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Please point out mistake

Discussion in 'Software and Data' started by bharatk8, Oct 5, 2012.

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  1. bharatk8

    bharatk8

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    Following code is meant to exclude/control time of BT.. I expected it to run BT on trades triggered during selected time.But somehow it includes all trades(not as per set time).If you need I can post full code too.Pl. point out mistake.T

    //--------------------- trading hours 91500 to 153000
    TradeTime=ParamToggle(" backTest with Time?", "No|Yes",0 ) ;
    StartTime = ParamTime( "Start Time", "9:30" );
    EndTime = ParamTime( "End Time", "15:15" );
    EA = TimeNum() >= starttime AND TimeNum() <= endtime;
    EA = TimeNum() >= 093000 AND TimeNum() <= 151500;
     

    Attached Files:

  2. bharatk8

    bharatk8

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    Re: Pl. point out mistake.

    Sorry.Did not post full code.Rest of the code

    if (TradeTime) {
    //--------------------- Buy, Sell, Short, Cover, Here is with time
    Buy=buyOK AND EA ; BuyPrice = Open;
    Sell=SellOK OR EndTime ; SellPrice = Close;
    Short= ShortOK AND EA; ShortPrice = Open;
    Cover=CoverOK OR EndTime ; CoverPrice = Close;
    TitleTradeTime= "\nBacktest Trade With Time = ON";
    }
    else {
    //--------------------- Buy, Sell, Short, Cover, Here is without time
    Buy=buyOK ; BuyPrice = Open;
    Sell=SellOK ; SellPrice = Open;
    Short= ShortOK ; ShortPrice = Open;
    Cover=CoverOK ; CoverPrice = Open;
    TitleTradeTime= "\nBacktest Trade Time is = OFF ";
    }

    Buy= ExRem(Buy,Sell); Sell= ExRem(Sell,Buy);
    Short= ExRem(Short,Cover); Cover=ExRem(Cover,Short);
     
  3. joshsmi

    joshsmi

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    These two

    Sell=SellOK OR EndTime ;

    Cover=CoverOK OR EndTime ;

    are wrong in case of Endtime


    You should add timenum()

    Sell=SellOK OR Timenum() >= EndTime ;

    Cover=CoverOK ORTimeNum() >= EndTime ;

    Also you should probably use delay for Buy and Short as you want to enter on next bar's Open.

    Code:
    tn = TimeNum(); 
    
    EA = tn >= 093000 AND tn <= 151500; 
    
    Buycond = buyOK AND EA;
    Buy = Ref(Buycond, -1); 
    BuyPrice = Open;
    
    Sell = SellOK OR tn >= EndTime; 
    SellPrice = Close;
    
    Shortcond = ShortOK AND EA;
    Short = Ref(Shortcond, -1);
    ShortPrice = Open;
    
    Cover = CoverOK OR tn >= EndTime; 
    CoverPrice = Close;
    
    TitleTradeTime= "\nBacktest Trade With Time = ON"; 
    Or maybe this way

    Code:
    tn = TimeNum(); 
    
    EA = tn >= 093000 AND tn <= 151500;
    
    Buy = Ref(BuyOK, -1) AND EA; 
    BuyPrice = Open;
    
    Sell = SellOK OR tn >= EndTime; 
    SellPrice = Close;
    
    Short = Ref(ShortOK, -1) AND EA;
    ShortPrice = Open;
    
    Cover = CoverOK OR tn >= EndTime; 
    CoverPrice = Close;
    
    TitleTradeTime= "\nBacktest Trade With Time = ON";

    Don't understand your other problem. Maybe you should post the full code.
     
  4. bharatk8

    bharatk8

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    Dear JOSHMI

    Thanks for prompt help.I am posting full code.Pl. correct mistakes.




