ProOrder backtest opens trade late

wolf · 2018-01-09T15:47:44+00:00

Hello, I’m BackTesting with some Exponential moving averages, and the backtest often opens a trade a candle or 2 after the first candle after the EMA cross. Making the results inaccurate. Using a slightly faster EMA to compensate is what I’ve been doing, but that creates other problems. My code is very basic and is just calculating EMA on the close of the candle, and so is my indicator on the chart. So nothing wrong there. Attached is an example. Any ideas on how to fix this?

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01/10/2018 at 11:41 AM #58816 quote

wolf
Participant

Junior

Okay so I want to open a position on the first candle after the cross. From what you and others have said, this candle is used as a confirmation candle by PRT, but I need a work around for that and make PRT open a position on the open of the confirmation candle.

In the attached picture, for example, I would like to open a position at 9:00am instead of 9:30am. Since I’m using long timeframes (30 mins) and only executing positions when stocks are up/down high on the day, meaning that they almost never ‘need’ the confirmation candle.

Any idea on how I could do this? Shorter EMA is my go-to at the moment, but it doesn’t really work.

sbry-1.png

01/10/2018 at 12:21 PM #58820 quote

robertogozzi
Moderator

Legend

In NO way and with NO broker and NO platform you can initiate a trade on opening of the confirmation candle. To be a confirmation candle it MUST close! Then you will enter.

Prt ALWAYS executes strategies when a candle closes, just BEFORE the next one opens (which is the entry candle).

There’s no workaround, I’m afraid.

01/11/2018 at 1:48 PM #59052 quote

Nicolas
Keymaster

Legend

Vonasi wrote:

I have to confess that I am struggling to see the problem at the moment

Got exactly the same feeling 🙂
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