PP Fractals // Error message
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Hello,
I tried to embed the PP Fractals indicator developed by https://www.prorealcode.com/prorealtime-indicators/pp-fractals/ in a Strategy, where among conditions to go Long (Close> $resistancevalue[z]) and go Short (Close<close < $supportvalue[z]). The backtest works perfectly fine on 100k 1min TF. However, when I put it live, I got this error message twice. It seems to be linked to the number of values in the Arrays. Note: this is the only Array I’ve in my system. Also, I tried with Preload 10000 bars and without Preload and the problem is the same.
I congratulate for his work as the System without this condition generates 40% less Gains!
Any idea on how to overcome this problem?
Thank you.
Thank you Nicolas for your time. Indeed, I’d like to get signals on the last segment breakout.
Below the code run on SP500 – 100k – 1min TF – spread 0.6
DEFPARAM CUMULATEORDERS = FALSE TIMEFRAME(60 minutes) LongConso=0 ShortConso= 0 Long=0 Short=0 //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// //PRC_SwingLine Ron Black | indicator by Nicolas if upsw=1 then if high>hH then hH=high endif if low>hL then hL=low endif if high<hL then upsw=0 lL=low lH=high endif endif if upsw=0 then if low<lL then lL=low endif if high<lH then lH=high endif if low>lH then upsw=1 hH=high hL=low endif endif if upsw=1 then swingline=hL else swingline=lH endif if close>open then iRange = abs(close-open) elsif close<open then iRange = abs(open-close) endif if close>open then UpWick = high - close LoWick = open-low elsif close<open then UpWick = high-open LoWick = close-low endif // LONG if close>open then if close[1]>open[1] then if close>close[1] then long1=1 endif endif endif if close>open then if close[1]<open[1] then if close>open[1] then long2=1 endif endif endif if iRange>UpWick or LoWick>UpWick then long3 = 1 endif //if close>close[1] and close[2]>close[1] then //long4 = 1 //endif if high>high[1] or low>low[1] then long5=1 endif if (long1 or long2) and long3 and long5 and close>swingline then Long=1 endif // SHORT if close<open then if close[1]>open[1] then if close<open[1] then short1=1 endif endif endif if close<open then if close[1]<open[1] then if close<close[1] then short2=1 endif endif endif if iRange>LoWick or LoWick<UpWick then short3 = 1 endif //if close<close[1] and close[2]<close[1] then //short4 = 1 //endif if high<high[1] or low<low[1] then short5=1 endif if (Short1 or short2) and short3 and short5 and close<swingline then Short=-1 endif //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // SR PP Fractal Lines by Vonasi //BarsBefore = 1 //BarsAfter = 1 Support = 1 Resistance = 1 Points = 1 //Make sure all settings are valid ones BarsBefore = max(BarsBefore,1) BarsAfter = max(BarsAfter,1) StartBack = max(0,startback) if barindex >= barsbefore + barsafter then //Look for a low fractal BarLookBack = BarsAfter + 1 if low[BarsAfter] < lowest[BarsBefore](low)[BarLookBack] THEN if low[BarsAfter] = lowest[BarLookBack](low) THEN if a<99999 then a = a + 1 endif $supportbar[a] = barindex[barsafter] $supportvalue[a] = low[barsafter] endif endif //Look for a high fractal if high[BarsAfter] > highest[BarsBefore](high)[BarLookBack] THEN if high[BarsAfter] = highest[BarLookBack](high) THEN if b<99999 then b = b + 1 endif $resistancebar[b] = barindex[barsafter] $resistancevalue[b] = high[barsafter] endif endif if islastbarupdate then //support line if a >= 2 then if support then flag = 0 zz = 0 for z = a-zz downto 1 for xx = 1 to a if z-xx < 1 then break endif if $supportvalue[z] > $supportvalue[z-xx] then if points then endif flag = 1 break endif if zz<99999 then zz = zz + 1 endif next if flag = 1 then break endif zz = 0 next endif endif //resistance line if b >= 2 then if resistance then flag = 0 zz = 0 for z = b-zz downto 1 for xx = 1 to b if z-xx < 1 then break endif if $resistancevalue[z] < $resistancevalue[z-xx] then if points then endif flag = 1 break endif if zz<99999 then zz = zz + 1 endif next if flag = 1 then break endif zz = 0 next endif endif endif endif //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// LongConso = long=1 and close > $resistancevalue[z] ShortConso = short=-1 and close < $supportvalue[z] //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// TIMEFRAME(5 minutes, UPDATEONCLOSE) nLots = min(10,round((2000+STRATEGYPROFIT)/(close*.5*.1),1)) IF NOT LongOnMarket AND LongConso THEN BUY nLots CONTRACTS AT MARKET ENDIF IF NOT ShortOnMarket AND ShortConso THEN SELLSHORT nLots CONTRACTS AT MARKET ENDIF //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// If LongOnMarket AND ShortConso THEN SELL AT MARKET SELLSHORT nLots CONTRACTS AT MARKET ENDIF IF ShortOnMarket AND LongConso THEN EXITSHORT AT MARKET BUY nLots CONTRACTS AT MARKET ENDIF //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// TIMEFRAME(1 minute) SET STOP %LOSS .3 //SL SET TARGET %PROFIT 1.6 //TPThank you Nicolas.
The code I provided generates in backtest a net gain of 5,328 with a WinRate of 25% and a Drawdown of -2500.
Without changing parameters such as SL, TP, Barsbefore, Barsafter, the code with your changes generates in backtest over the same period a net loss of -1,806 with a WinRate of 23% and a Drawdown of -1897.
So there is something in the original code that was certainly useful.
How can we please just overcome the problem of 1,000,000 values in the Array of the first code?
Much appreciated.
Hi Khaled,
What did you mean “it works one time” ? One trade only like you see below ?
Otherwise I copied your code given to Nicoalas and this is the result. Can I be doing something wrong ?
All right. There is is. It required the correct 1euro instrument.
But no error messages (yet), and I removed the If 99999 WHICH btw has one 9 too few (I suggested 999999).
What’s next ?
🙂Khaled thanked this postIn case you want to pursue this further : It doesn’t seem to be resilient to more normal markets (pre-Inflation – this is 200K).
N.b.: 1M fails on the “500” error @nonetheless also receives. This is not related to the arrays, as it seems.Khaled thanked this postlimit the number of values in the Array table.
Because I don’t understand what it (the arrays) is doing there anyway, I suggest that we better interpret what @Nicolas is saying. So to me it now seems that he (from his own code ever back ?) tells that the arrays were only there for graphing, while you don’t graph anything. So just eliminate the code concerned (?).
Otherwise your error in Live (I missed that one – apologies) could be related to the 500-error I receive with the 1M backtest.
Khaled thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 02/28/2022 |
| Status: | Active |
| Attachments: | 15 files |
