Weird spikes on GRAPH results with MTF

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  • 08/01/2019 at 5:33 PM #103988
    Vonasi

    I’m messing around with a long only MTF strategy that makes all its decisions and has all the code on the monthly and weekly time frames but trades on the daily chart but there is no code under a daily timeframe. This is purely to allow it to trade as one day divides into a week and divides into a month but a week does not divide into a month – Yes MTF confuses me sometimes too!

    I have an IF THEN condition which if it is met sells everything and within this same IF THEN I add one to a variable just so that I can graph the variable and see how many times the condition led to trades being closed. Nothing ever subtracts from the variable but when I GRAPH it I get the weird spikes shown in the image.

     

     

     

    08/01/2019 at 7:23 PM #103990
    GraHal
    Vonasi wrote:

    a week does not divide into a month – Yes MTF confuses me sometimes too!

    It doesn’t thought does it, but you know that so you must mean something different than I read?

    08/01/2019 at 8:30 PM #103992
    GraHal

    Vonasi please … what keyword(s) do I need to search for to find your code for including trial / virtual trades in a strategy so that if > x losing trades the strategy does not trade until > y winning trades?

    Thanks

     

    08/01/2019 at 8:32 PM #103993
    Vonasi

    What I don’t get is if I am just using month and week time frames then I can only open and close trades on the first candle of a week so what difference does it make that a week does not divide into a month? If I am looking at indicator values either on the fly during the month or at the end of the week it is the same thing as I can only look at them at the end of the week as I only have two time frames.

    Anyway this is a little off topic – it was the spikes that was bugging me more as I can’t trust the results of the graph that is shown.

    08/01/2019 at 9:05 PM #103996
    GraHal
    GraHal wrote:

    to search for to find your code

    Aha it was Nicolas code, but I was sure you did one also?

    ‘Simulated trades’ is the keyword anyway …. found the code via google.

    08/02/2019 at 7:46 AM #104011
    Nicolas

    The spikes are only jumping from 1 to 2 or 2 to 3, so I think that  there must be something in the code that makes this behavior and might be linked to a calendar condition that doesn’t exist: such as bank holidays, gap, ..

    08/02/2019 at 8:19 AM #104015
    Vonasi

    There is no date conditions in the code at all. It simply looks for the low to be above a value on the monthly timeframe and then on the weekly timeframe checks for a down week and buys at the end of the week on a daily chart. There are two exit conditions both on the weekly chart and both contained within their own IF THEN ENDIF’s. There is never anything deducted from the ex variable so I don’t understand the spikes. The code is something like this:

     

    08/02/2019 at 8:24 AM #104016
    Nicolas

    Well, if there is nothing in the code that decrease the ex value, there is no reason that it jumps from 2 to 3 and then suddenly decrease from 3 to 2.

    BUT! Did you try with “updateonclose” for the weekly timeframe?

    08/02/2019 at 10:21 AM #104020
    Vonasi

    With UPDATEONCLOSE it draws the correct line but with DEFAULT it draws a line with the impossible spikes.

    08/02/2019 at 10:24 AM #104021
    Nicolas

    Yes, so there is something that happens during the week between the open and the close, because if we only read the code at Close we have no spike.

    BTW, I still can’t understand how the ‘ex’ variable can decrease!

    08/02/2019 at 11:08 AM #104031
    Vonasi
    Nicolas wrote:

    I still can’t understand how the ‘ex’ variable can decrease!

    This is why I posted it! It’s a weird MTF bug! As I’m only using it to count how many times a condition occurs and to graph that it is not so important but if it was a variable that I used in the code for decision making then that is a little more important.

    The first image is with DEFAULT and the second is with UPDATEONCLOSE. The value is different throughout except when it spikes.

    08/02/2019 at 11:11 AM #104034
    Vonasi

    I tried putting the GRAPH under the TIMEFRAME(DAILY) but that didn’t change anything.

    08/02/2019 at 12:15 PM #104040
    Nicolas

    Ok so because it happens during the life of a weekly candlestick, it would be nice to find similarities of when it happens: specific day of the week? hole in the data? ..

    08/02/2019 at 12:25 PM #104041
    Vonasi

    It seems pretty random. The last spike was on a Wednesday when selling can only occur on a Monday.

    I even tried this to see if it was an issue with two exit conditions being true at the same time but it makes no difference:

     

    08/02/2019 at 2:50 PM #104055
    Nicolas

    selling can only occur on a Monday when you updateonclose a weekly timeframe.

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