Why is this strategy not well calculated? – solved

• 10/09/2017 at 10:21 AM #48732
  pieroim

  Solved… a stupid mistake.. pardon..

  This is a very simple strategy for better understanding programming with PRT. But the backtest gives me strange results .. what I’m doing of wrong?

  ichimoku strategy

  //Stategy: Ichim Defparam CUMULATEORDERS = False once prevdirection = 0 //1 = buy, 2 = sell possize = 1 stoploss = 0.0100 //points 0.0010 10 pips profitto = 0.0100 //indicators--------------------------------------------------------------------------------- T = 9 //Tenkan-Sen Period (9) I = 26 //Chikou-Span Period (26) K = 52 //Kijun-Sen Period (52) TS = (highest[T](high)+lowest[T](low))/2 //Tenkan-Sen KS = (highest[I](high)+lowest[I](low))/2 //Kijun-Sen SA = (TS[I]+KS[I])/2 //Senkou-Span A SB = (highest[K](high[I])+lowest[K](low[I]))/2 //Senkou-Span B //end of indicators-------------------------------------------------------------------------- //Signals------------------------------------------------------------------------------------ //Kumo parameters kumoUP =0 kumoDOWN =0 if SA[0]>SB[0] then kumoUP=SA[0] kumoDOWN=SB[0] else kumoUP=SB[0] kumoDOWN=SA[0] endif //mini price trend primo = (high[3]+low[3])/2 ultimo = (high[0]+low[0])/2 spread = pointsize*2 miniTrPr= ultimo-primo miniTrPr= miniTrPr/spread //end of signals------------------------------------------------------------------------------------ //Orders-------------------------------------------------------------------------------------------- if prevdirection = 2 or prevdirection = 0 then if countofposition = 0 and entrataAquisto = 0 and entrataVendita = 0 and open[0]>kumoUP and close[0]>open[0] and miniTrPr>5 then Buy possize contracts at market set target profit profitto// profit in points SET STOP LOSS stoploss entrataAquisto = 1 prevdirection = 1 endif endif if prevdirection = 1 or prevdirection = 0 then if countofposition = 0 and entrataVendita = 0 and entrataAquisto = 0 and close[0]<kumoDOWN and close[0]<open[0] and miniTrPr<-5 then Sellshort possize contracts at market set target profit profitto// profit in points SET STOP LOSS stoploss entrataVendita = 1 prevdirection = 2 endif endif //End of orders------------------------------------------------------------------------------------- //Exit Conditions----------------------------------------------------------------------------------- if entrataAquisto = 1 and open[0]>kumoDOWN and open[0]<kumoUP and close[0]>kumoDOWN and close[0]<kumoUP then Sell at market endif if entrataVendita = 1 and open[0]>kumoDOWN and open[0]<kumoUP and close[0]>kumoDOWN and close[0]<kumoUP then exitshort at market endif IF NOT ShortOnMarket THEN entrataVendita = 0 ENDIF IF NOT LongOnMarket THEN entrataAquisto = 0 ENDIF if (open[0]>kumoDOWN and open[0]<kumoUP) and (close[0]>kumoDOWN and close[0]<kumoUP) then prevdirection = 0 endif graph entrataVendita coloured (255,0,0) as "vendita" //graph entrataAquisto coloured (255,0,0) as "aquisto" graph prevdirection coloured (255,0,0) as "prevdirection" graph kumoUP coloured (0,255,0) as "kumoUP" graph kumoDOWN coloured (0,255,0) as "kumoDOWN" graph miniTrPr coloured (0,255,0) as "miniTrPr" //Exit of exit conditions---------------------------------------------------------------------------

