Turning an indicator into a strategy issue

August 17th, 2016, 03:09 PM

Hello,

I am having some problems turning an indicator I have written into a strategy, so I can back-test it.

The indicator plots my entries and exits perfectly, but when I change it into a strategy something changes.

Some of the trades come in perfectly, but I get random trades that I cannot explain, late entries, late exits, etc.

Is there something that I am missing or doing wrong?

I am looking at tick bar charts, on the EMini.

Here is the code for both the indicator and the strategy

Thanks in advance,

Donovan

Indicator

Inputs:
TCLen(10),
MA1(23),
MA2(50),
Trigger_Long (99.75),
Trigger_Short (0.25);

Variables:
MP(0);//MP = marketposition

//Value1
Value1 = (_SchaffTC(TCLen,MA1,MA2));

//Long Entry
If MP=0 and Value1 > Trigger_Long then begin Plot1(High + .5, "LE",Red);
MP = 1;
End;

//Long Exit
If MP =1 and Value1 < Trigger_Long then begin Plot2(High + .5, "LX",Magenta);
MP = 0;
End;

//Short Entry
If MP = 0 and Value1 < Trigger_Short then begin Plot3(Low - .5, "SE",white);
MP = -1;
End;

//Short Exit
If MP = -1 and Value1 > Trigger_Short then begin Plot4(Low - .5, "SX",darkgray);
MP = 0;
End;

_________________________________________

Strategy

[intrabarordergeneration=true]

Inputs:
TCLen(10),
MA1(23),
MA2(50),
Trigger_Long (99.75),
Trigger_Short (0.25);

Variables:
MP(0);//MP = marketposition

//Value1
Value1 = (_SchaffTC(TCLen,MA1,MA2));

//Long Entry
If MP=0 and Value1 > Trigger_Long then Begin Buy ( "LE" )next bar at market;
MP = 1;
End;

//Long Exit
If MP =1 and Value1 < Trigger_Long then Begin Sell ( "LX" )next bar at market;
MP = 0;
End;

//Short Entry
If MP = 0 and Value1 < Trigger_Short then Begin Sellshort ( "SE" )next bar at market;
MP = -1;
End;

//Short Exit
If MP = -1 and Value1 > Trigger_Short then Begin Buy to Cover ( "SX" )next bar at market;
MP = 0;
End;

ABCTG · August 18th, 2016, 05:24 AM

Donovan2580,

you are using intrabar order generation in your signal, so as soon as a condition is met during the bar an entry can take place. The indicator might plot at that moment, too, but remove the plot again when the conditions are not longer satisfied. This can for example explain differences. Another reason could be that the Max Bars back that you set in the signal is different than in the indicator and therefore the values are slightly different.

How "late" are some of the exits and entries? Can you show some examples of where they occur versus where they should occur? Is it possible that the order gets triggered at the end of the bar and simply executed on the next bar while the indicator already plots on the trigger bar?

Regards,

ABCTG

August 18th, 2016, 07:19 PM

Thanks very much for the reply...

I removed the intrabarordergeneration and it worked perfectly.

You saved me a lot of time and stress!!

Much appreciated,

Donovan

ABCTG · August 19th, 2016, 03:06 AM

Donovan,

I am glad to hear that.
You are welcome and thanks for letting me know.

Regards,

ABCTG

February 10th, 2020, 02:18 AM

I have an entry I am trying to put together and I can't get easy language to verify. I would like to get an indicator (RSI) and a show me (Supertrend) working together to screen an entry on my chart. What am I missing?

Code

input: 
	Length( 14 ) [DisplayName = "Length", ToolTip = 
	 "Enter the number of bars used in calculating the Volatitlity value.",
	 
	ATR_Multiplier( 2 ), ATR_Period( 3 ), Median_Period( 3 ), SingleDot( True ), 
	UpColor( Blue ), DnColor( Red ); 
	
	
variables:
	Volty( 0 ),
		
	RS( false ), MyATR( 0 ),  avg( 0 ),  dn( 0 ),  up( 0 ),  trend( 1 ),  flag( 0 ),
		flagh( 0 ),  SupTrend( 0 ),;
	
