backtest question

[bigtee]

I've started to learn to write backtest code. Been using the great stuff from Brad, and looking at some other examples.

I have written one simple backtest efs. It is a stop and reverse sma crossover. No stops, no targets. The problem is that it does not work. It flips back and forth on every bar. Testing on a 15 min chart FWIW.

Any ideas why?

----------------------

var vmafast = null;
var vmaslow = null;

function preMain() {
setPriceStudy(true);

}

function main() {

if (vmafast == null) vmafast = new MAStudy(5, 0, "Close", MAStudy.SIMPLE);
if (vmaslow == null) vmaslow = new MAStudy(20, 0, "Close", MAStudy.SIMPLE);


var vf = vmafast.getValue(MAStudy.MA);
var vs = vmaslow.getValue(MAStudy.MA);

if(vf == null || vs == null)
return;

if ((!Strategy.isInTrade())|| (Strategy.isShort())) { // not in a trade currently or currently short
if(vf > vs ) { // test for long entry
Strategy.doLong("Enter Long", Strategy.MARKET, Strategy.NEXTBAR);
}
}

else{
if ((!Strategy.isInTrade())|| (Strategy.isLong())) { // not in trade or currently long
if(vs < vf ){ // test for short entry
Strategy.doShort("Enter Short", Strategy.MARKET, Strategy.NEXTBAR);
}
} // end if strategy not in a trade

}

return;
}

[ACM]

bigtee
Try the enclosed revision.
I have also added (but commented out) the commands to paint the background when the strategy is Long or Short so that you can compare it against the Back Tester
Alex

var vmafast = null;
var vmaslow = null;

function preMain() {
setPriceStudy(true); 

}

function main() {

if (vmafast == null) vmafast = new MAStudy(5, 0, "Close", MAStudy.SIMPLE);
if (vmaslow == null) vmaslow = new MAStudy(20, 0, "Close", MAStudy.SIMPLE);

var vf = vmafast.getValue(MAStudy.MA);
var vs = vmaslow.getValue(MAStudy.MA);

if(vf == null || vs == null)
return;

if (!Strategy.isInTrade()|| !Strategy.isLong()) { // currently not in a trade or long
if(vf > vs ) { // test for long entry 
Strategy.doLong("Enter Long", Strategy.MARKET, Strategy.NEXTBAR); 
} 
}

if (!Strategy.isInTrade()|| !Strategy.isShort()) { // currently not in trade or short
if(vf < vs ){ // test for short entry 
Strategy.doShort("Enter Short", Strategy.MARKET, Strategy.NEXTBAR); 
} 
} // end if strategy not in a trade

//if(Strategy.isLong()) setBarBgColor(Color.lime);
//if(Strategy.isShort()) setBarBgColor(Color.red);

return;
} 

[bigtee]

Thanks, Alex.

From comparing your code vs mine, I see the problem was the "else" structure, apparently.

bigtee

[ACM]

bigtee
Actually the problem was in the test for long/short entry.
One condition was if(vf > vs) while the other was if(vs < vf) which is the same thing. If you notice I reversed the second one.
Alex

[bigtee]

thanks again, I had missed that.