Please, remind me how backest works on v10 and v11

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11/04/2019 at 10:24 AM #112004 quote

pieroim
Participant

Average

if I remember correctly, it does not work tick by tick but considers the 4 main prices (OCHL) for each candle.

What I do not remember is whether the backtester does the entry on the current candle by analyzing the previous candle, therefore knowing the 4 main prices of the previous candle + the opening price of the current candle, or knowing only the prices of the previous candle and ignoring the opening price of the current candle.

Or the entrance does it at the closing of the current candle when the 4 main prices of it are known..

Please let me know if there are any differences between v10 and v11 in this calculation.

Thank’s

Piero

11/04/2019 at 10:39 AM #112013 quote
pieroim
Participant

Average
Here I have this strange result of this simple trading system done just for testing the backtesting capability of Prorealtime.

It seems that the backtester almost always sees the Blue > Red .. which is not true..
```
Defparam cumulateorders=false

if Barindex < 2 then
BU = Close
else
BU = BU[1]-BU[2]/3.414+(1/3.414)*Close
endif

if barindex>PP then
Signal = BU
Noise = Close
SigmaSignal = STD[PP](Signal)
SigmaNoise = STD[PP](Noise)
a = SigmaSignal/SigmaNoise
n = (2/a)-1

if n < 1 then
nn = 1
else
nn = n
endif

MB = ExponentialAverage[nn](Close)
endif

cl=(MB>BU)
cs=(MB<BU)

GRAPH cl coloured (0,0,255) as "cl"
GRAPH cs coloured (255,0,0) as "cs"

if NOT LongOnMarket AND cl THEN
BUY 1 CONTRACTS AT MARKET
endif

if NOT ShortOnMarket AND cs THEN
SELLSHORT 1 CONTRACTS AT MARKET
endif
```
proreal-str.jpg
11/04/2019 at 10:40 AM #112015 quote

robertogozzi
Moderator

Master

I moved your topic to ProOrder, since it’s not related to indicators.

Tick-by-Tick mode is a built-in feature on v11.

The CURRENT candle (in strategies) is ALWAYS the last closed CANDLE, since all strategies are executed when a candle closes and BEFORE the new one opens, so the opening price of the new candle is not known. This won’t change in v11.

To access candles while they are being built you can only resort to MTF (Multiple Time Frame) support that lets you use a lower TF to access a higher TF candle while being built.

11/04/2019 at 10:45 AM #112016 quote

robertogozzi
Moderator

Master

Data shown in the variable window are related to the bar where the mouse sits at that very moment.

Of course one of the two variables is false when the other one is true! (how can they be both either true or false at the same time?)

Browse all candlesticks with your mouse and those values will change.

11/04/2019 at 10:45 AM #112017 quote

pieroim
Participant

Average

Ok Roberto,

robertogozzi wrote:

I moved your topic to ProOrder, since it’s not related to indicators.

Tick-by-Tick mode is a built-in feature on v11.

The CURRENT candle (in strategies) is ALWAYS the last closed CANDLE, since all strategies are executed when a candle closes and BEFORE the new one opens, so the opening price of the new candle is not known. This won’t change in v11.

To access candles while they are being built you can only resort to MTF (Multiple Time Frame) support that lets you use a lower TF to access a higher TF candle while being built.

ok Roberto, I too remembered what you say .. but this does not explain the behavior of the attached example .. there is something that still lack

11/04/2019 at 10:49 AM #112018 quote

pieroim
Participant

Average

the mouse pointer was there by accident, now I attach a picture with the pointer to a discrepancy

proreal-str1.jpg

11/04/2019 at 10:56 AM #112020 quote

robertogozzi
Moderator

Master

Please attach the indicator or post a link to it, in order to replicate your trades.

Moreover, please post what isnstrument and TF (Daily?) you are working on.

