Hi Friends,
I feel there is something wrong in the backtesting procedure in the below afl.
Timeframe: 5 minute
Analysis range: 30 trading days
Symbol list(30): NIFTY-I,BANKNIFTY-I,YESBANK-I,RELIANCE-I,AXISBANK-I,SBIN-I,ICICIBANK-I,RELINFRA-I,TATASTEEL-I,TATAMOTORS-I,HDFCBANK-I,SUNPHARMA-I,RELCAPITAL-I,AUROPHARMA-I,MARUTI-I,PNB-I,VEDL-I,BANKBARODA-I,INFY-I,LT-I,CANBK-I,BHARATFIN-I,TCS-I,BHEL-I,DLF-I,HINDALCO-I,LUPIN-I,CASTROLIND-I,ONGC-I,HDFC-I
Please correct the mistake.
I feel there is something wrong in the backtesting procedure in the below afl.
Timeframe: 5 minute
Analysis range: 30 trading days
Symbol list(30): NIFTY-I,BANKNIFTY-I,YESBANK-I,RELIANCE-I,AXISBANK-I,SBIN-I,ICICIBANK-I,RELINFRA-I,TATASTEEL-I,TATAMOTORS-I,HDFCBANK-I,SUNPHARMA-I,RELCAPITAL-I,AUROPHARMA-I,MARUTI-I,PNB-I,VEDL-I,BANKBARODA-I,INFY-I,LT-I,CANBK-I,BHARATFIN-I,TCS-I,BHEL-I,DLF-I,HINDALCO-I,LUPIN-I,CASTROLIND-I,ONGC-I,HDFC-I
Code:
//OPTIMIZATION PART
//maxpositions = Optimize( "maxpositions", 3, 1, 10, 1 ); // note that default value is 2
maxpositions = Param( "maxpositions", 100 , 1, 10, 1 );
//TARGET_RATIO = Optimize( "TARGET_RATIO", 2.7, 2.0, 4.0, 0.1 );
TARGET_RATIO = Param( "TARGET_RATIO", 2, 1, 10, 1 );
TRADE_START_TIME = 091900 ;
//TRADE_START_TIME = Optimize( "TRADE_START_TIME", 091900, 091900, 095900, 500 );
TRADE_END_TIME = 150000 ;
//TRADE_END_TIME = Optimize( "TRADE_END_TIME", 151400, 150900, 151400, 100 );
SQUARE_OFF_TIME = 151400 ;
//MAX_AMOUNT = Param( "MAX_AMOUNT", 10000, 1000, 100000, 1000 );
TRADING_CAPITAL = 100000;
STOPLOSS_PERCENT = 1 ;
//***********************************************************************
// OPTIMIZATON PART
//***********************************************************************
SetOption( "WarningLevel", 1 );
SetOption( "MCEnable", 0 );
SetOption( "PriceBoundChecking", False );
SetOption( "ExtraColumnsLocation", 1 );
SetOption( "MaxOpenPositions", maxpositions ); // MAXIMUM ALLOWED OPEN POSITIONS AT A TIME
//************************************************************************
// GENERAL TRADE VARIABLES
//************************************************************************
STOPLOSS_AMOUNT = ( TRADING_CAPITAL / 100 ) * STOPLOSS_PERCENT; // 1000 RS FOR 1L
TRIGGER_OPEN = ( Ref( Open, 0 ) ); // LAST BAR'S OPEN
TRIGGER_LOW = ( Ref( Low, 0 ) ); // LAST BAR'S LOW
TRIGGER_HIGH = ( Ref( High, 0 ) ); // LAST BAR'S HIGH
ENTRY_HIGH = ( Ref( High, -1 ) ); // HIGH OF 2ND BAR FROM LAST
ENTRY_LOW = ( Ref( Low, -1 ) ); // LOW OF 2ND BAR FROM LAST
ENTRY_OPEN = ( Ref( Open, -1 ) ); // OPEN OF 2ND BAR FROM LAST
ENTRY_CLOSE = ( Ref( Close, -1 ) ); // CLOSE OF 2ND BAR FROM LAST
PREVIOUS_HIGH = ( Ref( High, -2 ) ); // HIGH OF 3RD BAR FROM LAST
PREVIOUS_LOW = ( Ref( Low, -2 ) ); // LOW OF 3RD BAR FROM LAST
