Problem with timing position opening

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  • #200094 quote
    Mr.Crni
    Participant
    New

    Hello PRC Forum

    I have the following problem: my indicator signals me an entry point, but during the backtest the position is opened one bar later. Engulfing requires the evaluation of the 2 past candles, why is no position opened on the 3rd candle but on the 4th candle?

    Indicator:

    SecondToLastCandleHeight = abs(close[2]-open[2])
    LastCandleHeight = abs(close[1]-open[1])
    
    Engulfing = LastCandleHeight > SecondToLastCandleHeight
    
    ShortMarketCondition = DIminus[14](CLOSE[1]) > DIplus[14](CLOSE[1]) AND ADX[14] > 12 AND ADX[14] >= ADX[14][2]
    LongMarketCondition = DIplus[14](CLOSE[1]) > DIminus[14](CLOSE[1]) AND ADX[14] > 12 AND ADX[14] >= ADX[14][2]
    
    EngulfingShort = Engulfing AND CLOSE[2] > OPEN[2] AND CLOSE[1] < OPEN[2] AND ShortMarketCondition
    IF EngulfingShort THEN
    DRAWARROWDOWN(barindex,close) coloured(255,255,0)
    ENDIF
    
    EngulfingLong = Engulfing AND CLOSE[2] < OPEN[2] AND CLOSE[1] > OPEN[2] AND LongMarketCondition
    IF EngulfingLong THEN
    DRAWARROWUP(barindex,close) coloured(0,255,255)
    ENDIF
    
    RETURN EngulfingShort as "EngulfingShort", EngulfingLong as "EngulfingLong", LastCandleHeight as "LastCandleHeight", SecondToLastCandleHeight as "SecondToLastCandleHeight"

    Strategy:

    //Engulfing/DMI
    //MainTime: 1H, SubordinateTime: 5M
    //Cornel Schmid, 03.09.2022
    
    //TERMS AND CONDITIONS
    DEFPARAM PreLoadBars = 300
    DEFPARAM CumulateOrders = true
    Position=1
    
    //ENGULFING
    EngulfingShort, EngulfingLong, LastCandleHeight, SecondToLastCandleHeight = CALL "FR_Engulfing_DMI"
    
    //ENGULFINGRATIO
    EngulfingRatio = (LastCandleHeight/SecondToLastCandleHeight) < MaxRatio
    
    //EXECUTION
    IF Engulfingshort THEN
    SELLSHORT Position PERPOINT AT MARKET
    SET STOP PLOSS StopLossShort
    ENDIF
    
    IF EngulfingLong THEN
    BUY Position PERPOINT AT MARKET
    SET STOP PLOSS StopLossLong
    ENDIF
    
    [REM Trailing Stop, Exitconditions, etc....]

    I have added a picture: Yellow and turquoise arrows = Indicator, Green and red arrows = Strategy

    What is the problem?

    EngulfingStrat_Picture.png EngulfingStrat_Picture.png
    #200103 quote
    JS
    Participant
    Senior

    This is the normal course of events, when a condition is true (in your indicator), then a position is opened on the Open of the next bar in your trading system.

    #200105 quote
    robertogozzi
    Moderator
    Master

    It’s because your indicator is lagging by 1 candle.

    Replace all occurrences of [1] with [0], then [2]  with [1].

    #200459 quote
    Mr.Crni
    Participant
    New

    Thank you Roberto! It works

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Problem with timing position opening


ProOrder: Automated Strategies & Backtesting

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Mr.Crni @mr-crni Participant
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This topic contains 3 replies,
has 3 voices, and was last updated by Mr.Crni
3 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/03/2022
Status: Active
Attachments: 1 files
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