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**ACM** · 09-13-2005, 09:46 AM

demarcog
The portion of code you posted whilst correct in general does not provide enough information as to why you are seeing values that are different from what you are expecting. The problem for example could be caused by how you define the variable nTradeEntryPrice.
Also missing from the tests for profit targets and stops is a check to make sure that the bar that triggers them actually breaches those values and does not gap over/under them which could return unrealistic results in your backtests.
Alex

**demarcog** · 09-13-2005, 10:48 AM

Alex thanks for the response. I see what you are saying about gaps. All my sysetms are basically intraday data so I don't think it has been major factor in the profitability testing but you are correct has to be addressed and coded for thanks for the heads up I definately need to add code to eliminate that possibility. I recall seeing an example in one of the early EFS documents that I will try to dig up.

Here is the code I'm using which I'm sure you will recognize from a thread or document. Again I really appreciate your help as it's very important for me to get this as accurate as possible and appreciate any suggestions/examples of the correct way to do this. I saw a few posts where the Math.max function was used and just looking for code which will most accurately reflect real market trades.

Thanks Again.var

nNewTrade; // New Trade Trigger 0 = OFF / 1 = ON
var nsignal; // returns the direction of the trading signal
var nTradeEntryPrice;
var ProfitTarget1 ;
var nStopLevel;
var nStartHour = 0; // Start time to allow trades
var nStartMin = 0;
var nEndHour = 24; // Ending time to allow trades
var nEndMin = 00;
var nEODHour = 24; // End of Day trade close out time
var nEODMin = 00;
var nStarttime = 0;
var nEndtime = 24;

function preMain() {
setPriceStudy(true);
setStudyTitle("Trend-Shortterm");
//setCursorLabelName("PT CODE");
setCursorLabelName("Profit Target", 0); //ADDED
setCursorLabelName("Stop Target", 1); //ADDED
setCursorLabelName("Trade Price", 2); //ADDED
setDefaultBarFgColor(Color.yellow, 0); //ADDED
setDefaultBarFgColor(Color.lime, 1);
setDefaultBarFgColor(Color.grey, 2);
setPlotType(PLOTTYPE_FLATLINES, 0); //ADDED
setPlotType(PLOTTYPE_FLATLINES, 1); //ADDED

var fp1 = new FunctionParameter("nProfitAmt", FunctionParameter.NUMBER); //ADDED
fp1.setName("Profit Target Amount"); //ADDED
fp1.setLowerLimit(0.0010); //ADDED
fp1.setDefault(.0025); //ADDED

var fp2 = new FunctionParameter("nStopAmt", FunctionParameter.NUMBER); //ADDED
fp2.setName("Trailing Stop Amount"); //ADDED
fp2.setLowerLimit(0.0005); //ADDED
fp2.setDefault(0.0020); //ADDED

var fp3 = new FunctionParameter("nIntStopAmt", FunctionParameter.NUMBER); //ADDED
fp3.setName("Initial Stop Amount"); //ADDED
fp3.setLowerLimit(0.0005); //ADDED
fp3.setDefault(0.0030); //ADDED

var fp6 = new FunctionParameter("nStartHour", FunctionParameter.NUMBER);
fp6.setName("Start Hour");
fp6.setLowerLimit(0);
fp6.setDefault(0);

var fp7 = new FunctionParameter("nStartMin", FunctionParameter.NUMBER);
fp7.setName("Start Min");
fp7.setLowerLimit(0);
fp7.setDefault(0);

var fp8 = new FunctionParameter("nEndHour", FunctionParameter.NUMBER);
fp8.setName("End Hour");
fp8.setLowerLimit(0);
fp8.setDefault(24);

var fp9 = new FunctionParameter("nEndMin", FunctionParameter.NUMBER);
fp9.setName("End Min");
fp9.setLowerLimit(0);
fp9.setDefault(00);

var fp10 = new FunctionParameter("nEODHour", FunctionParameter.NUMBER);
fp10.setName("EOD Hour");
fp10.setLowerLimit(0);
fp10.setDefault(24);

var fp11 = new FunctionParameter("nEODMin", FunctionParameter.NUMBER);
fp11.setName("End Min");
fp11.setLowerLimit(0);
fp11.setDefault(00);

