Edit: This problem was a programming error of myself. Please see the third post for the solution if you have the same problem.
Hi there,
I came across something quite wierd when backtesting a strategy in NT 7.0, and spend a couple of hours in vain to find a solution. I'm hoping someone can help me out.
I'm backtesting a strategy with 2 profit targets and a stoploss. In short: if the price closes above the Pivot PP level, enter long. Stoploss is placed 3 ticks under PP level. First target is R1, second target is R2. As you can see, nothing fancy and quite straightforward.
If I backtest the code it works well (i.e. does what it's supposed to do), but there are two trades in the whole backtest period in which the long is exited at a non-existing price.
Please see the attachment for a graphical representation.
This is the output of TraceOrders:
The first two lines are correct: 2942.10 is the R1 level and 2990.87 is the R2 Pivot level. The position gets entered at around 2880, so that's okay.
What I find wierd is the fourth line. In that line gets the profit target of R1 changed to just above the PP level, at which it gets sold, even though the price never goes there. Besides that, there is no reason to change the profit target to that value?
I can't find where I did go wrong, because the other trades (except one other instance) in the backtest get all done correctly.
Any thoughts would be highly appreciated,
Regards,
Hi there,
I came across something quite wierd when backtesting a strategy in NT 7.0, and spend a couple of hours in vain to find a solution. I'm hoping someone can help me out.
I'm backtesting a strategy with 2 profit targets and a stoploss. In short: if the price closes above the Pivot PP level, enter long. Stoploss is placed 3 ticks under PP level. First target is R1, second target is R2. As you can see, nothing fancy and quite straightforward.
If I backtest the code it works well (i.e. does what it's supposed to do), but there are two trades in the whole backtest period in which the long is exited at a non-existing price.
Please see the attachment for a graphical representation.
This is the output of TraceOrders:
PHP Code:
22-9-2009 9:30:00 Entered internal SetStopTarget() method: Type=Target FromEntrySignal='LongPP-a' Mode=Price Value=2942,10333333333 Currency=0 Simulated=False
22-9-2009 9:30:00 Entered internal SetStopTarget() method: Type=Target FromEntrySignal='LongPP-b' Mode=Price Value=2990,87666666667 Currency=0 Simulated=False
22-9-2009 9:30:00 Amended target order: Order='NT-00011/Backtest' Name='Profit target' State=Working Instrument='ESTX50 ##-##' Action=Sell Limit price=2990,88 Stop price=0 Quantity=1 Strategy='WeeklyPivot' Type=Limit Tif=Gtc Oco='NT-00005' Filled=0 Fill price=0 Token='29bb5c8ada1542e4bf43638964e33251' Gtd='1-12-2099 0:00:00'
22-9-2009 9:30:00 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Price Value=2861,91666666667 Currency=0 Simulated=False
22-9-2009 9:30:00 Amended stop order: Order='NT-00010/Backtest' Name='Stop loss' State=Working Instrument='ESTX50 ##-##' Action=Sell Limit price=0 Stop price=2861,92 Quantity=1 Strategy='WeeklyPivot' Type=Stop Tif=Gtc Oco='NT-00005' Filled=0 Fill price=0 Token='cffa0b3b3c4a4b689108fce96d7006b4' Gtd='1-12-2099 0:00:00'
22-9-2009 9:30:00 Cancelled expired order: BarsInProgress=0: Order='NT-00008/Backtest' Name='Stop loss' State=Cancelled Instrument='ESTX50 ##-##' Action=Sell Limit price=0 Stop price=2852,56 Quantity=1 Strategy='WeeklyPivot' Type=Stop Tif=Gtc Oco='NT-00004' Filled=0 Fill price=0 Token='393c6bb2cb124ba8a5aafada040a877d' Gtd='1-12-2099 0:00:00'
What I find wierd is the fourth line. In that line gets the profit target of R1 changed to just above the PP level, at which it gets sold, even though the price never goes there. Besides that, there is no reason to change the profit target to that value?
I can't find where I did go wrong, because the other trades (except one other instance) in the backtest get all done correctly.
Any thoughts would be highly appreciated,
Regards,
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