	Volty = Volatility( Length );
	RSIValue = RSI( Price, Length );
	once RS = GetAppInfo(aiApplicationType) = 2;   
	MyATR = AvgTrueRange(ATR_Period) * ATR_Multiplier;  
	avg = Average(MedianPrice,Median_Period); 
	up = avg + MyATR;  
	dn = avg - MyATR;  
 
	if close > up[1] then trend = 1  
	else if close < dn[1] then trend = -1;  
 
	if trend < 0 and trend[1] > 0 then flag=1 else flag=0;  
	if trend > 0 and trend[1] < 0 then flagh = 1 else flagh = 0;  
	if trend > 0 and dn < dn[1] then dn=dn[1];  
	if trend < 0 and up > up[1] then up=up[1];  
	if flag = 1 then up = avg + MyATR;  
	if flagh = 1 then dn = avg - MyATR;   
	if trend = 1 then SupTrend = dn else SupTrend = up;
	
If volty > 0.196 then begin

 
	If trend[1] = 1 and trend = -1 
	Sellshort next bar at market; end;

February 10th, 2020, 11:30 PM

After doing some research I found that I was trying to put two indicators in one strategy when all I had to do is use the function for volatility. I think I answered my own question

Sent using the NexusFi mobile app

February 19th, 2020, 01:14 AM

I have another code I'm trying to work out and any help would be greatly appreciated. Basically I want an algo to use Macd to generate a buy or sell signal if another condition is true. Here is my code but nothing is happening when I run the strategy. My other condition is a simple moving average slope up or down. Please help.

Code

inputs:  
	FastLength( 12 ) [DisplayName = "FastLength", ToolTip = 
	 "Enter number of bars to use in calculation of shorter length moving average."], 
	SlowLength( 26 ) [DisplayName = "SlowLength", ToolTip = 
	 "Enter number of bars to use in calculation of longer length moving average."], 
	MACDLength( 9 ) [DisplayName = "MACDLength", ToolTip = 
	 "Moving Average Convergence Divergence Length.  Enter the number of bars to use in smoothing the MACD value."];
	
variables:  
	MyMACD( 0 ), 
	MACDAvg( 0 ), 
	MACDDiff( 0 );

MyMACD = MACD( Close, FastLength, SlowLength );
MACDAvg = XAverage( MyMACD, MACDLength );
MACDDiff = MyMACD - MACDAvg;



if  MACDDiff < 0 and other condition then 
buy next bar market;
if  MACDDiff > 0 and other condition then 
sellshort next bar market;

ABCTG · February 19th, 2020, 12:22 PM

jburke75,

the problem might be located within your "other condition" logic as the snippet you posted appears to be correct.
Maybe you can post the full working code as this way someone might be able to steer you in the right direction.

Regards,

ABCTG

jburke75

I have another code I'm trying to work out and any help would be greatly appreciated. Basically I want an algo to use Macd to generate a buy or sell signal if another condition is true. Here is my code but nothing is happening when I run the strategy. My other condition is a simple moving average slope up or down. Please help.

Code

inputs:  
	FastLength( 12 ) [DisplayName = "FastLength", ToolTip = 
	 "Enter number of bars to use in calculation of shorter length moving average."], 
	SlowLength( 26 ) [DisplayName = "SlowLength", ToolTip = 
	 "Enter number of bars to use in calculation of longer length moving average."], 
	MACDLength( 9 ) [DisplayName = "MACDLength", ToolTip = 
	 "Moving Average Convergence Divergence Length.  Enter the number of bars to use in smoothing the MACD value."];
	
variables:  
	MyMACD( 0 ), 
	MACDAvg( 0 ), 
	MACDDiff( 0 );

MyMACD = MACD( Close, FastLength, SlowLength );
MACDAvg = XAverage( MyMACD, MACDLength );
MACDDiff = MyMACD - MACDAvg;



if  MACDDiff < 0 and other condition then 
buy next bar market;
if  MACDDiff > 0 and other condition then 
sellshort next bar market;

February 19th, 2020, 12:55 PM

ABCTG

jburke75,

the problem might be located within your "other condition" logic as the snippet you posted appears to be correct.
Maybe you can post the full working code as this way someone might be able to steer you in the right direction.

Regards,

ABCTG

After messing around with it I found out that it was simply the Max Bars Back setting that was causing trouble. thank you for the quick response.

Turning an indicator into a strategy issue

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Turning an indicator into a strategy issue