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  //Stategy: Ichim     Defparam CUMULATEORDERS = False once prevdirection = 0 //1 = buy, 2 = sell possize = 1 stoploss = 0.0100 //points 0.0010 10 pips profitto = 0.0100 //indicators---------------------------------------------------------------------------------   T = 9 //Tenkan-Sen Period (9) I = 26 //Chikou-Span Period (26) K = 52 //Kijun-Sen Period (52)   TS = (highest[T](high)+lowest[T](low))/2 //Tenkan-Sen KS = (highest[I](high)+lowest[I](low))/2 //Kijun-Sen SA = (TS[I]+KS[I])/2 //Senkou-Span A SB = (highest[K](high[I])+lowest[K](low[I]))/2 //Senkou-Span B   //end of indicators--------------------------------------------------------------------------   //Signals------------------------------------------------------------------------------------   //Kumo parameters kumoUP      =0 kumoDOWN    =0 if SA[0]>SB[0] then kumoUP=SA[0] kumoDOWN=SB[0] else kumoUP=SB[0] kumoDOWN=SA[0] endif   //mini price trend primo  = (high[3]+low[3])/2 ultimo = (high[0]+low[0])/2 spread = pointsize*2 miniTrPr= ultimo-primo miniTrPr= miniTrPr/spread //end of signals------------------------------------------------------------------------------------   //Orders--------------------------------------------------------------------------------------------   if prevdirection = 2 or prevdirection = 0 then if countofposition = 0 and entrataAquisto = 0 and entrataVendita = 0 and open[0]>kumoUP and close[0]>open[0] and miniTrPr>5 then Buy possize contracts at market set target profit profitto// profit in points SET STOP LOSS stoploss entrataAquisto = 1 prevdirection = 1 endif endif if prevdirection = 1 or prevdirection = 0 then if countofposition = 0 and entrataVendita = 0 and entrataAquisto = 0 and close[0]<kumoDOWN and close[0]<open[0] and miniTrPr<-5 then Sellshort possize contracts at market set target profit profitto// profit in points SET STOP LOSS stoploss entrataVendita = 1 prevdirection = 2 endif endif   //End of orders-------------------------------------------------------------------------------------   //Exit Conditions-----------------------------------------------------------------------------------   if entrataAquisto = 1 and open[0]>kumoDOWN and open[0]<kumoUP and close[0]>kumoDOWN and close[0]<kumoUP then Sell at market endif if entrataVendita = 1 and open[0]>kumoDOWN and open[0]<kumoUP and close[0]>kumoDOWN and close[0]<kumoUP then exitshort at market endif   IF NOT ShortOnMarket THEN entrataVendita = 0 ENDIF IF NOT LongOnMarket THEN entrataAquisto = 0 ENDIF   if (open[0]>kumoDOWN and open[0]<kumoUP) and (close[0]>kumoDOWN and close[0]<kumoUP) then prevdirection = 0 endif   graph entrataVendita coloured (255,0,0) as "vendita" //graph entrataAquisto coloured (255,0,0) as "aquisto" graph prevdirection coloured (255,0,0) as "prevdirection" graph kumoUP coloured (0,255,0) as "kumoUP" graph kumoDOWN coloured (0,255,0) as "kumoDOWN" graph miniTrPr coloured (0,255,0) as "miniTrPr"   //Exit of exit conditions---------------------------------------------------------------------------

   

  

  pieroim

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  10/09/2017 at 11:56 AM #48760
  pieroim

  Not Solved… entrataAquisto would be on 1 in the picture…

  IF NOT ShortOnMarket THEN

       entrataVendita = 0

  ENDIF

  IF NOT LongOnMarket THEN

        entrataAquisto = 0

  ENDIF

  

  pieroim

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  10/09/2017 at 12:11 PM #48763
  Nicolas

  If you have no long position opened, then ‘entrataAquisto’ is set to 0. This value is set at bar Close and only visible in next bars, so when you set it to 1, you will only see it, at first at next bar open.

  

  Nicolas

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  10/09/2017 at 1:12 PM #48773
  pieroim

  Ok Nicolas, but in picture that I attached, you can see that the variable woud be to 1 in the bars after the bar where a long position is opened.

  The backtest in the graph gives me 0 valute..

  

  pieroim

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  10/09/2017 at 1:41 PM #48775
  Nicolas

  I do not know what’s wrong, but maybe this is something that could help: create a boolean variable that use NOT SHORTONMARKET as its own test.

  

  Nicolas

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  10/09/2017 at 7:44 PM #48806
  pieroim

  Thank’s Nicolas, very strange behavior of PRT backtest..

  However, your suggestion has led me to the solution..

  I replaced:

  IF NOT ShortOnMarket THEN entrataVendita = 0 ENDIF IF NOT LongOnMarket THEN entrataAquisto = 0 ENDIF

  1 2 3 4 5 6

  IF NOT ShortOnMarket THEN      entrataVendita = 0 ENDIF IF NOT LongOnMarket THEN       entrataAquisto = 0 ENDIF

  simply with:

  entrataVendita = ShortOnMarket entrataAquisto = LongOnMarket

  1 2	entrataVendita = ShortOnMarket entrataAquisto = LongOnMarket

  Now all works great!

  Thank’s

  Piero

  

  pieroim

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