//ADDED formula parameters nProfitAmt and nStopAmt to allow
// user defined amounts for various symbols.

function main(nProfitAmt, nStopAmt, nIntStopAmt, nStartHour, nStartMin, nEndHour, nEndMin, nEODHour,
nEODMin )
{
ProfitTarget1 = nProfitAmt;

// Get Time Variables
vTime = getValue("Time", 0);
vHour = vTime.getHours();
vMin = vTime.getMinutes();

/*----------------------------------------------------------------
// If new trade, get entry price - used for our profit target
----------------------------------------------------------
This portion of the code identifies if a new trade has been issued
and records the entry price of our trade. If no new trade has been
triggered (nNewTrade == 1), then this portion of the code is ignored.
----------------------------------------------------------*/

if (Strategy.isInTrade() == true && (nNewTrade == 1)) {
// This sets the expected entry price of the current short trade
// nTradeEntryPrice = open();
// This switches off the nNewTrade variable
nNewTrade = 0; // Turn off NEW TRADE switch
}

var nDisplayStop = null; //ADDED
var bPosition = false; //ADDED
if (Strategy.isInTrade() == true) { //ADDED
var nDisplayStop = nStopLevel; //ADDED
var bPosition = true;
if (Strategy.isLong() == true) setBarBgColor(Color.green); //ADDED
if (Strategy.isShort() == true) setBarBgColor(Color.red); //ADDED
} else { //ADDED
nStopLevel = null; //ADDED
} //ADDED

/*----------------------------------------------------------------
// Test for Profit Target Breach (ProfitTarget1)
----------------------------------------------------------
This portion of the code identifies if our profit target has
been reached and exits our trades.
----------------------------------------------------------*/

if (Strategy.isInTrade() == true && (Strategy.isShort() == true)) {
// Check if the profit target has been reached/breached
if (low() <= (nTradeEntryPrice - ProfitTarget1)) {
// Profit Target Breached, Execute Cover order.
Strategy.doCover("Short PT1 Exit", Strategy.STOP, Strategy.THISBAR,
Strategy.getDefaultLotSize(), (nTradeEntryPrice - ProfitTarget1));
}
}

if (Strategy.isInTrade() == true && (Strategy.isLong() == true)) {
// Check if the profit target has been reached/breached
if (high() >= (nTradeEntryPrice + ProfitTarget1)) {
// Profit Target Breached, Execute Sell order.
Strategy.doSell("Long PT1 Exit", Strategy.STOP, Strategy.THISBAR,
Strategy.getDefaultLotSize(), (nTradeEntryPrice + ProfitTarget1));
}
}

if (Strategy.isInTrade() == true && (Strategy.isShort() == true)) {
// Check if the profit target has been reached/breached
if (high() >= nStopLevel) {
// Stop Breached, Execute Cover order.
Strategy.doCover("Short T-Stop Exit", Strategy.STOP, Strategy.THISBAR,
Strategy.getDefaultLotSize(), nStopLevel);
}
}

if (Strategy.isInTrade() == true && (Strategy.isLong() == true)) {
// Check if the profit target has been reached/breached
if (low() <= nStopLevel) {
// Stop Breached, Execute Sell order.
Strategy.doSell("Long T-Stop Exit", Strategy.STOP, Strategy.THISBAR,
Strategy.getDefaultLotSize(),nStopLevel);
}
}