    _SECTION_BEGIN("BackTest_ready For");

    // in this Version the exploration is Corect
    SetBarsRequired(sbrAll,sbrAll ); /* All bars are here and not only that we see in the chart */
    SetTradeDelays( 0, 0, 0, 0 ); /* delay entry/exit by zero bar */

    ////////////////////// HERE WE WRITE YOUR System /////////////////////
    _SECTION_BEGIN("BB");

    RS2=ParamToggle("BB ", "Hide|Show",1);
    Period = Param("Period", 9, 2, 30, 1 );
    Width = Param("Width", 1.5, 0, 10, 0.05 );
    x2=ParamColor("BB color",colorRed|styleThick);

    _SECTION_END();

    _SECTION_BEGIN("BB1");

    RS3=ParamToggle("BB1", "Hide|Show",1);
    Period1 = Param("Period1",20, 2, 30, 1 );
    Width1 = Param("Width1", 2, 0, 10, 0.05 );
    x3=ParamColor("BB1 color",colorBlue | styleThick );

    _SECTION_END();

    mid= WMA(C,Period);
    sd = StDev( C, Period );
    Top = mid + Width * sd;
    Bot = mid - Width * sd;


    mid1= WMA(C,Period1);
    sd1 = StDev( C, Period1 );
    Top1 = mid1 + Width1 * sd1;
    Bot1 = mid1 - Width1 * sd1;


    Plot(C,"",colorGrey50,ParamStyle("Style Of Bars",styleBar,maskAll));
    TFmn = in1Minute * 75;

    TimeFrameSet(TFmn);
    ShowBBmn9F=ParamToggle("BB9 MTFmn F", "Himne|Show",1);
    ShowBBmn9L=ParamToggle("BB9 MTFmn L", "Himne|Show",1);
    PMTFmn9 = Param("Periomn9 MTFmn", 9, 2, 30, 1 );
    WMTFmn9 = Param("Wimnth9 MTFmn", 1.5, 0, 10, 0.05 );
    ShowBBmn20F=ParamToggle("BB20 MTFmn F", "Himne|Show",1);
    ShowBBmn20L=ParamToggle("BB20 MTFmn L", "Himne|Show",1);
    PMTFmn20 = Param("Periomn20 MTFmn", 20, 2, 30, 1 );
    WMTFmn20 = Param("Wimnth20 MTFmn", 2, 0, 10, 0.05 );
    Mmn9= WMA(C,PMTFmn9);
    smd9 = StDev( C, PMTFmn9 );
    Topmn9 = Mmn9 + WMTFmn9 * smd9;
    Botmn9 = Mmn9 - WMTFmn9 * smd9;
    Mmn20 = WMA(C,PMTFmn20);
    smd20 = StDev( C, PMTFmn20);
    Topmn20 = Mmn20 + WMTFmn20 * smd20;
    Botmn20 = Mmn20 - WMTFmn20 * smd20;
    TimeFrameRestore();
    MD9Fmn = TimeFrameExpand(Mmn9,TFmn, expandFirst );
    TP9Fmn = TimeFrameExpand(TOPmn9,TFmn, expandFirst );
    BT9Fmn = TimeFrameExpand(BOTmn9,TFmn, expandFirst );
    MD20Fmn = TimeFrameExpand(Mmn20,TFmn, expandFirst );
    TP20Fmn = TimeFrameExpand(TOPmn20,TFmn, expandFirst );
    BT20Fmn = TimeFrameExpand(BOTmn20,TFmn, expandFirst );
    MD9Lmn = TimeFrameExpand(Mmn9,TFmn, expandLast );
    TP9Lmn = TimeFrameExpand(TOPmn9,TFmn, expandLast );
    BT9Lmn = TimeFrameExpand(BOTmn9,TFmn, expandLast );
    MD20Lmn = TimeFrameExpand(Mmn20,TFmn, expandLast );
    TP20Lmn = TimeFrameExpand(TOPmn20,TFmn, expandLast );
    BT20Lmn = TimeFrameExpand(BOTmn20,TFmn, expandLast );
    if(ShowBBmn9F)
    Plot(MD9Fmn, "MID BAND9 Daily First", colorDarkOliveGreen, styleLine |styleDots| styleNoRescale );
    if(ShowBBmn9F)
    Plot(TP9Fmn, "TOP BAND9 Daily First", colorRed, styleLine| styleNoRescale);
    if(ShowBBmn9F)
    Plot(BT9Fmn, "BOT BAND9 Daily First", colorGreen, styleLine |styleNoRescale );
    if(ShowBBmn9L)
    Plot(MD9Lmn, "MID BAND9 Daily Last", colorBrightGreen, styleLine |styleDots| styleThick|styleNoRescale );
    if(ShowBBmn9L)
    //Plot(TP9Lmn, "TOP BAND9 Daily Last", colorBrightGreen, styleLine |styleDots| styleThick |styleNoRescale );
    if(ShowBBmn9L)
    //Plot(BT9Lmn, "BOT BAND9 Daily Last", colorBrightGreen, styleLine |styleDots| styleThick|styleNoRescale );
    if(ShowBBmn20F)
    Plot(MD20Fmn, "MID BAND20 Daily First", colorBlack, styleLine |styleDots| styleNoRescale );
    if(ShowBBmn20F)
    Plot(TP20Fmn, "TOP BAND20 Daily First", colorDarkRed, styleLine | styleNoRescale );//styleDashed|styleDots|
    if(ShowBBmn20F)
    Plot(BT20Fmn, "BOT BAND20 Daily First", colorDarkGreen, styleLine |styleNoRescale );//styleDashed|styleDots|
    if(ShowBBmn20L)
    Plot(MD20Lmn, "MID BAND20 Daily Last", colorGreen, styleLine |styleDots| styleThick|styleNoRescale );
    if(ShowBBmn20L)
    Plot(TP20Lmn, "TOP BAND20 Daily Last", colorDarkRed, styleLine |styleDots| styleThick|styleNoRescale );
    if(ShowBBmn20L)
    Plot(BT20Lmn, "BOT BAND20 Daily Last", colorDarkGreen, styleLine |styleDots| styleThick|styleNoRescale );
    _SECTION_END();