ENTRY_BAR_RANGE = abs( ENTRY_HIGH - ENTRY_LOW ); // SETUP BAR'S RANGE
TARGET_RANGE = abs( TARGET_RATIO * ENTRY_BAR_RANGE ); // TARGET DISTANCE FROM ENTRY PRICE
TIME = Ref( TimeNum(), 0 ); // LAST BAR'S TIME NUMBER
NO_OF_SHARES = STOPLOSS_AMOUNT / ENTRY_BAR_RANGE; // NO OF SHARES FOR THE STOPLOSS AMOUNT 1000
POSITION_VALUE = NO_OF_SHARES * ENTRY_LOW;
//************************************************************************
// SHORT TRADE VARIABLES
//************************************************************************
Short_TRADE_ON = 0;
Short = 0;
ShortPrice = 0;
Cover = 0;
CoverPrice = 0;
S_ENTRY_BAR_NUMBER = 0;
S_targetprice = 0;
S_stopprice = 0;
Short = ExRem( Short, Cover );
Cover = ExRem( Cover, Short );
S_STOPLOSS = ENTRY_HIGH ;
S_TARGET = ENTRY_LOW - TARGET_RANGE;
//************************************************************************
// LONG TRADE VARIABLES
//************************************************************************
Long_TRADE_ON = 0 ;
Buy = 0;
BuyPrice = 0;
Sell = 0;
SellPrice = 0;
L_ENTRY_BAR_NUMBER = 0;
L_targetprice = 0;
L_stopprice = 0;
Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
L_STOPLOSS = ENTRY_LOW ;
L_TARGET = ENTRY_HIGH + TARGET_RANGE;
//******************************************************************************
// YOUR TRADING SYSTEM HERE
//******************************************************************************
Short_CONDITION =
(
TIME > TRADE_START_TIME// 5
AND
TIME < TRADE_END_TIME// 6
// TRIGGER OPEN INSIDE ENTRY HIGH & LOW
AND
TRIGGER_OPEN <= ENTRY_HIGH// 8 // TRIGGER OPEN LOWER THAN ENTRY HIGH
AND
TRIGGER_OPEN >= ENTRY_LOW// 9 // TRIGGER OPEN HIGHER THAN ENTRY LOW
// SETUP BAR
AND
TRIGGER_HIGH < ENTRY_HIGH// 7 // INITIATE CONDITION
AND
PREVIOUS_HIGH < ENTRY_HIGH
// SHORT TRIGGER RULE
AND
TRIGGER_LOW <= ENTRY_LOW// 10 // SHORT TRIGGER RULE
) ;
/////////////////////////////////////////////////////////////////////////////////////////////////
Buy_CONDITION =
(
TIME > TRADE_START_TIME// 5
AND
TIME < TRADE_END_TIME// 6
// TRIGGER OPEN INSIDE ENTRY HIGH & LOW
AND
TRIGGER_OPEN >= ENTRY_LOW// 8 // TRIGGER OPEN HIGHER THAN ENTRY LOW
AND
TRIGGER_OPEN <= ENTRY_HIGH// 9 // TRIGGER OPEN LOWER THAN ENTRY HIGH
// SETUP BAR
AND
TRIGGER_LOW > ENTRY_LOW
AND
PREVIOUS_LOW > ENTRY_LOW
////////////
AND
TRIGGER_HIGH >= ENTRY_HIGH // 10 // LONG TRIGGER CONDITION
) ;
Initiated_Bar_Number = 0;
for( i = 0; i < BarCount; i++ )
{
if( Short_TRADE_ON == 0 AND Short_CONDITION[ i ] == True )
{
Short_TRADE_ON = 1;
S_ENTRY_BAR_NUMBER = i;
Initiated_Bar_Number = i;
S_stopprice[ i ] = ENTRY_HIGH[i] ;
S_targetprice[ i ] = S_TARGET[i];
BAR_RANGE[i] = abs( ENTRY_HIGH[i] - ENTRY_LOW[i] );
NO_OF_SHARES[ i ] = STOPLOSS_AMOUNT / BAR_RANGE[i];
SHORT_POSITION_VALUE[ i ] = NO_OF_SHARES[ i ] * ENTRY_LOW[ i ];
