PRT goes against rulesIF NOT LongOnMarket AND LongCondition AND belowred = 1 TH?

Jerry · 2016-04-05T06:26:47+00:00

Hi guys, I’ve found a very interesting “bug”. For some reason it seems that PRT sometimes ignores a very important condition and goes for it anyway. In my code I have this: IF NOT LongOnMarket AND LongCondition AND belowred = 1 THEN Notice the “belowred = 1”. That’s my on/off trigger for buy, if it’s 0 then no go. Once i’m in the market it goes to zero and waits for a specific condition to switch back on. That works like a charm. However, PRT ignores it and takes a trade I don’t want! Look at the attached image. That IF statement is the only place in the code where a buy order is issued… Anyone else have this kind of hick-ups? Errors like this is very costly and if this is a true PRT error it is very serious.

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04/05/2016 at 7:26 AM #4869 quote
Jerry
Participant

New
Hi guys,

I’ve found a very interesting “bug”. For some reason it seems that PRT sometimes ignores a very important condition and goes for it anyway. In my code I have this:
```
IF NOT LongOnMarket AND LongCondition AND belowred = 1 THEN
```
Notice the “belowred = 1”. That’s my on/off trigger for buy, if it’s 0 then no go. Once i’m in the market it goes to zero and waits for a specific condition to switch back on. That works like a charm.

However, PRT ignores it and takes a trade I don’t want! Look at the attached image. That IF statement is the only place in the code where a buy order is issued… Anyone else have this kind of hick-ups? Errors like this is very costly and if this is a true PRT error it is very serious.

triggerPRT.png
04/05/2016 at 8:45 AM #4874 quote

Nicolas
Keymaster

Legend

Hello, the other trades I see on your chart were also launched on a 0 condition. It’s difficult to help you more with no code at all 😀

04/05/2016 at 8:54 AM #4875 quote
Jerry
Participant

New
Arn’t those just a result of lag? Here is the full code (a bit messy though):
```
//Conditions för long re-entry
ONCE belowred = 1

IF belowred = 0 AND low< MAH10 AND NOT LongOnMarket THEN
belowred = 1
ENDIF

// Conditions to enter long positions
MAL8 = Average[8](low)
MAH10 = Average[10](high)

William = WilliamsAccumDistr(close)
WilliamMA = Average[57](William)

LongCondition = low[1] > MAH10 AND open > MAH10 AND MAH10>MAL8 AND William>WilliamMA


IF NOT LongOnMarket AND LongCondition AND belowred = 1 THEN
BUY 100 CONTRACTS AT MARKET
profittake = high+((high-low)*2)
belowred = 0
ENDIF

graph belowred


// Conditions to exit long positions
If LongOnMarket AND open>profittake THEN
SELL AT MARKET
ENDIF

//SL om hamnar under blå (MAL8)
If LongOnMarket AND close<MAL8 THEN
SELL AT MARKET

ENDIF
```
04/05/2016 at 10:14 AM #4878 quote
Nicolas
Keymaster

Legend
Can you tell me what instrument and timeframe please?

Please test again with this instruction in the first line :
```
defparam preloadbars = 0
```
04/05/2016 at 10:22 AM #4880 quote

Jerry
Participant

New

Im running daily on any stock. Preloadbars didn’t work, see attached result.

PRTissue.png

04/05/2016 at 10:54 AM #4883 quote

Nicolas
Keymaster

Legend

For me everything is working well. Your GRAPH instruction draw your “belowred” variable that is reset to 0 each time you take a trade on line 21. That’s why you may think that PRT take the trade in “inverted” mode despite of this variable value.

04/05/2016 at 7:11 PM #4900 quote

Jerry
Participant

New

Hi Nicolas,

Yeah I got it now, belowred goes on, trade is made and it goes off all in the same bar – thus it is “invisible” at that entry. Great, many thanks for your help!

04/07/2016 at 9:17 AM #4996 quote
Jerry
Participant

New
Hi,

I’m still having a bit of trouble figuring this one out (this time it’s a reverse problem). Obvious entry is missed completely or severely delayed. Kindly look at the attached image, there should be an entry at X:
```
LongCondition = low[1] > MAH10 AND open > MAH10 AND MAH10>MAL8 AND William>WilliamMA
```
- Bar before above red line? Check.
- Open above red line? Check.
- Red line above blue line? Check.
- William above Williams MA? Check.
- belowred = 1? Check.
Yet no entry at all…

Now let’s have a look at Y:

Same conditions as above, all check. Yet the entry is at 5th bar!

Is it possible that “AT MARKET” sometimes fail or is greatly delayed? Or am I missing something here?

PRTissue2.png
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PRT goes against rulesIF NOT LongOnMarket AND LongCondition AND belowred = 1 TH?

ProOrder: Automated Strategies & Backtesting

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Jerry @noren Participant

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This topic contains 7 replies,
has 2 voices, and was last updated by Jerry
10 years, 5 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	04/05/2016
Status:	Active
Attachments:	No files