    ////////////////////// HERE WE WRITE YOUR System SIGNALS /////////////////////
    // below i wrote 4 condition for buy,sell to fiil them up if you wish ...
    //--------------------- condition Long
    CondL1=(L<BT9Fmn) AND (C>BT9Fmn);
    CondL2=0;
    CondL3=0;
    CondL4=0;
    //--------------------- condition SELL
    CondSL1=H<Ref(H,-1); // Cross( 85 ,Con1 );
    CondSL2=0;
    CondSL3=0;
    CondSL4=0;
    //--------------------- condition short
    CondS1=(H>TP9Fmn) AND (C<TP9Fmn);
    CondS2=0; //Cross( Con1 ,10 );
    CondS3=0;
    CondS4=0;
    //--------------------- condition Cover
    CondC1=L>Ref(L,-1);; //Cross( 25,Con1 );
    CondC2=0; //Cross( Con1 ,10 );
    CondC3=0;
    CondC4=0;

    //--------AND THE FINAL ---BUY / SHORT WE HAVE TO WRITE BELOW HERE-----
    // for EXAMPLE BUYOK= CondL1=SEXE OR CondL5=NB8 AND CondL9=NUp1 AND NOT CondL13=bex;
    // Buy = Ref(Buy,-1); BuyPrice = Open; //DECLARE THE"Open" OF THE NEXT BAR
    buyOK =Ref(CondL1,-1);
    SellOK =Ref(CondSL1,-1);
    ShortOK = Ref(CondS1,-1);
    CoverOK =Ref(CondC1,-1);



    // -------- DO NOT TOUCH BELOW HERE IF YOU NOT KN/OW/ WHAT ARE YOU DOING THIS WAS WRITTEN BY CODER,SINCE I DO NOT KNOW CODING,I HAVE NOT MADE ANY CHANGES ----------------------
    //--------------------- trading hours 91500 to 153000
    TradeTime=ParamToggle(" backTest with Time?", "No|Yes",0 ) ;
    StartTime = ParamTime( "Start Time", "9:30" );
    EndTime = ParamTime( "End Time", "15:15" );
    EA = TimeNum() >= starttime AND TimeNum() <= endtime;
    EA = TimeNum() >= 093000 AND TimeNum() <= 151500; // <<<<<<< ?????? time is fixed

    if (TradeTime) {
    //--------------------- Buy, Sell, Short, Cover, Here is with time
    Buy=buyOK AND EA ; BuyPrice = Open;
    Sell=SellOK OR EndTime ; SellPrice = Close;
    Short= ShortOK AND EA; ShortPrice = Open;
    Cover=CoverOK OR EndTime ; CoverPrice = Close;
    TitleTradeTime= "\nBacktest Trade With Time = ON";
    }
    else {
    //--------------------- Buy, Sell, Short, Cover, Here is without time
    Buy=buyOK ; BuyPrice = Open;
    Sell=SellOK ; SellPrice = Open;
    Short= ShortOK ; ShortPrice = Open;
    Cover=CoverOK ; CoverPrice = Open;
    TitleTradeTime= "\nBacktest Trade Time is = OFF ";
    }

