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Record Indicator Readings at Time of Trade?
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Record Indicator Readings at Time of Trade?

  #1 (permalink)
Elite Member
Denver Colorado/USA
 
Trading Experience: Intermediate
Platform: Sierra Chart, ThinkorSwim
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Posts: 27 since May 2017
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Record Indicator Readings at Time of Trade?

Hello SC users,

I am creating some automated strategies with ACSIL and would like to find an easy way to automatically record the indicator values at the time of trade execution. I am just backtesting right now and not running anything live.

To elaborate, if I have ATR and ADX indicators on a chart and I run a backtest of a system on that chart, I would like to create a list of the readings of ATR and ADX at each trade entry and exit.

Has anyone heard of a way to do this?

-LF

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  #2 (permalink)
Elite Member
Boston MA USA
 
Trading Experience: Beginner
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Posts: 39 since Jan 2015
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LittleFinger View Post
Hello SC users,

I am creating some automated strategies with ACSIL and would like to find an easy way to automatically record the indicator values at the time of trade execution. I am just backtesting right now and not running anything live.

To elaborate, if I have ATR and ADX indicators on a chart and I run a backtest of a system on that chart, I would like to create a list of the readings of ATR and ADX at each trade entry and exit.

Has anyone heard of a way to do this?

-LF

A spreadsheet in SC would likely be the easiest way to implement something to record the info.

So, just brainstorming: maybe your system would incorporate an array that represents, for each consecutive bar, whether the system is in a trade or not. For instance, 0 means flat, 1 means long and -1 means short. Then add a spreadsheet study that is "based on" your system study, it specifically accesses this trade status variable within the system. This spreadsheet should update with a new row upon any change in this "signal" (i.e. last bar was non-zero , this bar is zero, means position exited.) When adding a row, also grab the current indicator values you'd like, as columns. You may want to force the spreadsheet to automatically clear out the rows (or add a new timestamped heading row) each time the backtest is run.

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  #3 (permalink)
Elite Member
Denver Colorado/USA
 
Trading Experience: Intermediate
Platform: Sierra Chart, ThinkorSwim
Favorite Futures: ES,ZN,6E,CL,GC
 
LittleFinger's Avatar
 
Posts: 27 since May 2017
Thanks: 23 given, 28 received



ocpb View Post
A spreadsheet in SC would likely be the easiest way to implement something to record the info.

So, just brainstorming: maybe your system would incorporate an array that represents, for each consecutive bar, whether the system is in a trade or not. For instance, 0 means flat, 1 means long and -1 means short. Then add a spreadsheet study that is "based on" your system study, it specifically accesses this trade status variable within the system. This spreadsheet should update with a new row upon any change in this "signal" (i.e. last bar was non-zero , this bar is zero, means position exited.) When adding a row, also grab the current indicator values you'd like, as columns. You may want to force the spreadsheet to automatically clear out the rows (or add a new timestamped heading row) each time the backtest is run.


Thanks for the suggestion! I decided to use the spreadsheet study. Since it displays all of the indicator values at the close of the bar for every row you load, I am just going to copy the entirety of the sheet into excel. Then I'm going to import the trade activity log txt file into excel and create a macro that appends the indicator values to the trade data based on a time of trade match.

At some point I may attempt to code it in to the spreadsheet as you suggest, but this will probably be more flexible for analysis purposes right now.

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The following user says Thank You to LittleFinger for this post:
 
  #4 (permalink)
Elite Member
Boston MA USA
 
Trading Experience: Beginner
Platform: None
Favorite Futures: ES, Stocks, ETFs
 
Posts: 39 since Jan 2015
Thanks: 27 given, 35 received


LittleFinger View Post
Thanks for the suggestion! I decided to use the spreadsheet study. Since it displays all of the indicator values at the close of the bar for every row you load, I am just going to copy the entirety of the sheet into excel. Then I'm going to import the trade activity log txt file into excel and create a macro that appends the indicator values to the trade data based on a time of trade match.

At some point I may attempt to code it in to the spreadsheet as you suggest, but this will probably be more flexible for analysis purposes right now.

Excel-ent.

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