Trade does not always run in backtest

Viewing 3 posts - 1 through 3 (of 3 total)
  • Author
    Posts
  • 06/13/2017 at 10:47 PM #38240 quote
    EB
    Participant
    Senior

    Hi,

    I am struggling with a code for some time. It seems to work for some cases, but strange enough not all of the times during the backtest.

    I am trying to code the following:

    c1 = Moving average 20 > Moving average 50

    c2 = Stochastic close [1] < 21 and stochastic close [0] >= 21

    c3 = abs(bollingerup close[0] – abs(bollowingerdown close[0])>1

    the combination of c1, c2 and c3 is reguired to buy a contract. Attached a screenshot of the graph with a example where I should expect a trade opening and a screenshot of the code.

    As a test I changed c1, c2 and c3 variables and each time the result shows different results, so apparently all conditions seems to work.

    Could please somebody  take a look and see what I am doing wrong? Why does it generate trades, but not for all the situations, when c1, c2 and c3 are valid?

    Thank you!

    attachment.docx
    06/14/2017 at 8:12 AM #38251 quote
    EB
    Participant
    Senior
    c1 = (Average[20](close[0]) > Average[50](close[0]))
c2 = (Stochastic[5,3](close[1]) < 21 and Stochastic[5,3](close[0])>= 21)
c3= abs(BollingerUp[20](close[0]) - BollingerDown[20](close[0]))> 1

IF (c1 and c2 and c3) THEN
BUY 1 CONTRACT AT MARKET
SET STOP LOSS 0.7
SET TARGET PROFIT 1.0

ENDIF
    06/14/2017 at 9:29 AM #38259 quote
    Nicolas
    Keymaster
    Master

    You can GRAPH your 3 conditions on the chart while doing your backtest, this is how you should debug your problem:

    c1 = (Average[20](close[0]) > Average[50](close[0]))
c2 = (Stochastic[5,3](close[1]) < 21 and Stochastic[5,3](close[0])>= 21)
c3= abs(BollingerUp[20](close[0]) - BollingerDown[20](close[0]))> 1

IF (c1 and c2 and c3) THEN
BUY 1 CONTRACT AT MARKET
SET STOP LOSS 0.7
SET TARGET PROFIT 1.0
ENDIF

signal = c1 and c2 and c3

graph signal

    You’ll be able to compare what you expect as a signal and the one your code is actually returning.

    EB thanked this post
  • Author
    Posts
Viewing 3 posts - 1 through 3 (of 3 total)
  • You must be logged in to reply to this topic.

Trade does not always run in backtest


ProOrder: Automated Strategies & Backtesting

New Reply
Author
author-avatar
EB @eb Participant
Summary

This topic contains 2 replies,
has 2 voices, and was last updated by Nicolas
8 years, 9 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 06/13/2017
Status: Active
Attachments: 1 files
Logo Logo
Loading...
Do you like cookies? 🍪 We use cookies to ensure you get the best experience on our website. (Learn more)
©2026 ProRealCode - Trading & Coding with ProRealTime™