    Buy= ExRem(Buy,Sell); Sell= ExRem(Sell,Buy);
    Short= ExRem(Short,Cover); Cover=ExRem(Cover,Short);


    //--------------------- EXPLORATION
    lastpriceBuy=ValueWhen(Buy,Open,1);
    lastpriceSELL=ValueWhen(Sell,Open,1);
    lastpriceShort=ValueWhen(Short,Open,1);
    lastpriceCover=ValueWhen(Cover,Open,1);
    BuyProfit= ((lastpriceSELL- lastpriceBuy)/lastpriceSELL)*100; "BuyProfit= "+WriteVal(BuyProfit,1.4); // return a single trade BUY-Sell
    ShortProfit =((lastpriceShort-lastpriceCover)/lastpriceCover)*100;

    //// Gainers/Lossers
    monodesLong= Cum(BuyProfit) ;
    monadesShort=Cum(ShortProfit );
    total= monodesLong;

    if(Status("Action")==actionScan OR Status("Action")==actionExplore)
    {
    Width60=60;
    Filter = Buy OR Sell OR Short OR Cover;

    colorBuyProfit = IIf(BuyProfit>0,colorBrightGreen,colorRed);
    ColorShortProfit = IIf(ShortProfit >0,colorBrightGreen,colorRed);

    SetOption("NoDefaultColumns", True);
    AddTextColumn(Name(), "Symbol", 77, 1, colorDefault, 70);
    AddColumn(DateTime(), "Date", formatDateTime, 1, colorDefault, 120);
    // these 5 linea are for Long trades
    AddColumn(IIf(Buy, Asc("B",0), Asc("S")), "PosL", formatChar);
    AddColumn( Buy, "Buy", 1 );
    AddColumn(IIf( Buy, lastpriceBuy, Null ) ,"BUY",1.4,colorDefault,colorDefault,60);
    AddColumn(IIf(Sell,lastpriceSELL,Null),"SELL",1.4,colorDefault,colorDefault,60);
    AddColumn(a1=IIf(Sell,lastpriceSELL- Ref(lastpriceBuy,-1),Null),"Long-Pip",1.4,colorDefault,colorBuyProfit ,60);

    // these 5 linea are for Short trades
    AddColumn(IIf(Short, Asc("S",0), Asc("C")), "PosS", formatChar);
    AddColumn( Sell, "Short", 1 );
    AddColumn(IIf( Short, lastpriceShort, Null ) ,"Short",1.4,colorDefault,colorDefault,70);
    AddColumn(IIf(Cover,lastpriceCover,Null),"Cover",1.4,colorDefault,colorDefault,70);
    AddColumn(b1=IIf(Cover,Ref(lastpriceshort,-1)-lastpriceCover,Null),"ShortPip",1.4,colorDefault,ColorShortProfit ,60);



    a3=IIf(Sell,a1,IIf( Cover,b1 ,Null)); // tell me the points of every trade
    Mycolor = IIf( a3 > 0 , colorGreen, colorRed); //is it correct??????no ap3ut it after a3 line this line
    AddColumn(a3,"Gain/Loss",1.4,Mycolor,colorBuyProfit ,80); // contains wining trades of every 2 lines
    Percentange = IIf(Sell,((lastpriceSELL-lastpriceBuy)/lastpriceBuy)*100,IIf(Cover,((lastpriceShort-lastpriceCover)/lastpriceCover)*100,Null));

    //AddColumn(a3,"Gain/Loss",1.4,colorDefault,colorBuyProfit ,80); // contains wining trades of every 2 lines
    // all above are corect for gia BUY SELL sort cover

    AddSummaryRows( 1, 1.4, 4,7,9, 12,13,15);
    } // end actionExplore


    //--------------------- appearance of various signals of long / short in the chart
    if( Status("Action")==actionIndicator )
    {
    SetChartBkColor(ParamColor("backround ",colorBlack));
    SetChartOptions(0,chartShowArrows|chartShowDates);
    strWeekday = StrMid("SunMonTueWedThuFriSat", SelectedValue(DayOfWeek())*3,3);
    Title1= Name() +","+Date()+","+ " TimeFrame: " + Interval(2)+"\n Open "+O +", High " +H +", Low "+L +", Close "+C+ ", "+"(" +WriteVal(ROC(C,1),1.2)+"%)" ;

