Help understanding Tradestation output

July 21st, 2018, 05:05 PM

I can't believe i am asking this question, but can anyone please tell me what Tradestation is doing here? I am going to show a very simple example rather than my code.

Why does an strategy have different values than an indicator is they use the exact same code? For example, plot the monthly SPY with 2 exponential moving averages (10 & 20).

Here is the indicator and screen capture of the print log:

Code

inputs:
	FastPrice(Close),
	SlowPrice(Close),
	FastLength(10),
	SlowLength(20),
	Displace(0);

variables:
	FastAvg(0),
	SlowAvg(0);

FastAvg = XAverage(FastPrice,FastLength);
SlowAvg = XAverage(SlowPrice,SlowLength);
	
Plot1[Displace](FastAvg,"FastAvg",default,default,1);
Plot2[Displace](SlowAvg,"SlowAvg",default,default,1); 

Print(ElDateToString(Date), "; FastPrice: ",FastPrice, "; SlowPrice: ",SlowPrice, "; FastAvg: ",FastAvg, "; SlowAvg: ",SlowAvg);

And here is the strategy with orders removed for brevity:

Code

inputs:
	FastPrice(Close),
	SlowPrice(Close),
	FastLength(10),
	SlowLength(20),
	Displace(0);
	
variables:
	FastAvg(0),
	SlowAvg(0);
	
FastAvg = XAverage(FastPrice,FastLength);
SlowAvg = XAverage(SlowPrice,SlowLength);
	
Print(ElDateToString(Date), "; FastPrice: ",FastPrice, "; SlowPrice: ",SlowPrice, "; FastAvg: ",FastAvg, "; SlowAvg: ",SlowAvg); //

Why does the print log show different values for the fast and slow MA's. Yes, before you ask, both are set at 10 & 20?

The strategy values are obviously wrong and throwing off backtesting any strategy.

Alright, let me have it. What foolish mistake am I making?

Thanks in advance. Also, why does Tradestation show a moving average before enough time has elapsed to develop (18 month moving average before 18 data bars)?

July 21st, 2018, 08:56 PM

Change the inputs to variables and see if that fixes it. Tradestation does not reset inputs on rebuilds. The other consideration is Exponential Average uses all historical data. The strategy has a MaxBars setting that it uses to determine the start date.

ABCTG · July 22nd, 2018, 03:55 AM

Hi GoldenRatio,

the difference might be caused by different max bars back settings for the indicator and strategy. Make sure to set both to the same value and check if the values are the same then. Keep in mind that you are using a start point dependent average (exponential) and the values will not match 100% if the start point is different (although over time they will match close enough most likely).

To answer your question of "Also, why does Tradestation show a moving average before enough time has elapsed to develop (18 month moving average before 18 data bars)?", this depends on the study. The exponential average doesn't look at X bars back only, the length sets the alpha value (smoothing) and it can theoretically be plotted from the first bar on.

Regards,

ABCTG

July 22nd, 2018, 02:11 PM

ABCTG

the difference might be caused by different max bars back settings for the indicator and strategy.

That was it, thanks ABCTG!

I should have known!

ABCTG · July 23rd, 2018, 02:50 AM

Hi GoldenRatio,

you are welcome and thank you for the update. No worries, I tend to fall into one of the max bars back pitfalls every once in a while, too.

Regards,

ABCTG

GoldenRatio

That was it, thanks ABCTG!

I should have known!

Help understanding Tradestation output

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Help understanding Tradestation output