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Does anyone know if it is possible to restrict 24hr data in probacktest to a period during the day. For example I want to view 24hr data but only wish to include signals in probacktest delivered between 07:00 and 23:00.

REM STARC Bands indicator

SMA= AVERAGE[12](close)
upper = 1.9* AVERAGETRUERANGE[5](close)
lower = 2.1* AVERAGETRUERANGE[5](close)
ind1 = close
ind2 = open
ind3 = RSI[14](close)
upperband=SMA+upper
lowerband=SMA-lower


REM Buy
c1 = (ind1 < lowerband and ind1 < ind2)
c2 = (ind3 > 52 or ind1 > upperband)

IF c1 AND CURRENT TIME IS BETWEEN 08:00 AND 22:00 NOT LONGONMARKET THEN
BUY 1 SHARES AT MARKET THISBARONCLOSE
ENDIF

REM Sell

IF c2 THEN
SELL AT MARKET THISBARONCLOSE
ENDIF

REM Short

c3 = (ind1 > upperband and ind1 > ind2)
c4 = (ind3 < 45 or ind1 < lowerband)

IF c3 AND CURRENT TIME IS BETWEEN 08:00 AND 22:00 AND NOT SHORTONMARKET THEN
SELLSHORT 1 SHARES AT MARKET THISBARONCLOSE
ENDIF


REM Exit short

IF c4 THEN
EXITSHORT AT MARKET THISBARONCLOSE
ENDIF

cheers

You could just wrap your code with this.

IF HOUR >= 7 AND HOUR <= 23 THEN

ENDIF

However the functions you are using would mean data prior to 7am would still be included.

At 7am the average function would include data from 2am thru 6am.

Good Morning Sgt.Iria.

When you say the average function would include data from 2am thru 6am would that not depend on which timeframe you are running the charts, would say a 5min chart only include date from 6am.

Also when you say wrap your code does that mean it goes before all or is in the IF instruction as i have it in the code shown.

Many thanks for your help once again, I trust you are well ?

Chris

Is it possible to also code a maximum number of entries per position. I am using the following code which means no entries with 8 periods of the previous one but wish to restrict the maximum number of entries.

Many thanks for any help.



REM STARC Bands indicator

once wait=0

if onmarket then
wait = wait + 1
else
wait = 0
endif

cwait = (wait = 0 or wait > 8)

SMA= AVERAGE[a](weightedclose)
upper = 1.9* AVERAGETRUERANGE[b](weightedclose)
lower = 2.1* AVERAGETRUERANGE[b](weightedclose)
ind4 = close
ind5 = open
ind6 = RSI[14](weightedclose)
ind7 = WeightedAverage[c](Stochastic[14,1](weightedclose))
upperband=SMA+upper
lowerband=SMA-lower
midband = (upperband+lowerband)/2
midupper = (midband+upperband)/2
midlower = (midband+lowerband)/2

REM Buy
c1 = (ind7 > ind7[1] and ind4 < lowerband and ind4 < ind5)
c2 = (ind6 > 55 or ind4 > midupper)

IF c1 AND cwait AND HOUR >=8 AND HOUR <=20 THEN
BUY 1 SHARES AT MARKET THISBARONCLOSE
wait =1
ENDIF

REM Sell

IF c2 AND HOUR >=8 AND HOUR <=20 THEN
SELL AT MARKET REALTIME
ENDIF

REM Short

c3 = (ind7 < ind7[1] and ind4 > upperband and ind4 > ind5)
c4 = (ind6 < 45 or ind4 < midlower)

IF c3 AND cwait AND HOUR >=8 AND HOUR <=20 THEN
SELLSHORT 1 SHARES AT MARKET THISBARONCLOSE
wait =1
ENDIF


REM Exit short

IF c4 AND HOUR >=8 AND HOUR <=20 THEN
EXITSHORT AT MARKET REALTIME
ENDIF

Cheers

saidtomuch

Just a quick question, on the functions list there is a "DClose" which is Daily Close, do you know if this applies to 16.30 on the FTSE for example and 21.00 on the S&P or is it the close of play on the chart, I imagine the latter. So my next question would be, can a close of trading price be included in a code ie for a probacktest.

IF close < "close @ 16.30" THEN BUY

Dclose(0) will return current price if the market is open or the daily close if the market is closed but your still in the same day. DClose(1..) will return yesterdays going backwards. My understanding is that this is universal to all markets, although I do find inconsistencies in PRT from time to time so make sure you check it is the case by turning 'show positions on' when your viewing your pro back test you can see where and at what price the position was opened and confirm.

Not sure what your after but here is a stab at it:

IF Close < Dclose(1) THEN
BUY 1000 SHARES AT DCLOSE(1) LIMIT
ENDIF

(Check the buy statement code Im doing it from memory)

This would check if the current close is less than yesterdays close and open a limit order buy @ yesterdays close price, which may or may not get hit.

If you want to open an order at a specific time you could say:

IF (close < dclose(1)) AND (hour = 16 and minute = 30) THEN
BUY 1000 SHARES AT MARKET REALTIME
ENDIF

Just make sure you run the backtest in a timeframe of multiples of 30 minutes.

What I am trying to do is join a band trading system in with the gap trading method, so for the FTSE I would want the following code to throw out a signal only if the close is below/above the market closing price. The problem I foresee is that from 16.30 to 24.00 would be on the same day has market close and from 24.01 to 08.00 the following day.
My thinking is show in c5, c6 and c7.


