

MyUpperLevel Integer 70

MyLowerLevel Integer 30

myPeriod Integer 14

// current RSI
myRSI = RSI[myPeriod](close)

// variables we will store between bars
ONCE myLastHighPrice = 0
ONCE myLastLowPrice = 1000
ONCE myLastRSIPeakVal = 1000
ONCE myLastRSITroughVal = 0

// set the output default values
myRSIBullCol = -1
myRSIBearCol = -1
myRSIBullDiv = 1
myRSIBearDiv = -1

// check for peak
// *
// * *
// 2 1 0
IF (myRSI < myRSI[1]) AND (myRSI[2] < myRSI[1]) THEN
IF myRSI[1] >= myUpperLevel THEN

// great we have a peak above our level lets see if its lower than the prior peak
IF myRSI[1] < myLastRSIPeakVal THEN

//ok were lower than the last peak lets check if price was moving up
IF High > myLastHighPrice THEN

// we have a bearish divergence change the bar colour
myRSIBearCol = 1

ENDIF
ENDIF

// we need to remember this peak
myLastRSIPeakVal = myRSI[1]
// update the last high price
myLasthighPrice = High

ENDIF
ENDIF

// check for trough
// 2 1 0
// * *
// *
IF (myRSI > myRSI[1]) AND (myRSI[2] > myRSI[1]) THEN
IF myRSI[1] <= myLowerLevel THEN

// great we have a peak below our level lets see if its higher than the prior peak
IF myRSI[1] > myLastRSITroughVal THEN

//ok were lower than the last peak lets check if price was moving up
IF Low < myLastLowPrice THEN

// we have a bearish divergence change the bar colour
myRSIBullCol = 1

ENDIF
ENDIF

// we need to remember this trough
myLastRSITroughVal = myRSI[1]
// update the last low
myLastLowPrice = Low

ENDIF
ENDIF

// finally output the signals
RETURN myRSIBearDiv COLOURED BY myRSIBearCol AS “Bearish Divergence Signal”, myRSIBullDiv COLOURED BY myRSIBullCol AS “Bullish Divergence Signal”

03/08/2022 at 3:45 PM #189617 quote

robertogozzi
Moderator

Legend

Your indicator returns nothing.

Is it working on your charts? If yes, please post the ITF file.

03/08/2022 at 10:02 PM #189659 quote

LivJoJade
Participant

Junior

Please excuse my ignorance, a itf file is?

03/08/2022 at 11:00 PM #189660 quote

robertogozzi
Moderator

Legend

It’s the file containing the indicator when exported from ProBuilder (part of the ProRealTime platform that manages indicators).

03/09/2022 at 12:03 PM #189676 quote

LivJoJade
Participant

Junior

good morning, please find attached one itf file.

Many thanks for your help.

123.itf

03/11/2022 at 12:08 PM #189794 quote
robertogozzi
Moderator

Legend
I modified your code, to make it return valid data. You can download and import the attached 123v2 file.

I attach the trading system file, too.

That said, well… very few signals are returned on both TFs.

This is the code (to be run on a Daily chart):
```
DEFPARAM CumulateOrders = true
//
Timeframe(Weekly,default)//UpdateOnClose)
//myPriorBullishDivergenceSignalW = myBullishDivergenceSignalW
myBearishDivergenceSignalW, myBullishDivergenceSignalW = CALL "123v2"[70, 30, 14]
//
Timeframe(Daily,default)
myBearishDivergenceSignalD, myBullishDivergenceSignalD = CALL "123v2"[70, 30, 14]
//
IF myBullishDivergenceSignalW AND myBullishDivergenceSignalD THEN
   BUY 1 CONTRACT AT Market
ENDIF
IF LongOnMarket AND myBearishDivergenceSignalD THEN
   SELL AT Market
ENDIF
//graph myBullishDivergenceSignalW coloured(255,0,0,255)
//graph myBullishDivergenceSignalD
```
123v2.itf MySystem-2.itf
11/04/2022 at 8:35 PM #203560 quote

LivJoJade
Participant

Junior

Hi guys

Using the following indicator is it possible to add a line of code which would restrict the use of bars to the most recent 15?

// current RSI
myRSI = RSI[myPeriod](close)

// variables we will store between bars
ONCE myLastHighPrice = 0
ONCE myLastLowPrice = 1000
ONCE myLastRSIPeakVal = 1000
ONCE myLastRSITroughVal = 0

// set the output default values
myRSIBullCol = 0
myRSIBearCol = 0
myRSIBullDiv = 0
myRSIBearDiv = 0

// check for peak
// *
// * *
// 2 1 0
IF (myRSI < myRSI[1]) AND (myRSI[2] < myRSI[1]) THEN
IF myRSI[1] >= myUpperLevel THEN

// great we have a peak above our level lets see if its lower than the prior peak
IF myRSI[1] < myLastRSIPeakVal THEN

//ok were lower than the last peak lets check if price was moving up
IF High > myLastHighPrice THEN

// we have a bearish divergence change the bar colour
myRSIBearCol = 1
myRSIBearDiv = -1
myRSIBullDiv = 0
ENDIF
ENDIF

// we need to remember this peak
myLastRSIPeakVal = myRSI[1]
// update the last high price
myLasthighPrice = High

ENDIF
ENDIF

// check for trough
// 2 1 0
// * *
// *
IF (myRSI > myRSI[1]) AND (myRSI[2] > myRSI[1]) THEN
IF myRSI[1] <= myLowerLevel THEN

// great we have a peak below our level lets see if its higher than the prior peak
IF myRSI[1] > myLastRSITroughVal THEN

//ok were lower than the last peak lets check if price was moving up
IF Low < myLastLowPrice THEN

// we have a bearish divergence change the bar colour
myRSIBullCol = 1
myRSIBearDiv = 0
myRSIBullDiv = 1
ENDIF
ENDIF

// we need to remember this trough
myLastRSITroughVal = myRSI[1]
// update the last low
myLastLowPrice = Low

ENDIF
ENDIF

// finally output the signals
//RETURN myRSIBearDiv COLOURED BY myRSIBearCol AS “Bearish Divergence Signal”, myRSIBullDiv COLOURED BY myRSIBullCol AS “Bullish Divergence Signal”
RETURN myRSIBearDiv AS “Bearish Divergence Signal”, myRSIBullDiv AS “Bullish Divergence Signal”

11/05/2022 at 12:26 PM #203588 quote

robertogozzi
Moderator

Legend

Please attach the ITF file or post the missing variables and their value.

11/05/2022 at 3:47 PM #203597 quote

LivJoJade
Participant

Junior

Hi Roberto

Please find attached 1 itf file, in addition the variables are…

myPeriod = 14

myUpperLevel = 70

myLowerLevel = 30

Many thanks for your help.

123v2.itf

11/16/2022 at 1:09 PM #204253 quote

robertogozzi
Moderator

Legend

Actually myPeriod restricts the use to the most recent 14 (or any other value you may want to set).
Author

Posts

Viewing 10 posts - 1 through 10 (of 10 total)

You must be logged in to reply to this topic.

New

Stuck on this ProBuilder code?

Describe what this topic is trying to build, in plain English, and ProRealAI writes the ProRealTime™ indicator, screener or system for you.

Available in 7 languages

Try ProRealAI

create a pro backtest using a created indicator

ProOrder: Automated Strategies & Backtesting

New Reply

Author

LivJoJade @livjojade Participant

Summary

This topic contains 9 replies,
has 2 voices, and was last updated by robertogozzi
3 years, 10 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	03/05/2022
Status:	Active
Attachments:	4 files