/*----------------------------------------------------------
This portion of the code calculates and sets the new stop levels.
----------------------------------------------------------*/

if (Strategy.isInTrade() == true && (Strategy.isShort() == true)) {
nStopLevel = high(-1) + nStopAmt; //ADDED - replace 0.25 with nStopAmt
}

if (Strategy.isInTrade() == true && (Strategy.isLong() == true)) {
nStopLevel = low(-1) - nStopAmt; //ADDED - replace 0.25 with nStopAmt
}

/*----------------------------------------------------------------
// Identify new trade signals
----------------------------------------------------------------- */

//ADDED - bPostion logic to the following line to prevent new entry
// on the same bar that an exit trade occured.
// (Strategy.isInTrade() == false && bPosition == false) {
// if ( bPosition == false) {
//if (/*Buy Condition*/)) {

if (((vHour > nStartHour) && (vHour < nEndHour)) ||
((vHour == nStartHour) && (vMin >= nStartMin))) {
if (
vStoch20_3.getValue(StochStudy.SLOW) > vStoch20_3.getValue(StochStudy.SLOW, -1) &&

{ //ADDED
nNewTrade = 1; // New Trade Trigger
nsignal = 1; // Buy Signal - Trade Type
}
//if (/*Sell Condition*/) {
if (
vPriceOsc5_20.getValue(OscStudy.OSC) < vPriceOsc5_20.getValue(OscStudy.OSC, -1) &&

{
nNewTrade = 1; // New Trade Trigger
nsignal = -1; // Sell Signal - Trade Type
}
}

/*----------------------------------------------------------------
// Execute Trades ONLY if nNewTrade is triggered ....
----------------------------------------------------------------- */

if (nNewTrade == 1) { //Execute New Trade
// new or reversed trade position
if (Strategy.isInTrade() == true) {
if ((nsignal > 0) && (Strategy.isShort() == true)) {
Strategy.doCover("Exit Short", Strategy.MARKET, Strategy.NEXTBAR);
Strategy.doLong("Rev To Long", Strategy.MARKET, Strategy.NEXTBAR);
Alert.email("Go Long ", getSymbol()+" "+getInterval()) ;
Strategy.setStop(low()- nIntStopAmt)
nStopLevel = low(-1) - nStopAmt;
nTradeEntryPrice = open();
}
if ((nsignal < 0) && (Strategy.isLong() == true)) {
Strategy.doSell("Exit Long", Strategy.MARKET, Strategy.NEXTBAR);
Strategy.doShort("Rev To Short", Strategy.MARKET, Strategy.NEXTBAR);
Alert.email("Go Short ", getSymbol()+" "+getInterval());
Strategy.setStop(high()+ nIntStopAmt);
nStopLevel = high(-1) + nStopAmt;
nTradeEntryPrice = open();
}
} else {
if ((nsignal > 0)) {
Strategy.doLong("Go Long", Strategy.MARKET, Strategy.NEXTBAR);
Alert.email("Go Long ", getSymbol()+" "+getInterval());
Strategy.setStop(low()- nIntStopAmt);
nStopLevel = low(-1) - nStopAmt;
nTradeEntryPrice = open();
}
if ((nsignal < 0)) {
Strategy.doShort("Go Short", Strategy.MARKET, Strategy.NEXTBAR);
Alert.email("Go Short ", getSymbol()+" "+getInterval());
Strategy.setStop(high()+ nIntStopAmt);
nStopLevel = high(-1) + nStopAmt;
nTradeEntryPrice = open();
}
} // end if IN TRADE
} // END EXECUTE NEW TRADE

var nDisplayProfit = null;
var nTradePnl = null;

