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Turning an indicator into a strategy issue
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Turning an indicator into a strategy issue

  #1 (permalink)
Trading Apprentice
Port St. Lucie, FL
 
Futures Experience: Advanced
Platform: Tradestation 9.5
Favorite Futures: Emini
 
Posts: 3 since Jul 2016
Thanks: 1 given, 1 received

Turning an indicator into a strategy issue

Hello,

I am having some problems turning an indicator I have written into a strategy, so I can back-test it.

The indicator plots my entries and exits perfectly, but when I change it into a strategy something changes.

Some of the trades come in perfectly, but I get random trades that I cannot explain, late entries, late exits, etc.

Is there something that I am missing or doing wrong?

I am looking at tick bar charts, on the EMini.

Here is the code for both the indicator and the strategy

Thanks in advance,

Donovan


Indicator



Inputs:
TCLen(10),
MA1(23),
MA2(50),
Trigger_Long (99.75),
Trigger_Short (0.25);

Variables:
MP(0);//MP = marketposition

//Value1
Value1 = (_SchaffTC(TCLen,MA1,MA2));


//Long Entry
If MP=0 and Value1 > Trigger_Long then begin Plot1(High + .5, "LE",Red);
MP = 1;
End;

//Long Exit
If MP =1 and Value1 < Trigger_Long then begin Plot2(High + .5, "LX",Magenta);
MP = 0;
End;


//Short Entry
If MP = 0 and Value1 < Trigger_Short then begin Plot3(Low - .5, "SE",white);
MP = -1;
End;

//Short Exit
If MP = -1 and Value1 > Trigger_Short then begin Plot4(Low - .5, "SX",darkgray);
MP = 0;
End;


_________________________________________

Strategy



[intrabarordergeneration=true]

Inputs:
TCLen(10),
MA1(23),
MA2(50),
Trigger_Long (99.75),
Trigger_Short (0.25);

Variables:
MP(0);//MP = marketposition

//Value1
Value1 = (_SchaffTC(TCLen,MA1,MA2));


//Long Entry
If MP=0 and Value1 > Trigger_Long then Begin Buy ( "LE" )next bar at market;
MP = 1;
End;

//Long Exit
If MP =1 and Value1 < Trigger_Long then Begin Sell ( "LX" )next bar at market;
MP = 0;
End;


//Short Entry
If MP = 0 and Value1 < Trigger_Short then Begin Sellshort ( "SE" )next bar at market;
MP = -1;
End;

//Short Exit
If MP = -1 and Value1 > Trigger_Short then Begin Buy to Cover ( "SX" )next bar at market;
MP = 0;
End;

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,332 since Apr 2013
Thanks: 212 given, 757 received


Donovan2580,

you are using intrabar order generation in your signal, so as soon as a condition is met during the bar an entry can take place. The indicator might plot at that moment, too, but remove the plot again when the conditions are not longer satisfied. This can for example explain differences. Another reason could be that the Max Bars back that you set in the signal is different than in the indicator and therefore the values are slightly different.

How "late" are some of the exits and entries? Can you show some examples of where they occur versus where they should occur? Is it possible that the order gets triggered at the end of the bar and simply executed on the next bar while the indicator already plots on the trigger bar?

Regards,

ABCTG

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  #4 (permalink)
Trading Apprentice
Port St. Lucie, FL
 
Futures Experience: Advanced
Platform: Tradestation 9.5
Favorite Futures: Emini
 
Posts: 3 since Jul 2016
Thanks: 1 given, 1 received

Thanks

Thanks very much for the reply...

I removed the intrabarordergeneration and it worked perfectly.

You saved me a lot of time and stress!!

Much appreciated,

Donovan

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  #5 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,332 since Apr 2013
Thanks: 212 given, 757 received

Donovan,

I am glad to hear that.
You are welcome and thanks for letting me know.

Regards,

ABCTG

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