Strategy analyzer anomaly?

[andyw]

I have a simple breakout trading system, which enters on a stop when the price is above/below certain levels. I have also set the system to colour bars blue/red depending on whether the system is long/short.

I have discovered a puzzling inconsistency between this code and the strategy analyzer. I have written the code so that a long position can only be entered if the system is not already long. However, it appears that as far as strategy analyzer is concerned, this is not working properly. For example, I have one trade this morning where a trade was triggered, but the stop loss was hit on the same bar and the trade exited.

However the entry condition was also true on the following bar. The bar colouring code identified this and flagged the bars accordingly, but the strategy analyzer completely ignored the trade. My suspicion is that strategy analyzer may not be detecting that the trade on the previous bar has exited, though it may of course be something else.

The entry logic is:
if(high() > LastHigh && !Strategy.isLong()) {
Strategy.doLong("SHLong", Strategy.STOP, Strategy.THISBAR,Strategy.DEFAULT,LastHigh)
;}

The bar colouring code is:
if(Strategy.isLong()){
setPriceBarColor(Color.blue) ;}

Any suggestions?

[eSignal_JasonK]

Hello andyw,

Please post your entire formula so we can do some testing.

Thanks,

[andyw]

Many thanks Jason - see below. I've also put the code for the called file "MLR Test.efs" at the bottom


function preMain() {
setPriceStudy(true);
setColorPriceBars(true);
setDefaultPriceBarColor(Color.grey);
setStudyTitle("LSSTest");
setCursorLabelName("LSSTest");



setDefaultBarFgColor(Color.blue, 0);
setDefaultBarFgColor(Color.RGB(192,75,0), 1);
}
var LastHigh = 0;
var LastLow = 0;
var myArray = new Array(10);
var myValue = null;

function main(nlengthOpen,noffsetOpen,nlengthHigh,noffsetHi gh,nlengthLow,noffsetLow,nlengthClose,noffsetClose ){

var offsetOpen = 5;
if (noffsetOpen != null) offsetOpen = noffsetOpen;
var offsetHigh = 5;
if (noffsetHigh != null) offsetHigh = noffsetHigh;
var offsetLow = 5;
if (noffsetLow != null) offsetLow = noffsetLow;
var offsetClose = 5;
if (noffsetClose != null) offsetClose = noffsetClose;

if(nlengthOpen == null)
nlengthOpen = 20;
if(nlengthHigh == null)
nlengthHigh = 20;
if(nlengthLow == null)
nlengthLow = 20;
if(nlengthClose == null)
nlengthClose = 20;

var MLROpen = call("MLR Test.efs",nlengthOpen,open,noffsetOpen);
var MLRHigh = call("MLR Test.efs",nlengthHigh,high,noffsetHigh);
var MLRLow = call("MLR Test.efs",nlengthLow,low,noffsetLow);
var MLRClose = call("MLR Test.efs",nlengthClose,close,noffsetClose);





if (high() < high(-1) &&
high(-1) > high(-2) &&
high(-2) > high(-3) ){
LastHigh = high(-1);
}
if ( low() > low(-1) &&
low(-1) < low(-2) &&
low(-2) < low(-3) ){
LastLow = low(-1);
}


if( high() > LastHigh && !Strategy.isLong()) {
Strategy.doLong("SwHiLong", Strategy.STOP, Strategy.THISBAR,Strategy.DEFAULT,LastHigh)
;}


if(low() < LastLow){if(!Strategy.isShort()) {
Strategy.doShort("SwLoShort", Strategy.STOP, Strategy.THISBAR,Strategy.DEFAULT, LastLow);}}

if(Strategy.isLong() && low() < MLRLow)
{Strategy.doSell("SwHiSellMLR",Strategy.STOP,Strat egy.THISBAR,Strategy.DEFAULT,MLRLow);}

if(Strategy.isShort() && high() > MLRHigh)
{Strategy.doCover("SwLoCoverMLR",Strategy.STOP,Str ategy.THISBAR,Strategy.DEFAULT,MLRHigh);}

if(Strategy.isLong()){
setPriceBarColor(Color.blue) ;}
else if(Strategy.isShort())
{setPriceBarColor(Color.RGB(192,75,0) );}


}


CODE FOR "MLR Test.efs"

function preMain()
{
setStudyTitle("MLRTest");
setCursorLabelName("MLRTest", 0);
setDefaultBarFgColor(Color.green, 0);
setPriceStudy(true);