REM STARC Bands indicator

SMA= AVERAGE[12](close)
upper = 1.9* AVERAGETRUERANGE[5](close)
lower = 2.1* AVERAGETRUERANGE[5](close)
ind1 = close
ind2 = open
ind3 = RSI[14](close)
upperband=SMA+upper
lowerband=SMA-lower


REM Buy
c1 = (ind1 < lowerband and ind1 < ind2)
c2 = (ind3 > 52 or ind1 > upperband)
c5 = "price of last 16.30 candle open"
c6 = (close < c5)
c7 = (close > c5)

IF c1 AND c6 AND HOUR >=16 AND <= 8 AND NOT LONGONMARKET THEN
BUY 1 SHARES AT MARKET THISBARONCLOSE
ENDIF

REM Sell

IF c2 OR c7 THEN
SELL AT MARKET THISBARONCLOSE
ENDIF

REM Short

c3 = (ind1 > upperband and ind1 > ind2)
c4 = (ind3 < 45 or ind1 < lowerband)

IF c3 AND c7 AND HOUR >=16 AND <= 8 AND NOT SHORTONMARKET THEN
SELLSHORT 1 SHARES AT MARKET THISBARONCLOSE
ENDIF


REM Exit short

IF c4 OR c6 THEN
EXITSHORT AT MARKET THISBARONCLOSE
ENDIF

s2m

Hello everyone,

I've just found out that there is some sort of bug in Probacktest. dOpen(0) refers to the opening price of yesterday instead of the opening price of today. But if dOpen(0) refers to the opening price of yesterday then what code refers to the opening price of today?

Has anyone else come across this?
Is there a known solution?

Tim

Hi Tim, I don't have your problem.

If I quickly create an indicator:

RETURN DOPEN(0)

and manually compare the open prices produced with the cursor details its correct.

Hi Sgt. Iria,

That's strange. Maybe I'm doing something wrong. I made the following simple code:

REM Buy
c1 = (DOpen(0) > DClose(1))
IF c1 THEN
BUY 1 SHARES AT MARKET
ENDIF

REM Exit
c2 = (DOpen(0) >= DClose(0))
c3 = (DOpen(0) <= DClose(0))
IF c2 OR c3 THEN
SELL AT MARKET THISBARONCLOSE
ENDIF

This code should go Long when today's open is higher than yesterday's close and the position should be closed at the end of the day. But some how the trades are executed 1 day too late. So when today's open is higher that yesterday's close the system will go Long tomorrow..

I have attached a screenshot that illustrates the problem. On Jan 19 the market (DAX) opened higher than yesterday's close, but the system did not make a trade that day. However somehow the system went Long the day after, where the open was not higher than the prior close.

So I concluded that dOpen(0) must refer to yesterday's open instead of today's open.

I hope you can help me out with this!

It is a silly question but you are using the paid service? i.e. not the EOD data?

No, I'm using the free version. But I've tried the real time data for free for 1 week and I didn't notice a difference in the execution of trades.

I also know of a code to get free real time data and when I use that code there is still no difference..

Do you get the same results when you use my code?

I'm not entirely sure of this but shuldn't here be a command telling the code when to "BUY AT MARKET" ? ie THISBARONCLOSE or NEXTBARONOPEN.

s2m

1st of all apologies for the spelling in the previous post. The problem I have with PRT is the inability to use "realtime". I have a code I wish to use closing the open position in "realtime" but the structure of the candle always needs to be finalised before the position will close. So a position may hit a 50pt limit only for it to revert back again in the same candle so you miss the limit unless you set an alarm. "realtime" is non existant, it's either thisbaronclose or nextbaronopen.
Of course one could/should set the limits and stops when the trade is triggered manually.

s2m

Hi s2m,

I found out that the problem is that the data of today (Open/High/Low/Close) doesn't get updated untill the market opens tomorrow. So tomorrow my code knows if it should have go Long the day before and if the answer to that is yes, then a Long position gets opened.. a bar too late.

A solution to this problem would be to base my code on minute or second basis in stead of daily basis.

Regards,
Tim

That's what I thought Tim, in effect realtime doesn't work. Hours and minutes isn't a problem, you can set which close time you want to use and what open time you want, in fact I use it in a Gap play backtest I use.

s2m

Does any of you guys know if it's possible to restrict the number of trades per day in the probacktest coding. The reason being I am trialing a starc bands system allowing a 20pt stop. However, usually when the position gets stopped by a cndle it immediatley reopens because the chart meets the code requirements.

Any thoughts on a possible resolution.

cheers

s2m

In addition does anyone know how to place into the code stops and limits. Now I know there is a facility to add stops and limits in the probacktest screen but I was wondering if a once only optimise could be done to establish the optimum stops and limits, this could then be placed manually into the stop box.

Chris

Hi,

Yes I've been in a similar position. Your conditions for entry remain valid for potentially X bars yet your money management requires you to limit the number of times you might try to enter.

The way I got around this problem was to toggle in code between entry conditions and check the probacktest variable 'Previous Trades Performance'. Your requirements is slightly different.


// let us be short or long whichever comes first
ONCE myLongToggle = 0> 1 // longs are off
ONCE myShortToggle = 0> 1 // longs are off

// if were not already long and my entry criteria are met then
IF NOT myLongToggle AND myLongEntryCriteria THEN
BUY 10 AT MARKET
SET STOP low * 1.1
// We have made a long trade so toggle on longs to prevent more
myLongToggle = 1>0
// initialise longs when you are short, initialise shorts when you are long
myShortToggle = 0>1 // we can go short again
ENDIF

Your requirements will differ but basically I'm saying after the first valid long set a toggle and any more longs will be ignored until you've gone short. You could have the long toggle reset on some other criteria i.e. we've met some 'reset' criteria for longs.

You might also look at 'PREVIOUSTRADE(1)' variable which allows you to say IF PREVIOUSTRADE(1) < 0 THEN i.e. if you last trade was negative i.e. you lost money then do something.