Equity Curve – How to identify a new trade

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01/23/2024 at 3:07 PM #226760 quote

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Hi @Moderators and all,

I am struggling getting the right signal of a new trade on the Equity Curve of a backtest.

I am using this kind of trick

EquityData <> EquityData[1] (meaning the Equity was flat for a while)

But sometimes when the equity curve does not have the time to turn flat, I am unable to get the signal;

>> Is there a function I am missing or is there no solution to get this information in the backtest window?

Thanks a lot ^^

01/23/2024 at 6:05 PM #226784 quote

robertogozzi

Moderator

Master

That line should work whenever EquityData <> EquityData[1], not just when it was flat and currently it is not. I donìt know how and when you used it, but there should be no need to wait for it to be flat before a change is detected.

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01/23/2024 at 6:35 PM #226790 quote

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Maybe the same story as with the “StrategyProfit”…

I have noticed that when you go from long to short or from short to long in one go, the “StrategyProfit” is not updated (or a bar too late)

The solution is to do an intermediate step and close the positions in the “right way”:

So instead of all at once: Long => Short

Long => Sell => Short => ExitShort

This kind of instruction only works when the positions are closed in the “right way”…?

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01/23/2024 at 6:40 PM #226791 quote

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thanks for your quick answer; to be clearer,

this is the code I wrote in order to identify the number of trades as the ProOrder functions are not allowed in indicators for Equity Curve It should but it cannot identify this

if EquityData <> EquityData[1] and TradeFlag = 0 then

OpenTrade = 1
TradeFlag = 1
TradeCounter = Max(1,TradeCounter + 1)

elsif EquityData = EquityData[1]  and TradeFlag = 1 then //and EquityData[1] = EquityData[2] and EquityData[2] = EquityData[3]

OpenTrade = 0
TradeFlag = 0

else

OpenTrade = 0

endif

and enclosed is the problem I face, in case the equity curve does not turn flat ; the vertical lines indicate the identified new trades (and some are missing as you can see)

thanks ^^

Capture-decran-2024-01-23-183409.png

01/23/2024 at 6:52 PM #226794 quote

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JS wrote:
Maybe the same story as with the “StrategyProfit”… I have noticed that when you go from long to short or from short to long in one go, the “StrategyProfit” is not updated (or a bar too late) The solution is to do an intermediate step and close the positions in the “right way”: So instead of all at once: Long => Short Long => Sell => Short => ExitShort This kind of instruction only works when the positions are closed in the “right way”…?

thanks JS but in fact you cannot even use these ProOrder functions in indicators PRT world 😉

01/23/2024 at 7:37 PM #226796 quote

robertogozzi

Moderator

Master

Check that you are executing the line (and the following lines):

if EquityData <> EquityData[1] and TradeFlag = 0 then

in the DEFAULT timeframe. If you are using a 1-minute TF, but those lines are in the 4-hour TF, they will be updated ONCE every 4 hours, if UpdateOnClose is used. That might be an issue.

01/23/2024 at 8:25 PM #226800 quote

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robertogozzi wrote:

Check that you are executing the line (and the following lines):

1

if EquityData <> EquityData[1] and TradeFlag = 0 then

in the DEFAULT timeframe. If you are using a 1-minute TF, but those lines are in the 4-hour TF, they will be updated ONCE every 4 hours, if UpdateOnClose is used. That might be an issue.

Ok thanks, but do you see another way to identify consecutive trades in the context of an Equity Curve Indicator?

01/24/2024 at 6:53 PM #226877 quote

robertogozzi

Moderator

Master

Try this one:

TradeClosed = strategyprofit <> strategyprofit[1]
Conescutive = OnMarket AND TradeClosed

01/24/2024 at 9:37 PM #226879 quote

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robertogozzi wrote:
Try this one:

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TradeClosed = strategyprofit <> strategyprofit[1]

Conescutive = OnMarket AND TradeClosed

Thanks Roberto but these are all functions working solely in the context of algos and not indicators

01/26/2024 at 12:32 PM #226904 quote

robertogozzi

Moderator

Master

You will need to simulate trading, like any backtesting software:

ONCE TradeIsOpen = 0
TradeClosed = EquityData  <> EquityData [1]
// set  TradeIsOpen whenever the conditions to enter a position are met,
// then clear it as soon as the trade needs to be closed (like backtest
// does).
// ProBackTest is actually an indicator (well... quite difficult and time
// consuming to code!)
IF MyConditions THEN
   TradeIsOpen = 1
ENDIF
Conescutive = TradeIsOpen AND TradeClosed

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02/01/2024 at 4:48 PM #227257 quote

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robertogozzi wrote:
You will need to simulate trading, like any backtesting software:

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ONCE TradeIsOpen = 0

TradeClosed = EquityData <> EquityData [1]

// set TradeIsOpen whenever the conditions to enter a position are met,

// then clear it as soon as the trade needs to be closed (like backtest

// does).