11/04/2019 at 11:01 AM #112022 quote
pieroim
Participant

Average
Mini NASDAQ Full1219 daily
```
if Barindex < 2 then
BU = Close
else
BU = BU[1]-BU[2]/3.414+(1/3.414)*Close
endif

if barindex>PP then
Signal = BU
Noise = Close
SigmaSignal = STD[PP](Signal)
SigmaNoise = STD[PP](Noise)
a = SigmaSignal/SigmaNoise
n = (2/a)-1

if n < 1 then
nn = 1
else
nn = n
endif

MB = ExponentialAverage[nn](Close)
endif

Return MB COLOURED(0,0,250) as "Meyer-Butterworth"
```
```
if Barindex < 2 then
BU = Close
else
BU = BU[1]-(BU[2]/3.414)+((1/3.414)*Close)
endif

RETURN BU COLOURED(250,0,0) as "Butterworth"
```
11/04/2019 at 11:22 AM #112023 quote

pieroim
Participant

Average

PP=17…

11/04/2019 at 3:50 PM #112050 quote

robertogozzi
Moderator

Master

You are using customized tradng hours, thus from Sept. 20th through Sept. 24th you only see 3 candlesticks, while there are 4, tallying sunday.

Despite you won’t see some candlesticks on yur screen when customizing trading hours, they are still used to compute Indicators, because they represent price movements and cannot be ignored.

I did use them long ago, but I resorted to default trading hours to be able to run/backtest strategies correctly.

x-3.jpg

11/04/2019 at 4:32 PM #112059 quote

pieroim
Participant

Average

I have changed instrument and time, but it still has the same mistakes..

proreal-str2.jpg proreal-str3.jpg

11/04/2019 at 4:44 PM #112064 quote

pieroim
Participant

Average

I found out where is the problem, it’s in the calculation! But I just can’t explain why the calculation is wrong.

It is the same of the indicators.

Otherwise, is there a way to take the values calculated by the indicators without recalculating them in the trading system?

proreal-str4.jpg

11/04/2019 at 5:18 PM #112073 quote

robertogozzi
Moderator

Master

Yes, you can use CALL to call an existing indicator and use the returned value(s).

11/04/2019 at 9:06 PM #112104 quote
pieroim
Participant

Average
Nothing.. with the CALL I have the identical wrong results.. this is the code:
```
Defparam cumulateorders=false

//if Barindex < 2 then
//BU = Close
//else
//BU = BU[1]-BU[2]/3.414+(1/3.414)*Close
//endif

BU = CALl "BUTTERWORTH"


//if barindex>PP then
//Signal = BU
//Noise = Close
//SigmaSignal = STD[PP](Signal)
//SigmaNoise = STD[PP](Noise)
//a = SigmaSignal/SigmaNoise
//n = (2/a)-1

//if n < 1 then
//nn = 1
//else
//nn = n
//endif

//MB = ExponentialAverage[nn](Close)
//endif

MB = CALL "MAYER-BUTTERWORTH"[17]

cl=(MB>BU)
cs=(MB<BU)

GRAPH MB coloured (0,0,255) as "cl"
GRAPH BU coloured (255,0,0) as "cs"

if NOT LongOnMarket AND cl THEN
BUY 1 CONTRACTS AT MARKET
endif

if NOT ShortOnMarket AND cs THEN
SELLSHORT 1 CONTRACTS AT MARKET
endif
```
I don’t know what else to try.. for me both the previous code and the current one with CALLs are correct, I hope Nicolas can find a solution, the results of the backtest are completely useless on any strategy. I don’t know if it’s a problem with version 11, with the 10 I’ve never had these problems.

proreal-str5.jpg
11/04/2019 at 9:55 PM #112113 quote

Vonasi
Moderator

Master

pieroim wrote:

I have changed instrument and time

What do you mean by changed time? Roberto is suggesting that you are using custom trading hours where candles are missing from your chart but are still used in indicator calculation If you have just switched to a different time frame then this is not what he meant.
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