if (Strategy.isLong() == true && nNewTrade == 0) nDisplayProfit = (nTradeEntryPrice + ProfitTarget1);
if (Strategy.isLong() == true && nNewTrade == 0) nTradePnl = (nTradeEntryPrice + close(0));
if (Strategy.isShort() == true && nNewTrade == 0) nDisplayProfit = (nTradeEntryPrice - ProfitTarget1);
if (Strategy.isShort() == true && nNewTrade == 0) nTradePnl = (nTradeEntryPrice - close(0));
if ( ((vHour > nEODHour)) || ((vHour == nEODHour) && (vMin >= nEndMin)) ) { //Close all OPEN Trades
if (Strategy.isInTrade() == true) {
if ((Strategy.isShort() == true)) {
Strategy.doCover("Close Short EOD", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getDefaultLotSize(),0);
}
if ((Strategy.isLong() == true)) {
Strategy.doSell("Close Long EOD", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getDefaultLotSize(),0);
}
}
}
return new Array( nDisplayProfit, nDisplayStop, nTradeEntryPrice); // ADDED
}

**ACM** · 09-14-2005, 04:13 AM

demarcog
I would suggest you review the code you posted as it contains several errors (incomplete if() statements, studies not declared, etc).
Also when posting code please format it using either the PHP or CODE tags as suggested in the Posting Guidleines for EFS Studies forum.
Alex

**demarcog** · 09-14-2005, 07:38 AM

Alex,

Sorry about that I made an error copying. Here is the EFS, I'll read the document about formatting strategies. I am really having a difficult coming up with a coding technique for stops and profit targets that is accurate and appreciate very much your help.

Thanks Glen

PHP Code:


var nNewTrade; // New Trade Trigger 0 = OFF / 1 = ON

var nsignal; // returns the direction of the trading signal

var nTradeEntryPrice; 

var ProfitTarget1 ;

var nStopLevel;

var nStartHour = 0; // Start time to allow trades

var nStartMin = 0;

var nEndHour = 24; // Ending time to allow trades

var nEndMin = 00; 

var nEODHour = 24; // End of Day trade close out time

var nEODMin = 00;

var nStarttime = 0;

var nEndtime = 24;



var vStoch20_3 = new StochStudy(140,5,5);





function preMain() {

    setPriceStudy(true);

    setStudyTitle("Trend-Shortterm");

    //setCursorLabelName("PT CODE");

    setCursorLabelName("Profit Target", 0); //ADDED

    setCursorLabelName("Stop Target", 1); //ADDED

    setCursorLabelName("Trade Price", 2); //ADDED

    setDefaultBarFgColor(Color.yellow, 0); //ADDED

    setDefaultBarFgColor(Color.lime, 1);

    setDefaultBarFgColor(Color.grey, 2);

    setPlotType(PLOTTYPE_FLATLINES, 0); //ADDED

    setPlotType(PLOTTYPE_FLATLINES, 1); //ADDED

   

    

    var fp1 = new FunctionParameter("nProfitAmt", FunctionParameter.NUMBER); //ADDED

    fp1.setName("Profit Target Amount"); //ADDED

    fp1.setLowerLimit(0.0001); //ADDED

    fp1.setDefault(.0025); //ADDED



    var fp2 = new FunctionParameter("nStopAmt", FunctionParameter.NUMBER); //ADDED

    fp2.setName("Trailing Stop  Amount"); //ADDED

    fp2.setLowerLimit(0.0001); //ADDED

    fp2.setDefault(0.0020); //ADDED

    

    var fp3 = new FunctionParameter("nIntStopAmt", FunctionParameter.NUMBER); //ADDED

    fp3.setName("Initial Stop  Amount"); //ADDED

    fp3.setLowerLimit(0.0001); //ADDED

    fp3.setDefault(0.0030); //ADDED

    

    var fp4 = new FunctionParameter("nAlevel1", FunctionParameter.NUMBER); //ADDED

    fp4.setName("A Level1  Amount"); //ADDED

    fp4.setLowerLimit(0); //ADDED

    fp4.setDefault(15); //ADDED

    

     var fp5 = new FunctionParameter("nAlevel2", FunctionParameter.NUMBER); //ADDED

    fp5.setName("A Level2  Amount"); //ADDED

    fp5.setLowerLimit(0); //ADDED

    fp5.setDefault(40); //ADDED

    

    var fp6 = new FunctionParameter("nStartHour", FunctionParameter.NUMBER); 

    fp6.setName("Start Hour"); 

    fp6.setLowerLimit(0); 

    fp6.setDefault(0);  

