Indicator and Backtest, same algorithm, Backtest out by a day

• 01/01/2018 at 11:53 AM #56988
  capngoggles

  Happy New Year everyone. I was hoping someone can clear my illogical thinking please.
  I have a simple algorithm that works as an indicator as expected but when implemented as a backtest it
  flags the buy and sell a day later than it should. Its probably my coding or I’ve made an incorrect assumption
  but the last thing I want is it flagging a buy when its a sell and visa versa. Also, I dont want to have errors as I refine
  from here even on a simple piece of code going forward.
  The Indicator code is:

  Indicator Code

  indicator1 = CCI[20] once lastpoint = 0 c1 = (indicator1 crosses over -100) c2 = (indicator1 crosses under 100) c3 = (indicator1 crosses under -100) c4 = (indicator1 crosses over 100) L0 = (lastpoint = 0) L1 = (lastpoint = 1) Lneg1 = (lastpoint = -1) IF (c1 AND L0) OR (c1 AND Lneg1) OR (c4 AND Lneg1) THEN lastpoint = 1 ElSIF (c2 AND L0) OR (c2 AND L1) OR (c3 AND L1)THEN //SELL AT MARKET lastpoint = -1 ENDIF return lastpoint,0

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  indicator1 = CCI[20] once lastpoint = 0   c1 = (indicator1 crosses over -100) c2 = (indicator1 crosses under 100) c3 = (indicator1 crosses under -100) c4 = (indicator1 crosses over 100)   L0 = (lastpoint = 0) L1 = (lastpoint = 1) Lneg1 = (lastpoint = -1)   IF (c1 AND L0) OR (c1 AND Lneg1) OR (c4 AND Lneg1) THEN lastpoint = 1 ElSIF (c2 AND L0) OR (c2 AND L1) OR (c3 AND L1)THEN //SELL AT MARKET lastpoint = -1 ENDIF   return lastpoint,0

  The Backtest code is:

  Backtest code

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated once lastpoint = 0 // Conditions to enter long positions indicator1 = CCI[20] c1 = (indicator1 crosses over -100) c2 = (indicator1 crosses under 100) c3 = (indicator1 crosses under -100) c4 = (indicator1 crosses over 100) L0 = (lastpoint = 0) L1 = (lastpoint = 1) Lneg1 = (lastpoint = -1) IF ((c1 AND L0) OR (c1 AND Lneg1) OR (c4 AND Lneg1))THEN BUY 5000 CASH AT MARKET lastpoint = 1 // Conditions to exit long positions ELSIF (c2 AND L0) OR (c2 AND L1) OR (c3 AND L1) THEN SELL AT MARKET lastpoint = -1 ENDIF

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  DEFPARAM CumulateOrders = False // Cumulating positions deactivated once lastpoint = 0   // Conditions to enter long positions indicator1 = CCI[20]   c1 = (indicator1 crosses over -100) c2 = (indicator1 crosses under 100) c3 = (indicator1 crosses under -100) c4 = (indicator1 crosses over 100)   L0 = (lastpoint = 0) L1 = (lastpoint = 1) Lneg1 = (lastpoint = -1)   IF ((c1 AND L0) OR (c1 AND Lneg1) OR (c4 AND Lneg1))THEN BUY 5000 CASH AT MARKET lastpoint = 1 // Conditions to exit long positions ELSIF (c2 AND L0) OR (c2 AND L1) OR (c3 AND L1) THEN SELL AT MARKET lastpoint = -1 ENDIF

  Nothing too tricky really. Its based on the visual in the attached file and the behaviour can be seen
  in the chart dump in the other file.

  CCIalgorithmReduced3

  The backtest clearly lags the indicator and the actual indicator by a day.
  Thanks for any assistance you can provide,
  John

  Backtest-vs-Indicator-01-Jan-2018-21_49

  

  capngoggles

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  01/01/2018 at 12:06 PM #56992
  Nicolas

  Code is read at Close and actions are made at next Open, that’s the behavior of ProBacktest/ProOrder and the reason you think you have such differences between indicators and automatic trading programs.

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  capngoggles

  

  Nicolas

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  01/01/2018 at 1:10 PM #56997
  capngoggles

  Thank you Nicolas for your answer and prompt response. I think I understand now.

  So I shouldnt use the backtest for identifying buy/sell signals for the next day? I should rely on screeners and indicators?

  What about for automated trading, does the signal fire on the indicator? Its a little confusing.

  Regards

  John

   

  

  capngoggles

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  01/01/2018 at 4:19 PM #57008
  robertogozzi

  Line 9 of the indicator code will only be true once, when the indicator starts, later it will always be either 1 or -1.

  Is that what you want?

  

  robertogozzi

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  01/03/2018 at 3:24 PM #57139
  capngoggles

  Hi roberto,

  Yes, this is what I wanted to do originally. 0 is the initial state only. I wanted the transition of state to remain until it changes, so I could see whether I remain in or out without having to hunt back.

  I’ve done two versions now, and see advantages both ways.

  Thanks for pointing it out,

  John

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  robertogozzi

  

  capngoggles

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