    Display_Bars = ParamToggle("Display Bars","No|Yes",1);
    if (Display_Bars) Plot( C, "" , colorWhite, styleBar);
    if (TradeTime) Plot( IIf(EA,6,-1e10),"",colorBlueGrey ,styleOwnScale|styleArea|styleNoLabel, -1, 90);

    ////////////////////// Arrows
    belakiaBS = ParamToggle("Arrows Buy-Sell","HIDE|SHOW",1);
    if( belakiaBS )
    {
    PlotShapes(IIf (Buy,shapeUpArrow,shapeNone),colorGreen,0,L,-30);
    PlotShapes(IIf (Buy,shapeSmallCircle,shapeNone),colorGreen,0,O,0);
    PlotShapes(IIf (Sell,shapeDownArrow,shapeNone),colorRed,0,H,-40);
    PlotShapes(IIf (Sell,shapeSmallCircle,shapeNone),colorRed,0,O,0);
    }
    belakiaSC = ParamToggle("Arrows Short-Cover","HIDE|SHOW",1);
    if( belakiaSC )
    {
    PlotShapes(IIf(Short,shapeSmallDownTriangle,shapeNone),colorRed,0,H,-30);
    PlotShapes(IIf (Short,shapeSmallCircle,shapeNone),colorRed,0,O,0);
    PlotShapes(IIf(Cover,shapeSmallUpTriangle,shapeNone),colorOrange,0,L,-40);
    PlotShapes(IIf (Cover,shapeSmallCircle,shapeNone),colorOrange,0,O,0);
    }

    ////////////////////// Sum Total buy and short positions
    //
    // Value of one lot of Nifty is approx. Rs.250,000 for which Rs.25000 margin is required.
    // commission for 1 lot=Rs250 Stop=12
    TotalPosBuy=Cum(Buy); x1=Cum(BuyProfit); x2=Sum(ShortProfit,98);
    NumContracts = Param("NumContracts ", 1,1,100,1);
    Commission = TickSize*Param("Commission", 250,1,450,1); // 250 per lot
    TotalCommisionTrade =TotalPosBuy*NumContracts*Commission ;

    TitleSynolo=" Entry Long Trades = "+TotalPosBuy +"\n Num Contracts "+NumContracts + "\nTotal Commision Of Long Trades RS = "+TotalCommisionTrade +
    "\n";



    EventNum =TotalPosBuy;
    FirstVisibleBar = Status( "FirstVisibleBar" );
    Lastvisiblebar = Status("LastVisibleBar");
    for( b = Firstvisiblebar; b < Lastvisiblebar AND b < BarCount; b++)
    {
    dist = TickSize*9;
    colorBuyProfit = IIf(BuyProfit>0,colorGreen,colorRed);
    ColorShortProfit = IIf(ShortProfit >0,colorGreen,colorRed);
    ////////////////////// PlotText Total Pos Buy appear
    TextEventNum = ParamToggle("Event TotalPosBuy","HIDE|SHOW",0); if( TextEventNum )
    {
    if( Buy ) PlotText("\n\n\n\nEvent\n"+NumToStr(EventNum,1.0,False),b,L,colorWhite);
    if( Sell ) PlotText("Event\n"+NumToStr(EventNum,1.0,False),b,H,colorWhite);
    }

    ////////////////////// PlotText we appear gainers / lossers
    TextPipsBS = ParamToggle("Plot Buy Pips","HIDE|SHOW",0); if( TextPipsBS )
    {
    if( Buy ) PlotText( "Buy\n\n" + lastpriceBuy , b, L-dist, colorBrightGreen ); //ColorShortProfit
    if( Sell ) PlotText( "Sell\n"+lastpriceSELL +"\n" + WriteVal(BuyProfit ,1.4) , b, H+dist, colorBlack,colorBuyProfit );
    }
    TextPipsSC = ParamToggle("Plot Short Pips","HIDE|SHOW",0); if( TextPipsSC)
    {
    if( Short ) PlotText( "\n\n\nShort\n" + lastpriceShort, b, H+dist[b], colorOrange );
    if( Cover[b] ) PlotText( "\n\n\nCover\n"+ lastpriceCover[b]+"\n"+WriteVal(ShortProfit [b],1.4), b, L[b]-dist[b], colorBlack, ColorShortProfit );
    }
    ///////// END ///////////// PlotText we appear gainers / lossers

