Back Testing

[tanita]

I´m lookimg for the formula for a backtest with
the RMI. (3,8)

1. if RMI > 80 go LONG
2. if RMI < 20 go SHORT

Can someone help me, how I provide this formula??

Thanks

[ACM]

tanita

I found two versions of the RMI indicator both coded by TS Support and available at their site and presumably in their group at FileShare.
Given that you were indicating two variables I took their alternative version of the RMI (which allows for that) and added the strategy as per your message.
The system goes long if RMI moves above 80, sells to close the long if RMI comes back below 80, goes short if RMI moves under 20 and covers shorts if it goes back above 20.
The entries for the strategy are on the Open of the bar following the one that generates the signal.
The enclosed image shows you how the indicator should appear.
Hope this helps

Alex

[ACM]

tanita

Here is a variant of the same strategy.
In this version the Buy and Sell are on a breakout of the high or low of the bar that generates the signal.
As of now the breakout is set for one tick of ES (0.25) but can be changed in Lines 94 and 99 of the formula to suit your needs.

Alex

[tanita]

Alex

Hi,
this formula ( test-rmi2-market) was exactly the correct one.

Cordial thanks and a nice day

[tanita]

Backtest Williams%R

Hi,
I´m looking for the formula for a backtest with
the Williams % R(14)

1. if Willi < -20, go LONG
2. if Willi < -80, go SHORT

Can someone help me, how I provide this formula??
Thanks and a nice day

[ACM]

tanita
The attached efs should do what you are asking
Alex

[tanita]

Backtest/ efs

Hi Alex,
thanks a lot.

Is there the possibility of a combination of three Indis as baking
test/ efs??

1. Go Long if (only)

Williams %R > -20 + Aroon up = 100 + RMI > 80

2. Go Short if (only)

Williams %R < -80 + Aroon down = 100 + RMI < 20

Thanks for your help and assistence

[ACM]

tanita
It is possible, but setting up the formula to calculate all three indicators and/or cross reference them is beyond what I am available to do at this time.
Alex

[tanita]

Backtest Time Template

Hi,
in the baking test time Template cannot be adjusted and
computed the daily end. (Intradaytrading!)

If one accomplishes a week test or a monthly test, the program further calculates and takes the time of in the evening to the next tomorrow as new order!

[ACM]

tanita

If you are saying that the Strategy Analyzer (ie Back Testing) does not close trades at the end of each day when intraday trading then that is correct. You need to specify that in the efs.
There are a number of examples that have been posted in this and other forums.
I agree though that it would be preferable if there were some sort of built-in routine that one could easily call when setting up the strategy.

I am not sure I fully understand your second point.

Alex

[tanita]

Back Test Times

Hi, Alex,
it is difficult to find out.

My trading houres are: 9:00 -19:00 and i start always with a new day on the same time.

A overnight position does not exist.

Nice and sonny day

[ACM]

tanita
Below are the links to a few threads that might provide some insight.
Alex

http://forum.esignalcentral.com/showthread.php?s=&threadid=1134

http://forum.esignalcentral.com/showthread.php?s=&threadid=1140

http://forum.esignalcentral.com/showthread.php?s=&threadid=511

Note: In the last thread there is a formula which contains a section that closes trades at the end of a session

[thedon]

linkproblem

if i try to follow the 3rd link, because i need the codesample for close the trade on the daysession end, i get the following message:

vBulletin Message
You do not have permission to access this page. This could be due to one of several reasons:
You do not have permission to access the page that you were trying to. Are you trying to edit someone else's post or trying to access administrative features? Check that you are allowed to perform this action in the Forum Rules.
If you are trying to post, the administrator may have disabled your account, or it may be awaiting activation.
Logged in user: thedon [logout]

could somebody help me ?
thanx

[ACM]

thedon
That link is to the Beta Forum for which you need to be registered.
Anyhow I just lifted the formula off that thread and am copying it here.
Alex

// works well on 85T with Profit = 1.5 and stop = 2.25

var nsignal = 0; 
var newTrade = 0;
var prevSAR =0;
var study = new StochStudy(6,2,2);

var nTradeEntryPrice; 
var ProfitTarget1 = 1.5;
var StopLoss1 = 1.5;
var ProfitTarget2 = 0.5;
var StopLoss2 = 1.5;
var Stop = 0;
var Profit = 0;

function preMain() {
setPriceStudy(true);
setStudyTitle("SAR Strategy");
}

function main() {
var vHL = high(-1) - low(-1);
var vVar = vHL * 0.5; // used for DrawTextRelative
var vAddVar = vVar * 0.5; // Used for DrawTextRelative 
var vFast = study.getValue(StochStudy.FAST, 0, -2);
var vSlow = study.getValue(StochStudy.SLOW, 0, -2); 

var SAR = callFunction("Downloads/SAR.efs","main",3.4,20);

if(SAR == null || vFast == null || vSlow == null) return;

if ((Strategy.isInTrade() == true) && (newTrade == 1)) 
{
nTradeEntryPrice = open(); 
newTrade = 0; // Turn off NEW TRADE switch
}

