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"Drifting" and Incorrectly plotted Study on Multiple Time Interval until study is reloaded - Back Test Reports Highly Inflated Profits

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  • "Drifting" and Incorrectly plotted Study on Multiple Time Interval until study is reloaded - Back Test Reports Highly Inflated Profits

    When a simple indicator such as an EMA derived in a EFS using ema(20,inv(x)) is plotted on a loaded chart. The value for the higher time interval, such as a Weekly EMA 20 Value plotted on a Daily chart is not being plotted correctly in Real Time. The chart has to be reloaded inorder for the plotted values to be corrected.

    This problem effectively means that although the documentation indicates one can access values from higher time frames in a loaded chart via the EFS using the getValue() and getSeries() functions this value is calculated incorrectly and cannot be relied upon for accurate results.

    For example if a chart is loaded with a 15 minute interval and internally values such as ema(20,inv(60) are plotted.

    In real time the 60 minute value is recalculated on every 15 minute NEWBAR and "drifts" into a narrowing range. This also results in a back test report showing a much higher net profit amount compared to when the strategy is run real time in an actual or Paper Trade Account. See the image below for (the left) the plotted indicators "drifting" as new bars occur on the smaller chart interval, and those values plotted after a efs reload.

    Click image for larger version

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    If my understanding is correct, an EMA on a higher interval such as a the 60 minute should not change on each NEWBAR of the lower interval.

    This problem which occurs whether the getSeries() or getValue() functions are used to access the values from the ema(20),inv(x)) object.

    The eSignal documentation indicated that Multiple Time Intervals are supported, however in real time the values returned are incorrect and any strategy based upon utilization of these vitally important functions advertised is rendered totally ineffective, as I have learned that the hard way in actual automated trading.

    The Attached image illustrates the problem in the first image the dots plotted are supposted to be an EMA on a higher time interval that the interval for the chart loaded. As can clearly be seen this value is calculated and plotted on each instance of a new bar on the chart interval. This could be a Monthly Time interval EMA and the chart could be a daily chart, or a hourly chart and it will recalculate on each NEWBAR on the hourly chart.

    When the chart is reloaded (image on the right) the EMA on the higher time frame is recalculated and draw plotted correctly.

    I have contacted support several times, provided, documentation, code, had it escalated and essentially told to post it to the Forum as EFS programming issues were not really supported via Customer Support.

    As a 15+ year user of eSignal/AGET with 600+ posts this is truly astonishing that a major code issue that renders the product unusable for automated trading for strategies I have spent years developing is ignored. After pursuing this issue with support for weeks I was told that support was not the appropriate venue for resolving this issue and to post the problem to the Forum. I did this and no one at eSignal responded.

    The fact that IMHO a serious code defect, as far as my use of the product is concerned has been found, documented and brought to supports attention and has been ignored is a major concern going forward with the use of what I consider the best product available for serious trading strategy development and has been for 20 years.

    Hope this helps someone else avoid relying on inaccurate back testing reports, always verify in real time using the Paper Trading Accounts.

    Good Luck,

    Last edited by demarcog; 05-15-2019, 01:55 PM.
    Glen Demarco