    ////////////////////// PlotText we appear the Time of the Trade
    myDateTime = DateTime();
    TextDateOnChart = ParamToggle("Plot Text Date Time","SHOW TextDate|HIDE TextDate",0);
    if( TextDateOnChart )
    {
    if( Buy[b] ) PlotText("\n\n\n"+NumToStr(myDateTime[b],formatDateTime) +"", b, H[ b ]-dist[b], colorLime );
    if( Sell[b] ) PlotText("\n\n\n"+NumToStr(myDateTime[b],formatDateTime)+"" , b, L[ b ]+dist[b], colorLime );
    }

    //////// END ////////////// PlotText we appear the Time of the Trade

    } // end FirstVisibleBar

    Eq = Equity( 1 );
    if ( ParamToggle( "Equity", "HIDE|SHOW", 0 ) ) Plot( Eq, "", colorYellow, 1 | styleOwnScale );

    Title=" # "+strWeekday+" # "+Title1 + TitleTradeTime+ "\n\n"+TitleSynolo ;

    } // end actionIndicator


    _SECTION_END();////////////////////// Sum Total buy AND Short positions


    // Dear Panos, Regards Bharat


    // Value of one lot of Nifty is approx.Rs.250,000 for which Rs.25000 margin is required.


    // commission for 1 lot=Rs250; Stop=12


    TotalPosBuy=Cum(Buy); x1=Cum(BuyProfit); x2=Sum(ShortProfit,98);


    NumContracts = Param("NumContracts ", 1,1,100,1);


    Commission = TickSize*Param("Commission", 250,1,450,1); // 250 per lot


    SumCommisionBuyTrades =TotalPosBuy*NumContracts*Commission ;




    TotalPosShort=Cum(Short);

    SumCommisionShortTrades =TotalPosShort*NumContracts*Commission ;




    TotalCommisionTrade =0;




    TitleSynolo=" Entry Long Trades = "+TotalPosBuy + " Entry
    Short Trades = "+TotalPosShort +"\n Num Contracts "+NumContracts
    + "\nTotal Commision Of Long
    Trades RS = "+SumCommisionBuyTrades +


    "\nTotal Commision Of Short
    Trades RS = "+SumCommisionShortTrades
    +


    "\n";

    [quote="joshsmi, post: 731632"]These two

    Sell=SellOK OR EndTime ;

    Cover=CoverOK OR EndTime ;

    are wrong in case of Endtime


    You should add timenum()

    Sell=SellOK OR Timenum() >= EndTime ;

    Cover=CoverOK ORTimeNum() >= EndTime ;

    Also you should probably use delay for Buy and Short as you want to enter on next bar's Open.

    [code]
    tn = TimeNum();

    EA = tn >= 093000 AND tn <= 151500;

    Buycond = buyOK AND EA;
    Buy = Ref(Buycond, -1);
    BuyPrice = Open;

    Sell = SellOK OR tn >= EndTime;
    SellPrice = Close;

    Shortcond = ShortOK AND EA;
    Short = Ref(Shortcond, -1);
    ShortPrice = Open;

    Cover = CoverOK OR tn >= EndTime;
    CoverPrice = Close;

    TitleTradeTime= "\nBacktest Trade With Time = ON"; [/code]

    Or maybe this way

    [code]
    tn = TimeNum();

    EA = tn >= 093000 AND tn <= 151500;

    Buy = Ref(BuyOK, -1) AND EA;
    BuyPrice = Open;

    Sell = SellOK OR tn >= EndTime;
    SellPrice = Close;

    Short = Ref(ShortOK, -1) AND EA;
    ShortPrice = Open;

    Cover = CoverOK OR tn >= EndTime;
    CoverPrice = Close;

    TitleTradeTime= "\nBacktest Trade With Time = ON";[/code]


    Don't understand your other problem. Maybe you should post the full code.[/QUOTE][/b][/b][/b][/b][/b][/b][/b][/b][/b][/b][/b][/b]
     
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