// ProBackTest is actually an indicator (well… quite difficult and time

// consuming to code!)

IF MyConditions THEN

TradeIsOpen= 1

ENDIF

Conescutive = TradeIsOpen AND TradeClosed

Hi Roberto, Are you telling me indirectly that I cannot indentify every trade through an indicator that I apply on the Equity Curve?

02/01/2024 at 6:16 PM #227260 quote

robertogozzi

Moderator

Master

It’s not possible, try this code (apply it to the equity line):

ONCE EquityLine   = customclose
ONCE TradeCount   = 0
EquityChange      = 0
IF (BarIndex > 0) THEN
   IF (EquityLine <> customclose) THEN
      EquityChange = 1
   ENDIF
ENDIF
IF (not EquityChange AND EquityChange[1]) AND (close <> close[1]) THEN
   DrawText("*●",BarIndex,customclose) coloured("Red")
ENDIF
EquityLine = customclose
RETURN

it will plot a large red dot whenever the equity line changes, but it requires at least two bars NOT ONMARKET to detect trades properly.

02/02/2024 at 7:16 PM #227342 quote

robertogozzi

Moderator

Master

The EquityLine changes every bar, as it combines StrategyProfit + PositionPerf. To use STRATEGYPROFIT only, you have to append this line to your backtest:

GRAPH StrategyProfit

Then add this indicator to the variable window where STRATEGYPROFIT is plotted:

ONCE EquityLine   = customclose
ONCE TradeCount   = 0
EquityChange      = 0
IF (BarIndex > 0) THEN
   IF (EquityLine <> customclose) THEN
      EquityChange = 1
   ENDIF
ENDIF
IF EquityChange THEN
   TradeCount = TradeCount + 1
   DrawText("#TradeCount#",BarIndex,customclose,serif,bold,16) coloured("Red")
ENDIF
EquityLine = customclose
RETURN

my attached pic shows the results.

x.jpg

02/07/2024 at 5:20 PM #227593 quote

Meta Signals Pro

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robertogozzi wrote:

The EquityLine changes every bar, as it combines StrategyProfit + PositionPerf. To use STRATEGYPROFIT only, you have to append this line to your backtest:

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GRAPH StrategyProfit

Then add this indicator to the variable window where STRATEGYPROFIT is plotted:

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ONCE EquityLine = customclose

ONCE TradeCount = 0

EquityChange = 0

IF (BarIndex > 0) THEN

IF (EquityLine <> customclose) THEN

EquityChange= 1

ENDIF

ENDIF

IF EquityChange THEN

TradeCount= TradeCount + 1

DrawText(“#TradeCount#”,BarIndex,customclose,serif,bold,16) coloured(“Red”)

ENDIF

EquityLine = customclose

RETURN

my attached pic shows the results.

Thanks for your help Roberto We are getting closer but the indicator does not apply on the equity curve of course; moreover strategyprofit as I understand it, will only update at the end of the last trade right? So I wonder how our little hack could solve the problem I am facing on the Equity curve; am I missing something? My goal is to add on the Equity Curve an indicator that detects every new beginning trade. Thanks

imgpsh_fullsize_anim.png

imgpsh_fullsize_anim-1.png

02/08/2024 at 9:48 AM #227643 quote

robertogozzi

Moderator

Master

It’s not possible to add indicators to the equity curve in ProBackTest to detect new trades. You can only achieve your goal simulating trading, or using GRAPH for the variable window as stated above.

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This topic contains 14 replies,
has 3 voices, and was last updated by robertogozzi
2 years, 1 month ago.

Topic Details

Forum:	MetaSignalsPro Forum
Started:	01/23/2024
Status:	Active
Attachments:	4 files

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