Nicolas Simulated Trading with fake orders

• 06/18/2021 at 2:02 PM #171993
  Wolf Trades

  Hi guys, I tried to modify Nicolas’s code regarding simulated trading. I have included the functions written by Nicolas (https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/) for the short as well, but I believe that I made some mistake. Can someone help me?

  Code

  defparam cumulateorders=false // --- strategy settings tpratio = 2.7 //2.7 stoploss = 65 //65 takeprofit = stoploss*tpratio // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true) //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 sellsignal = average[7] crosses under average[21]//rsi[2] crosses over 30 if realtrading then //real trading if not longonmarket and buysignal then buy 1 contracts at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then openprice=close //fake order open price longontrading=1 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif if realtrading then //real trading if not shortonmarket and sellsignal then sellshort 1 contract at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not shortontrading and sellsignal then openprice=close //fake order open price shortontrading=1 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) longontrading=0 //not on market anymore endif endif //check profit n loss of the fake order if shortontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 shortontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) shortontrading=0 //not on market anymore endif endif //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1])or (not shortontrading and shortontrading[1]) ) and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex if(not longontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif if(not shortontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do if strategyPNL[i]<>lastPNL then lastPNL=strategyPNL[i] count=count+1 sum=sum+strategyPNL[i] if count=equityCurvePeriod+1 then sum=sum-last last=strategyPNL[i] break // endif endif next if last<>last[1] then avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then realtrading=1 //activate real trading if the PnL is superior to its average else realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif //plot the fake orders activation if longontrading then plotLong = 0.1 //this value might be changed, depending of the strategy else plotLong = 0 endif // //plot the fake orders activation if shortontrading then plotShort = -0.1 //this value might be changed, depending of the strategy else plotShort = 0 endif // //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation graph plotShort coloured(255,0,0) //plot the fake orders activation

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  defparam cumulateorders=false // --- strategy settings tpratio = 2.7  //2.7 stoploss = 65  //65 takeprofit = stoploss*tpratio // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true) //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 sellsignal = average[7] crosses under average[21]//rsi[2] crosses over 30 if realtrading then //real trading if not longonmarket and buysignal then buy 1 contracts at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then openprice=close //fake order open price longontrading=1 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif   if realtrading then //real trading if not shortonmarket and sellsignal then sellshort 1 contract at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not shortontrading and sellsignal then openprice=close //fake order open price shortontrading=1 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) longontrading=0 //not on market anymore endif endif   //check profit n loss of the fake order if shortontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 shortontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) shortontrading=0 //not on market anymore endif endif     //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1])or (not shortontrading and shortontrading[1]) )  and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex if(not longontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif   if(not shortontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do if strategyPNL[i]<>lastPNL then lastPNL=strategyPNL[i] count=count+1 sum=sum+strategyPNL[i] if count=equityCurvePeriod+1 then sum=sum-last last=strategyPNL[i] break // endif endif next if last<>last[1] then avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then realtrading=1 //activate real trading if the PnL is superior to its average else realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif //plot the fake orders activation if longontrading then plotLong = 0.1 //this value might be changed, depending of the strategy else plotLong = 0 endif //   //plot the fake orders activation if shortontrading then plotShort = -0.1 //this value might be changed, depending of the strategy else plotShort = 0 endif // //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation graph plotShort coloured(255,0,0) //plot the fake orders activation

   

  

  Wolf Trades

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  06/21/2021 at 10:58 AM #172076
  Nicolas

  Your MAE/MFE calculation for short orders is wrong, it should be the inverse of the long orders! 🙂

  Lines 72 & 73:

  mfe = max(openprice-low,mfe) //compute the MaxFavorableExcursion mae = min(openprice-high,mae) //compute the MaxAdverseExcursion

  1 2	mfe = max(openprice-low,mfe) //compute the MaxFavorableExcursion mae = min(openprice-high,mae) //compute the MaxAdverseExcursion

  this is the first thing I spotted, I did not read all the code.

  

  Nicolas

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  04/07/2022 at 2:33 PM #191383
  SkippyTrader

  Wolf Trades wrote:

  for the short as well,

  Hi have you managed to get this to work as yet? Ive also tried it, but not managing to get to work with SHORT positions. i fixed the Lines 72 & 73 as nicolas suggested above too.

  

  SkippyTrader

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