    

    var fp7 = new FunctionParameter("nStartMin", FunctionParameter.NUMBER); 

    fp7.setName("Start Min"); 

    fp7.setLowerLimit(0); 

    fp7.setDefault(0);

    

    var fp8 = new FunctionParameter("nEndHour", FunctionParameter.NUMBER); 

    fp8.setName("End Hour"); 

    fp8.setLowerLimit(0); 

    fp8.setDefault(24);  

    

    var fp9 = new FunctionParameter("nEndMin", FunctionParameter.NUMBER); 

    fp9.setName("End Min"); 

    fp9.setLowerLimit(0); 

    fp9.setDefault(00); 

    

    var fp10 = new FunctionParameter("nEODHour", FunctionParameter.NUMBER); 

    fp10.setName("EOD Hour"); 

    fp10.setLowerLimit(0); 

    fp10.setDefault(24);  

    

    var fp11 = new FunctionParameter("nEODMin", FunctionParameter.NUMBER); 

    fp11.setName("End Min"); 

    fp11.setLowerLimit(0); 

    fp11.setDefault(00); 

    

    var fp12 = new FunctionParameter("nRevel1", FunctionParameter.NUMBER); 

    fp12.setName("R Level1"); 

    fp12.setLowerLimit(0.0001); 

    fp12.setDefault(0.0016);

    

    var fp13 = new FunctionParameter("nRevel2", FunctionParameter.NUMBER); 

    fp13.setName("R Level2"); 

    fp13.setLowerLimit(0.0001); 

    fp13.setDefault(0.0050);

}







//ADDED formula parameters nProfitAmt and nStopAmt to allow

// user defined amounts for various symbols.



function main(nProfitAmt, nStopAmt, nIntStopAmt, nAlevel1, nAlevel2, nStartHour, nStartMin, nEndHour, nEndMin, nEODHour, 

              nEODMin, nRlevel1, nRlevel2 ) 

{

    ProfitTarget1 = nProfitAmt; 

    

    //  Get Time Variables 

  vTime = getValue("Time", 0);

  vHour = vTime.getHours();

  vMin = vTime.getMinutes();

 

  

    

/*----------------------------------------------------------------

// If new trade, get entry price - used for our profit target

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

This portion of the code identifies if a new trade has been issued 

and records the entry price of our trade. If no new trade has been 

triggered (nNewTrade == 1), then this portion of the code is ignored.

----------------------------------------------------------*/



    if (Strategy.isInTrade() == true && (nNewTrade == 1)) {

        // This sets the expected entry price of the current short trade

    //    nTradeEntryPrice = open();

        // This switches off the nNewTrade variable

        nNewTrade = 0; // Turn off NEW TRADE switch

    }



    var nDisplayStop = null; //ADDED

    var bPosition = false;  //ADDED

    if (Strategy.isInTrade() == true) {  //ADDED

        var nDisplayStop = nStopLevel;  //ADDED

        var bPosition = true;

        if (Strategy.isLong() == true) setBarBgColor(Color.green);  //ADDED

        if (Strategy.isShort() == true) setBarBgColor(Color.red);  //ADDED

    } else {  //ADDED

        nStopLevel = null;  //ADDED

    }  //ADDED



    /*----------------------------------------------------------------

    // Test for Profit Target Breach (ProfitTarget1)

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

    This portion of the code identifies if our profit target has 

    been reached and exits our trades.

