Simple questions about a trend following strategy
- This topic has 14 replies, 4 voices, and was last updated 6 years ago by
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Hi,
- “crosses over” uses live close (shadows being just the trace of past temporary close before a candle is complete), might change during ongoing candle, but in the end uses final close value when candle is complete
- you can do “if any_variable crosses over any_other_variable then…”
- syntax for a simple moving average applied on close would be average[20](close), uptrend on 2 candles would be average[20](close)>average[20](close)[1], if you want continuous up over 3 candles then you need to use the “and” keyword:
1average[20](close)>average[20](close)[1] AND average[20](close)[1]>average[20](close)[2]
For more than 3 candles add another AND, etc…
- Line 1 : average(60) to be replaced by average[60](close)
Line 7 : average(20) to be replaced by average[20](close)
As a general tip, when typing your code in the code creation window, you should see in the bar menu a lightbulb icon, if you start typing a keyword (like “averag” for example) and click on the lightbulb icon, it should provide you with clickable example of matching keywords with associated syntax. That’s always useful when in doubt, even for experienced prt coders.
You need to use “close” instead of “price”, because your live price is the latest close of the ongoing candle while it’s not complete yet.
Also, on a stocks index like the ftse the cas the dax etc… it’s ok to compare close and moving averages in “points” and adding points to them because the pointsize=1, but in forex you have to be careful if using pips they are in the same “dimension” than your variables (imagine your forex pair close is worth 1,20561 for example, and your MA60 in the 1,20450 area, you are not going to add 20 to this because it would become 21,20450… not what you wanted) so it depends on your pipsize for the forex pair you consider (see keyword pipsize and actual pipsize in your graph window).
MA60 should be average[60](close)
One last info, using the “<>” button to insert code is not achieved by typing <> but by clicking on it (see attachment)
Code can be embed into BBcode like in the attached picture.
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+20 should be converted to the current instrument:
120*pipsize1 user thanked author for this post.
Hi,
I rarely comment other people strategies and backtest, only for bug searching, and assuming posting rules are respected (ie providing screen capture of backtest for at least allowing other members either to spot the potential error sources from your attachments, or for being able to check they can reproduce same results and start the bug search from a sound same set of data).
However, here, in order to help I’ll make an exception : without screen capture and without knowing which timeframe you ran your backtest, a pretty good guess for the “only 4 trades” might be that the strategy equity curve quickly reaches zero capital (and therefore doesn’t take any new trade having lost all initial capital), and if that’s the case when you look at your backtest equity curve, then I’d say that’s because the strategy has no stop, and too easy buy/sell strategies based on moving averages often could turn out to be losing money fairly fast. Even after the pipsize modification discussed is applied in the code in line 2.
This is not a criticism, like I said I don’t comment strategies, it is not my place, it’s just a guess as to what happened from a partial set of information.
Algorithmic trading is long and demanding journey. Could be discouraging at first, but Nicolas website allow all of us to feel less lonely and learn from each other along the way. Good luck.
Ok, another guess, if not yet too familiar with PRT and you expect it to buy “real time”, however it’s not what the software does, it checks your conditions are true at the end of the candle and sends the order at the beginning of the next. So if you’re in daily timeframe, it as you guessed because end of candle is end of day. But it doesn’t have to be end of day, because you can choose lower than daily timeframe (for example H1) and then same principle of “conditions true or not at end of candle”, in case of H1 at end of each hour… So you might see your price getting close enough during a candle, but if it gets away at candle close or on the other side of it and your code doesn’t take that into account, then it won’t trigger the order.
Also, when order is triggered, it happens at beginning of next candle so when checking behaviour of a strategy at first you might think it happens one candle too late but no, it’s doing ok because of order at beginning of next candle (this should change in the very near future with introduction of multitimeframe capability for proorder, opening the door for sending an order from smaller timeframe while strategy timeframe candle is not finished yet… but we don’t have this yet so I stick to what current PRT version 10.3 does).
One great keyword to know for debugging strategies, or checking behaviour is what we expect and possibly modifying the code accordingly, is GRAPH (no more than 5 graph lines for 5 variables). Try this:
12345678910111213141516171819202122MA60= average[60](close)IF NOT LongOnMarket AND close > MA60 AND close < MA60+20*pipsize THENBUY 1 CONTRACTS AT MARKETENDIF// Conditions to exit long positionsMA20= average[20](close)If LongOnMarket AND close Crosses under MA20 THENSELL AT MARKETENDIF// check stuff with graphwindowok=0if close>MA60 AND close<MA60+20*pipsize thenwindowok=5endifwindowalmostok=0if ((low>MA60 AND low<MA60+20*pipsize) or (high>MA60 AND high<MA60+20*pipsize)) and windowok<>5 thenwindowalmostok=1endifGRAPH windowok as "window ok"GRAPH windowalmostok as "window almost ok"When running the strategy you’ll have an extra window with your strategy displaying the “graph-ed” values. Should show you when the software considers at candle close if your (MA60, MA60+20*pipsize) window is met at close (=5) or almost met but not at close (=1).
One last useful info just in case, you can check the value of pipsize at the top left of the window, just after “gbpjpy”, there’s a little “i” in a square you can bring your mouse above it and “i”nformation appears in a window, including pipsize value which for gbpjpy is 0.01
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