Strategy.doSell("LongPT Exit", Strategy.STOP, Strategy.THISBAR, Strategy.getDefaultLotSize(), (nTradeEntryPrice + 1));

// 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 - Profit)) 
{Strategy.doCover("ShortPT Exit", Strategy.STOP, Strategy.THISBAR, Strategy.getDefaultLotSize(), (nTradeEntryPrice - Profit));}

if (high() >= (nTradeEntryPrice + Stop)) 
{Strategy.doCover("ShortSL Exit", Strategy.STOP, Strategy.THISBAR, Strategy.getDefaultLotSize(), (nTradeEntryPrice + Stop));}
}

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

if (low() <= (nTradeEntryPrice - Stop)) // Profit Target Met Execute Cover order.
{Strategy.doSell("LongSL Exit", Strategy.STOP, Strategy.THISBAR, Strategy.getDefaultLotSize(), (nTradeEntryPrice - Stop));}

}

//Trailing Stops
if ((Strategy.isInTrade() == true) && (Strategy.isShort() == true)) {Stop = high(-1) + 0.5;}
if ((Strategy.isInTrade() == true) && (Strategy.isLong() == true)) {Stop = low(-1) - 0.5;}

if ((SAR < close()) && (prevSAR > close(-1))) 
{ newTrade = 1; // New Trade Trigger
nsignal = +1; // Buy Signal
Stop = StopLoss1;
Profit = ProfitTarget1;
}

if ( (Strategy.isInTrade() == false) && (SAR < close()) && ((vSlow[1] < vSlow[0]) && (vSlow[1] <= 38)) )
{ newTrade = 1; // New Trade Trigger
nsignal = +1; // Buy Signal
Stop = StopLoss2;
Profit = ProfitTarget2;
}

if ((SAR > close()) && (prevSAR < close(-1)))
{ newTrade = 1; // New Trade Trigger
nsignal = -1; // Sell Signal
Stop = StopLoss1;
Profit = ProfitTarget1;
}

if( (Strategy.isInTrade() == false) && (SAR > close()) && ((vSlow[0] < vSlow[1]) && (vSlow[1] >= 62)) )
{ newTrade = 1; // New Trade Trigger
nsignal = -1; // Sell Signal
Stop = StopLoss2;
Profit = ProfitTarget2;
}

prevSAR = SAR;

// Execute Trades ONLY if nNewTrade is triggered
if ((newTrade == 1) && 
((getHour() >= 18) && ((getHour() < 21))) 
) 
{ if (Strategy.isInTrade() == true) // reverse current trade position
{if ((nsignal > 0) && (Strategy.isShort() == true)) {Strategy.doCover("Exit Short", Strategy.MARKET, Strategy.NEXTBAR);}
if ((nsignal < 0) && (Strategy.isLong() == true)) {Strategy.doSell("Exit Long", Strategy.MARKET, Strategy.NEXTBAR);}
} 

if ((nsignal > 0)) 
{Strategy.doLong("Long", Strategy.MARKET, Strategy.NEXTBAR);
drawShapeRelative(0, low() - vVar, Shape.UPARROW, "", Color.lime, null,"buyShp" + getValue("time"));
drawTextRelative(0, low() - (vVar + vAddVar), "B", Color.black, Color.lime,Text.BOLD | Text.ONTOP, null, null, "buyTxt" + getValue("time"));
}
if ((nsignal < 0)) 
{Strategy.doShort("Short", Strategy.MARKET, Strategy.NEXTBAR);
drawShapeRelative(0, high() + vVar, Shape.DOWNARROW, "", Color.red, null,"sellShp" + getValue("time"));
drawTextRelative(0, high() + (vVar + vAddVar), "S", Color.black, Color.red,Text.BOTTOM | Text.BOLD | Text.ONTOP, null, null, "buyTxt" + getValue("time")); 
}
nsignal = 0; 
} // END EXECUTE NEW TRADE


if (getHour() == 21 && getMinute() == 05)
{ // Close out at this time each day
if (Strategy.isShort())
{Strategy.doCover("EOD exit", Strategy.MARKET, Strategy.NEXTBAR);
nsignal = 0;}
else if (Strategy.isLong())
{Strategy.doSell("EOD exit", Strategy.MARKET, Strategy.NEXTBAR);
nsignal = 0;}
} 
return ;
} 

[thedon]

Hi Alex,

thank you verry much !
i think this should help ;-)

Alex