back testing

[InvGrp2]

I have a very simple trading idea and would like to be able to back test it.

Where can I get some info on writing the needed formula.

Bruce

[ACM]

Bruce
in the EFS Help Center and Library there is a section called Guide to Developing EFS Stratgeies and another one called Back Testing Help
Alex

[InvGrp2]

Alex:

Is there a section where there are back testing studies/systems already completed?

I wanted to start off with a simple parabolic study/system and go from there (aways in the market and reverse when the parabolics change (actually reverse on the open of the 2nd bar)?

Bruce

[ACM]

Bruce
You should have a few efs already in the Back Testing subfolder of your Formulas folder. Those should give you an idea of the construct.
Also do a Search in the Bulletin Board as there have been many posts with examples regarding this topic.
Alex

[JayF]

I had this on my PC from awhile back. It just may do the trick.

[InvGrp2]

Jay:

Thanks....

I was wondering how I could enter on the 2nd bar versus the next bar.

Also, how do I go about doing some back testing and generate reports?

Bruce

[JayF]

To intiate the trade one more bar out, you will need to check for the condition against one bar prior then what's currently being processed. Using the code already posted make this change to lines 43-46.

   if (vTrend == null) {
        if (study.getValue(ParabolicStudy.STOP,-1) >= high(-1)) vTrend = "Down";
        if (study.getValue(ParabolicStudy.STOP,-1) <= low(-1)) vTrend = "Up";
    } 

[JayF]

Also line 49 and 67 will need to be changed in the same fashion. Just be sure to change the nSAR part and not the vTrend part.

[InvGrp2]

Jay:

I'm very new to programing and I think I've done your corrections incorrectly.

Could you take a look at it and give me some suggestions.

Bruce

[JayF]

This should do the trick. I cleaned up the code alot, and just simplified it.

[InvGrp2]

Jay:

Looks great but it seems to enter on the 3rd bar.....

Anyway to get it to enter on the open of the 2nd bar?

Bruce

P.S. I would prefer not to use a market order....either open or close.

[JayF]

Here's the corrected version. I misunderstood what you were looking for. As a quick FYI, Strategy.MARKET uses the opening price. To use this in the back tester, right-click a chart you wish to apply it to, then select Tools --> Back Testing...

[InvGrp2]

Jay:

Thanks you've been very helpful.

One last thing:

I use 24 hr data but only trade from 6:30 - 12:30 PST.

Is it possible to only enter trades after 6:30 and exit all open positions at 12:30.

Bruce

P.S. I was unable to find anything that would show me how to to a time period in the study.

Bruce

[InvGrp2]

Jay:

I just viewed one of the reports and it looks like it's only taking the long trades (not real sure I'm correct on this).

I'd like to be able to enter on the 1st parabolic change after the market opens (5:20 ZN - 6:30 ES) and SAR each time the parabolics change.....along with exiting all open positions at the end of the day (1:15).

Hope you can help.

Bruce

[JayF]

I'm not great at working with time based trades. Hopefully, someone else can step in and assist with that.

There was one remaining bug on line 38. Instead of Strategy.doShort(), which will close and reverse the position, it was using Strategy.doSell, which was just closing the position.