Please, remind me how backest works on v10 and v11

• 11/04/2019 at 10:24 AM #112004
  pieroim

  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

  

  pieroim

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

  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

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  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

   

   

  

  pieroim

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  11/04/2019 at 10:40 AM #112015
  robertogozzi

  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.

  

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

  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.

  

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

  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

  

  pieroim

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

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

  

  pieroim

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

  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.

  

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

  Mini NASDAQ Full1219 daily

  Meyer-Butterworth

  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"

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  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"

  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"

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  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"

  

  pieroim

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  11/04/2019 at 11:22 AM #112023
  pieroim

  PP=17…

  

  pieroim

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

  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.

   

  

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

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

  

  pieroim

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

  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?

  

  pieroim

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

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

  

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

  Nothing.. with the CALL I have the identical wrong results.. this is the code:

  Trading system

  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

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  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.

  

  pieroim

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  11/04/2019 at 9:55 PM #112113
  Vonasi

  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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