Max Bars Back Changing Results Drastically - EasyLanguage Programming | futures io social day trading
futures io futures trading


Max Bars Back Changing Results Drastically
Updated: Views / Replies:968 / 5
Created: by djvie11 Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Max Bars Back Changing Results Drastically

  #1 (permalink)
Trading Apprentice
Chicago, IL
 
Futures Experience: Advanced
Platform: Tradestation + Multicharts
Favorite Futures: Forex, Futures
 
Posts: 44 since Jul 2013
Thanks: 26 given, 1 received

Max Bars Back Changing Results Drastically

So this is bugging the heck out of me!

I'm running a strategy with 3 data streams. It only references the previous bar of all 3 data streams with a stochastic (normal settings on the stochastic; 14,3,3).

The thing that's getting me is the "max bars back setting." All I need is 14. But, if I go higher the results get better. This past week I traded live alongside my paper account with the same strategy - but one had a max bars back setting of 105 & the other, 200. The one with the 200 setting doubled the profit of the other. Same strategy though!

I would understand if it was an average of sorts or the strategy indeed called upon a bar deep in the past, but it does not. It's also worth mentioning that I have IntraBarOrderGeneration enabled.

I would very much appreciate any insight you guys might have on this!

thanks!
Brandon


Last edited by djvie11; December 12th, 2015 at 12:58 PM. Reason: addition
Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,139 given, 4,387 received
Forum Reputation: Legendary


Are you using an exponential average? That could certainly cause it.

Multiple datastreams can be a challenge to get working correctly - are you sure everything is declared and aliased properly?

IntraBarOrderGeneration is another advanced feature that is easy to get squirrelly results with.

Unless you have been working with Tradestation for at least a few years, I'd personally recommend avoiding both of these features. Heck, I've been using Tradestation for 10 years, and I still never use IBOG.

You can always post your code here - take out secret stuff - and someone can help you.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
 
  #4 (permalink)
Trading Apprentice
Chicago, IL
 
Futures Experience: Advanced
Platform: Tradestation + Multicharts
Favorite Futures: Forex, Futures
 
Posts: 44 since Jul 2013
Thanks: 26 given, 1 received


kevinkdog View Post
Are you using an exponential average? That could certainly cause it.

Multiple datastreams can be a challenge to get working correctly - are you sure everything is declared and aliased properly?

IntraBarOrderGeneration is another advanced feature that is easy to get squirrelly results with.

Unless you have been working with Tradestation for at least a few years, I'd personally recommend avoiding both of these features. Heck, I've been using Tradestation for 10 years, and I still never use IBOG.

You can always post your code here - take out secret stuff - and someone can help you.

Hey Kevin, thanks for the reply!

No exponential averages, just a simple stochastic and references to highs/lows of previous bars. And this is with Multicharts as Tradestation can't handle IBOG with multiple data streams ... but in the end they both work basically the same with EasyLanguage.

I would love to work with a single data stream but there's always small nuances that get lost in translation when converting a multiple data stream strategy into a single data one.

Reply With Quote
 
  #5 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,139 given, 4,387 received
Forum Reputation: Legendary


djvie11 View Post
Hey Kevin, thanks for the reply!

No exponential averages, just a simple stochastic and references to highs/lows of previous bars. And this is with Multicharts as Tradestation can't handle IBOG with multiple data streams ... but in the end they both work basically the same with EasyLanguage.

I would love to work with a single data stream but there's always small nuances that get lost in translation when converting a multiple data stream strategy into a single data one.

Make sure the stochastics does not reference a series type (infinitely backward looking) function. You can print out values with a single datastream with IBOG off, and at least eliminate that as a cause.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #6 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,534 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary

djvie11,

there is a possibility that the Stochastic is using exponential smoothing in case you are using SmothingType 2 for any of the build in Stochastics.

Assuming you are past the MaxBars back setting on the current bar for both strategies and they still behave differently, I'd assume that there are values different in them and there might be something in your code that is somehow affected by the max bars back settings. You will most likely have to print your values and compare them, if you want to track the issue down.

Regards,
ABCTG

Reply With Quote
The following user says Thank You to ABCTG for this post:

Reply



futures io > > > > > Max Bars Back Changing Results Drastically

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
renko backtest/optimization results magicly changing... Momozo NinjaTrader 5 December 14th, 2015 11:12 AM
Moving the chart bars up or down without changing the scale size of prices wontonsoup MetaTrader 3 August 28th, 2015 08:36 PM
tried to reference too many bars back malibu TradeStation 4 June 2nd, 2014 04:33 PM
MIN & MAX for last n bars Stem1 EasyLanguage Programming 2 March 14th, 2011 11:23 PM
NT7 max look back AkLio NinjaTrader Programming 4 April 25th, 2010 06:57 PM


All times are GMT -4. The time now is 06:32 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-18 in 0.11 seconds with 20 queries on phoenix via your IP 54.221.93.187