    ----------------------------------------------------------*/



    if (Strategy.isInTrade() == true && (Strategy.isShort() == true)) {

        // Check if the profit target has been reached/breached

        if (low() <= (nTradeEntryPrice - ProfitTarget1)) {

            // Profit Target Breached, Execute Cover order.

            Strategy.doCover("Short PT1 Exit", Strategy.STOP, Strategy.THISBAR, 

                Strategy.getDefaultLotSize(), (nTradeEntryPrice - ProfitTarget1));

        }

    }



    if (Strategy.isInTrade() == true && (Strategy.isLong() == true)) {

        // Check if the profit target has been reached/breached

        if (high() >= (nTradeEntryPrice + ProfitTarget1)) {

            // Profit Target Breached, Execute Sell order.

            Strategy.doSell("Long PT1 Exit", Strategy.STOP, Strategy.THISBAR, 

                Strategy.getDefaultLotSize(), (nTradeEntryPrice + ProfitTarget1));

        }

    }





    if (Strategy.isInTrade() == true && (Strategy.isShort() == true)) {

        // Check if the profit target has been reached/breached

        if (high() >= nStopLevel) {

            // Stop Breached, Execute Cover order.

            Strategy.doCover("Short T-Stop Exit", Strategy.STOP, Strategy.THISBAR, 

                Strategy.getDefaultLotSize(), nStopLevel);

        }

    }



    if (Strategy.isInTrade() == true && (Strategy.isLong() == true)) {

        // Check if the profit target has been reached/breached

        if (low() <= nStopLevel) {

            // Stop Breached, Execute Sell order.

            Strategy.doSell("Long T-Stop Exit", Strategy.STOP, Strategy.THISBAR, 

                Strategy.getDefaultLotSize(),nStopLevel);

        }

    }





    /*----------------------------------------------------------

    This portion of the code calculates and sets the new stop levels.

    ----------------------------------------------------------*/



    if (Strategy.isInTrade() == true && (Strategy.isShort() == true)) {

        nStopLevel = high(-1) + nStopAmt;  //ADDED - replace 0.25 with nStopAmt

    }



    if (Strategy.isInTrade() == true && (Strategy.isLong() == true)) {

        nStopLevel = low(-1) - nStopAmt; //ADDED - replace 0.25 with nStopAmt

    }





    /*----------------------------------------------------------------

    // Identify new trade signals

    ----------------------------------------------------------------- */



    //ADDED - bPostion logic to the following line to prevent new entry

    //        on the same bar that an exit trade occured.

  // (Strategy.isInTrade() == false && bPosition == false) {

 //  if ( bPosition == false) {

        //if (/*Buy Condition*/)) {

        

         if (((vHour > nStartHour) && (vHour < nEndHour)) ||

     ((vHour == nStartHour) && (vMin >= nStartMin))) {    

        if (          

           vStoch20_3.getValue(StochStudy.SLOW) > vStoch20_3.getValue(StochStudy.SLOW, -1) ) 



           {  //ADDED

            nNewTrade = 1; // New Trade Trigger

            nsignal = 1; // Buy Signal - Trade Type

        }

        //if (/*Sell Condition*/) {

        if (

            vStoch20_3.getValue(StochStudy.SLOW) < vStoch20_3.getValue(StochStudy.SLOW, -1)  ) 

         {

            nNewTrade = 1; // New Trade Trigger

            nsignal = -1; // Sell Signal - Trade Type

        }

   }





    /*----------------------------------------------------------------

    // Execute Trades ONLY if nNewTrade is triggered ....