ShortPrice[ i ] = ENTRY_LOW[i];
PositionSize[ i ] = SHORT_POSITION_VALUE[ i ];
Short[ i ] = 1;
}
//*********************************************
if( Long_TRADE_ON == 0 AND Buy_CONDITION[ i ] == True )
{
Long_TRADE_ON = 1;
L_ENTRY_BAR_NUMBER = i;
Initiated_Bar_Number = i;
L_stopprice[ i ] = ENTRY_LOW[i] ;
L_targetprice[ i ] = L_TARGET[i];
BAR_RANGE[i] = abs( ENTRY_HIGH[i] - ENTRY_LOW[i] );
NO_OF_SHARES[ i ] = STOPLOSS_AMOUNT / BAR_RANGE[i];
LONG_POSITION_VALUE[ i ] = NO_OF_SHARES[ i ] * ENTRY_HIGH[ i ];
BuyPrice[ i ] = ENTRY_HIGH[i];
PositionSize[ i ] = LONG_POSITION_VALUE[ i ];
Buy[ i ] = 1;
}
//************************************************
///////////////////////////////////////////////////
// EXIT CONDITONS
///////////////////////////////////////////////////
// SHORT TARGET CONDITION
TARGET_Cover_condition = Low[ i ] < S_targetprice[ S_ENTRY_BAR_NUMBER ];
// SHORT STOPLOSS CONDITION
STOP_Cover_condition = High[ i ] > S_stopprice[ S_ENTRY_BAR_NUMBER ];
//************************************************
// LONG TARGET CONDITION
TARGET_Sell_condition = High[ i ] > L_targetprice[ L_ENTRY_BAR_NUMBER ];
// LONG STOPLOSS CONDITION
STOP_Sell_condition = Low[ i ] < L_stopprice[ L_ENTRY_BAR_NUMBER ];
//************************************************
// SHORT EXITS
//**********************************************
// EXIT SHORT TRADE WHEN TARGET REACHED
if( Short_TRADE_ON == 1 AND TARGET_Cover_condition[ i ] == True )
{
Cover[ i ] = 1;
CoverPrice[ i ] = S_targetprice[ S_ENTRY_BAR_NUMBER ];
Short_TRADE_ON = 0;
}
// EXIT SHORT TRADE WHEN STOPLOSS HIT
else
if( Short_TRADE_ON == 1 AND STOP_Cover_condition[ i == True ] )
{
Cover[ i ] = 1;
CoverPrice[ i ] = S_stopprice[ S_ENTRY_BAR_NUMBER ];
Short_TRADE_ON = 0;
}
// EXIT SHORT TRADE ON SQUARE OFF TIME
else
if( Short_TRADE_ON == 1 AND TIME[i] > SQUARE_OFF_TIME )
{
Cover[ i ] = 1;
CoverPrice[ i ] = Avg[i];
Short_TRADE_ON = 0;
}
// ELSE DO NOTHING
else
{
Cover[ i ] = 0;
}
//}
//************************************************
// LONG EXITS
//************************************************
// EXIT LONG TRADE WHEN TARGET HIT
if( Long_TRADE_ON == 1 AND TARGET_Sell_condition[ i ] == True )
{
Sell[ i ] = 1;
SellPrice[ i ] = L_targetprice[ L_ENTRY_BAR_NUMBER ];
Long_TRADE_ON = 0;
}
// EXIT LONG TRADE WHEN STOPLOSS HIT
else
if( Long_TRADE_ON == 1 AND STOP_Sell_condition[ i ] == True )
{
Sell[ i ] = 1;
SellPrice[ i ] = L_stopprice[ L_ENTRY_BAR_NUMBER ];
Long_TRADE_ON = 0;
}
// EXIT LONG TRADE ON SQUARE OFF TIME
else
if( Long_TRADE_ON == 1 AND TIME[i] > SQUARE_OFF_TIME )
{
Sell[ i ] = 1;
SellPrice[ i ] = Avg[i];
Long_TRADE_ON = 0;
}
// ELSE DO NOTHING
else
{
Sell[ i ] = 0;
}
}
//************************************************
Please correct the mistake.
Backtesting Mistakes
