Different backtest results depending of ATR code placement

• 02/06/2024 at 6:29 PM #227481
  sandelius

  Hello!

  I have a question regarding an ATR stop loss/profit code snippet. Here is two different codes, that produce very different backtest results. I would expect it to be the same. Why does the backtest differ when I have the stop loss and target profit outside of the “if”-statement? I guess its probably obvious for someone with more coding experience than me. Thanks in advance!

  Code 1:

  Code 1

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1 = Average[20](close) indicator2 = Average[50](close) c1 = (indicator1 CROSSES OVER indicator2) IF c1 THEN BUY 1 CONTRACT AT MARKET //Variables NATR = 12 //ATR Period SATR = 15 // ATR Multiplier for Stop PATR = 15// ATR Multiplier for Profit //Stop and Target SET STOP LOSS SATR*AverageTrueRange[NATR](close) SET TARGET PROFIT PATR*AverageTrueRange[NATR](close) ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Conditions to enter long positions indicator1 = Average[20](close) indicator2 = Average[50](close) c1 = (indicator1 CROSSES OVER indicator2)   IF c1 THEN BUY 1 CONTRACT AT MARKET //Variables NATR = 12 //ATR Period SATR = 15 // ATR Multiplier for Stop PATR = 15// ATR Multiplier for Profit //Stop and Target SET STOP LOSS SATR*AverageTrueRange[NATR](close) SET TARGET PROFIT PATR*AverageTrueRange[NATR](close)   ENDIF

   

  Code 2:

  Code 2

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1 = Average[20](close) indicator2 = Average[50](close) c1 = (indicator1 CROSSES OVER indicator2) IF c1 THEN BUY 1 CONTRACT AT MARKET ENDIF //Variables NATR = 12 //ATR Period SATR = 15 // ATR Multiplier for Stop PATR = 15// ATR Multiplier for Profit //Stop and Target SET STOP LOSS SATR*AverageTrueRange[NATR](close) SET TARGET PROFIT PATR*AverageTrueRange[NATR](close)

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Conditions to enter long positions indicator1 = Average[20](close) indicator2 = Average[50](close) c1 = (indicator1 CROSSES OVER indicator2)   IF c1 THEN BUY 1 CONTRACT AT MARKET   ENDIF   //Variables NATR = 12 //ATR Period SATR = 15 // ATR Multiplier for Stop PATR = 15// ATR Multiplier for Profit //Stop and Target SET STOP LOSS SATR*AverageTrueRange[NATR](close) SET TARGET PROFIT PATR*AverageTrueRange[NATR](close)

   

  

  sandelius

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  02/06/2024 at 7:22 PM #227487
  JS

  Hi,

  When you put the SL and the TP in the “IF” statement, they are only placed once, but when you put them outside the “IF” statement, they are placed every time while “ATR” values change…

  As a result, the two codes work with different “ATR” values, hence the difference…

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  sandelius, Iván

  

  JS

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  02/08/2024 at 9:37 AM #227641
  sandelius

  Thanks so much JS!  To me it sounds more “correct” to then place it outside of the “IF” statement then? Or would you say none is more correct than the other?

  

  sandelius

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  02/08/2024 at 5:18 PM #227671
  JS

  Hi Sandelius,

  Personally, I would always put the SL and TP within the “IF” statement because it follows the logic of your system…

  Logic “Under certain conditions, you want to enter into a transaction and then place an SL and TP…”

  (Outside the “IF” statement it is “out of control”)

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  sandelius

  

  JS

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