    ----------------------------------------------------------------- */



    if (nNewTrade == 1) { //Execute New Trade

        // new or reversed trade position

        if (Strategy.isInTrade() == true) {

            if ((nsignal > 0) && (Strategy.isShort() == true)) {

                Strategy.doCover("Exit Short", Strategy.MARKET, Strategy.NEXTBAR);

                Strategy.doLong("Rev To Long", Strategy.MARKET, Strategy.NEXTBAR);

                 Alert.email("Go Long ", getSymbol()+" "+getInterval()) ;

                Strategy.setStop(low()- nIntStopAmt)

                nStopLevel = low(-1) - nStopAmt;

                 nTradeEntryPrice = open();

            }

            if ((nsignal < 0) && (Strategy.isLong() == true)) {

                Strategy.doSell("Exit Long", Strategy.MARKET, Strategy.NEXTBAR);

                Strategy.doShort("Rev To Short", Strategy.MARKET, Strategy.NEXTBAR);

                 Alert.email("Go Short ", getSymbol()+" "+getInterval());

                Strategy.setStop(high()+ nIntStopAmt);

                nStopLevel = high(-1) + nStopAmt;

                 nTradeEntryPrice = open();

            }

        } else {

            if ((nsignal > 0)) {

                Strategy.doLong("Go Long", Strategy.MARKET, Strategy.NEXTBAR);

                Alert.email("Go Long ", getSymbol()+" "+getInterval());

                Strategy.setStop(low()- nIntStopAmt);

                nStopLevel = low(-1) - nStopAmt;

                 nTradeEntryPrice = open();

            }

            if ((nsignal < 0)) {

                Strategy.doShort("Go Short", Strategy.MARKET, Strategy.NEXTBAR);

                Alert.email("Go Short ", getSymbol()+" "+getInterval());

                Strategy.setStop(high()+ nIntStopAmt);

                nStopLevel = high(-1) + nStopAmt;

                 nTradeEntryPrice = open();

            }

        } // end if IN TRADE

    } // END EXECUTE NEW TRADE

    

    var nDisplayProfit = null; 

     var nTradePnl = null;

     

    if (Strategy.isLong() == true && nNewTrade == 0) nDisplayProfit = (nTradeEntryPrice + ProfitTarget1); 

     if (Strategy.isLong() == true && nNewTrade == 0) nTradePnl = (nTradeEntryPrice + close(0));

    if (Strategy.isShort() == true && nNewTrade == 0) nDisplayProfit = (nTradeEntryPrice - ProfitTarget1);

    if (Strategy.isShort() == true && nNewTrade == 0) nTradePnl = (nTradeEntryPrice - close(0));  

if ( ((vHour > nEODHour)) || ((vHour == nEODHour) && (vMin >= nEndMin)) ) {  //Close all OPEN Trades

        if (Strategy.isInTrade() == true) {

        if ((Strategy.isShort() == true)) {

          Strategy.doCover("Close Short EOD", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getDefaultLotSize(),0);

        } 

        if ((Strategy.isLong() == true)) {

          Strategy.doSell("Close Long EOD", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getDefaultLotSize(),0);    

        }

      }

}

   return new Array( nDisplayProfit, nDisplayStop, nTradeEntryPrice); // ADDED

}

**ACM** · 09-14-2005, 09:31 AM

demarcog
The first thing you will want to do is fix the problem with the display of the profit target as that will help you understand why you are seeing the discrepancies you mentioned.
Note that at this time the profit target ie nDisplayProfit in your return statement is not displaying on the chart. To resolve this problem remove && nNewTrade == 0 in lines 272 and 274.
Once you plot the profit target you will also see that it is related to the Open of the bar that triggers the trade. nTradeEntryPrice in fact is set to open() in lines 241, 249, 257 and 264. However in your strategy commands you are using Strategy.MARKET and Strategy.NEXTBAR in lines 236, 237, 244, 245, 253, 260 hence the Open of the following bar which is the price that the back tester will instead use as the entry price. This will inevitably result in a discrepancy.
To resolve this issue replace open() with open(1).
Lastly remember that this script should be used only for backtesting and not in real time
Alex

PS. If you go into Edit mode of your message you can see how the PHP tags are used to format the code in a message.

**demarcog** · 09-14-2005, 10:02 AM

Alex,

Thanks very much for the help in resolving the programming errors.