}

var myArray = new Array(30);
var myValue = null;

function main(nlength,nval,noffset) {
var offset = 5;
if (noffset != null) offset = noffset;
var nBarState = getBarState();

if (nBarState == BARSTATE_NEWBAR && myValue != null) {
myArray.pop();
myArray.unshift(myValue); }

if(nval== null) {nval= close;}
if(nval=="open") {nval=open;}
if(nval=="high") {nval=high;}
if(nval=="low") {nval=low;}
if(nval=="close") {nval=close;}
if(nlength == null)
nlength = 20;





var sum = 0;
var i = 0;
var mt = 0;

for(i = nlength; i > 0; i--)
sum += (i - (nlength + 1) / 3) * nval(i - nlength);
wt = 6 / (nlength * (nlength + 1)) * sum
//return wt;

myValue = wt;
if (myValue == null) {
return;
}

if (myArray[offset] != null) {
return myArray[offset];
} else {
return;
}




}

[eSignal_JasonK]

Hello andyw,

I did some testing with your formula and changed the logic a bit. You weren't checking to see if a long or short was just entered before checking for a sell or cover condition. For example, if a long position was entered on bar X, your formula was then immediately checking for the sell condition on the same bar. One way to prevent a trade from being closed out on the same bar is to move your sell and cover conditions above your buy and short conditions. This way, your formula will have to at least wait until the next bar to allow a sell or cover.

I didn't experience the missing trade problem you were experiencing once I made these changes. Try this out and let me know if this formula is now working the way you intended it to. If you find any missing trades in the analyzer again, give me the specific details as to the symbol, interval and time template you are using.

function preMain() {
    setPriceStudy(true);
    setColorPriceBars(true);
    setDefaultPriceBarColor(Color.grey);
    setStudyTitle("LSSTest");
    setCursorLabelName("LSSTest");

    setDefaultBarFgColor(Color.blue, 0);
    setDefaultBarFgColor(Color.RGB(192,75,0), 1);
}

var LastHigh = 0;
var LastLow = 0;
var myArray = new Array(10);
var myValue = null;

function main(nlengthOpen,noffsetOpen,nlengthHigh,noffsetHigh,nlengthLow,noffsetLow,nlengthClose,noffsetClose){
    var offsetOpen = 5;
    if (noffsetOpen != null) offsetOpen = noffsetOpen;
    var offsetHigh = 5;
    if (noffsetHigh != null) offsetHigh = noffsetHigh;
    var offsetLow = 5;
    if (noffsetLow != null) offsetLow = noffsetLow;
    var offsetClose = 5;
    if (noffsetClose != null) offsetClose = noffsetClose;

    if(nlengthOpen == null)
    nlengthOpen = 20;
    if(nlengthHigh == null)
    nlengthHigh = 20;
    if(nlengthLow == null)
    nlengthLow = 20;
    if(nlengthClose == null)
    nlengthClose = 20;

    var MLROpen = call("MLR Test.efs",nlengthOpen,open,noffsetOpen);
    var MLRHigh = call("MLR Test.efs",nlengthHigh,high,noffsetHigh);
    var MLRLow = call("MLR Test.efs",nlengthLow,low,noffsetLow);
    var MLRClose = call("MLR Test.efs",nlengthClose,close,noffsetClose);
    if (MLROpen == null || MLRHigh == null || MLRLow == null || MLRClose == null)
        return;

    var h0 = high();
    var h1 = high(-1);
    var h2 = high(-2);
    var h3 = high(-3);
    if (h0 == null || h1 == null || h2 == null || h3 == null)
        return;
    var l0 = low();
    var l1 = low(-1);
    var l2 = low(-2);
    var l3 = low(-3);
    if (l0 == null || l1 == null || l2 == null || l3 == null)
        return;

    if (h0 < h1 && h1 > h2 && h2 > h3){
        LastHigh = h1;
    }
    if (l0 > l1 && l1 < l2 && l2 < l3){
        LastLow = l1;
    }

    if(Strategy.isLong() && l0 < MLRLow){
        Strategy.doSell("SwHiSellMLR",Strategy.STOP,Strategy.THISBAR,Strategy.DEFAULT,MLRLow);
    }

    if(Strategy.isShort() && h0 > MLRHigh){
        Strategy.doCover("SwLoCoverMLR",Strategy.STOP,Strategy.THISBAR,Strategy.DEFAULT,MLRHigh);
    } 

    if( h0 > LastHigh && LastHigh != 0 && !Strategy.isLong()) {
        Strategy.doLong("SwHiLong", Strategy.STOP, Strategy.THISBAR,Strategy.DEFAULT,LastHigh);
    }


    if(l0 < LastLow && LastLow != 0){
        if(!Strategy.isShort()) {
            Strategy.doShort("SwLoShort", Strategy.STOP, Strategy.THISBAR,Strategy.DEFAULT, LastLow);
        }
    }


    if(Strategy.isLong()){
        setPriceBarColor(Color.blue) ;
    } else if(Strategy.isShort()) {
        setPriceBarColor(Color.RGB(192,75,0) );
    }
} 

Thanks,