You comment about these scripts being for backtesting only concens me. The systems I'm working on are backtested to determine whether they will be eventuially traded real time which is what I'm doing now for a firm and (we actually have several hundred Esignal users).

Your comment seems to suggest that the results derived through backtesting and in real time will not be the same. If this is true that is a real problem for me as my job depends on the validity of my backtested resuilts.

I very much need to know what specifically has to be changed in order to have the backtesting results match the realtime results using intraday data. I'm preplexed by the implication that backtesting will yield one set of results, but "real" time actual trading yields another. What would be the point of backtesting. I realize that Esignal cannot determine whether an order will be filled at a given price, but that aside the only tested results that matter are realtime as that's when trading occurs, in realtime.

Please help me out here as my scripts need to relect realtime results only.

Thanks Again for all your help.

PS. I tried to go into edit more as you suggested but denied permission?

**ACM** · 09-14-2005, 11:26 AM

demarcog
You have misunderstood what I said. I said that the script as it is currently written should be used only for backtesting.
The Strategy Object is only intended for use with the Strategy Analyzer, not for real time use of a trading strategy. If you want to run the same strategy in real time you will have to modify the script for that condition.
For example in real time you cannot use Strategy.NEXTBAR when a condition is true. This is because the price of the next bar is unknown in real time (I believe I already showed you this very same issue in another thread). So the code for real time would have to be something like the following example

PHP Code:


if(getBarState()==BARSTATE_NEWBAR){

     if(your_condition_at_prior_bar == true){

          doLong(open_of_this_bar)

//etc etc

As you can see the end result is the same (ie buy at the Open of the bar that follows the signal) except that is accomplished in a different way.

Having said that I believe that expecting any strategy to yield the same results in back testing and in real time is unrealistic.
In real time there is no guarantee that any of your orders will be filled or filled at the price and/or for the same amount of contracts/shares that you use in back testing.
So, what is the point of back testing? Back testing is used to test whether or not the basic hypothesis for a trading strategy is valid. But that does not mean that in real life you will be getting the same exact results.
Lastly, as important as this code is to you, it may be in your best interest to hire an EFS Consultant.
Alex

**demarcog** · 09-14-2005, 12:41 PM

I think I may have read too much and did misunderstand. Thanks for clarifying that for me and providing me with the code example.

I agree that there is an assumption in backtesting that because a price exists in the price data a successful trade can and will be executed at that price in realtime.

This is what you are referring to and couldn't agree with you more (that where slippage comes in). I guess for that reason backtesting results will always vary somewhat from real results.

The assumption I'm refering to is that if a price point exists a trade was executed (minus slippage), which is great. Esignal's java script is the most awesome tool available that provides a facility to test an infinate number of trading ideas.

I'm just trying to find the correct code to as closely as possible approximate the most realistic results, realizing there will be variation.

Can I have one script for both backtesting and realtime that uses for example BARSTATE_NEWBAR?

BTW, all the code that I am using came from recomendations in a variety of threads by other users with questions about stops and profits targets and the excellent esignal documents. Do you have an updated example of profit target and stop logic as the techniques have evolved over time and I may have missed the latest and mos effective of accomplishing this.

Thanks again for all you very helpful and valuable assistance.

**ACM** · 09-14-2005, 02:24 PM

demarcog

Can I have one script for both backtesting and realtime that uses for example BARSTATE_NEWBAR?

It is possible but not recommended IMHO. While using a logic based on completed bars makes the two sets of code much more interchangable (and minimizes possible differences) there are still functions that are specific to either set that would only add an unnecessary layer of complexity when used in the same script.
I still think you are better off writing one set for back testing using the strategy object and the other for use in real time with the broker functions or whatever other functions you may require under those conditions.
Alex

Announcement

Profit Target exit appears to be getting out well below profit target level.

Profit Target exit appears to be getting out well below profit target level.

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