Hi everyone, as described in my last posting I am using 2 strategies, which get triggered alternately depending on the market situation (always 100% in).
Here is a thing, which confuses me.
Once the first strategy exits (see chart), the buy signal for the second strategy doesn't get triggered befor the close price was below the SMA100 again (Which is a few months later).
I would understand this behavoir, if the entry condition would have been "Indicator crosses indicator".
But in this case the condition is "Indicator compare to indicator". So I expected the strategy 2 to kick in immediatelly after exiting form strategy 1.
What is the reason for this behavoir in the backtest?
Or how do I have to change the strategies so that strategy 2 takes effect immediately?
I added the strategies, the chart and the order positions below.
Here is a thing, which confuses me.
Once the first strategy exits (see chart), the buy signal for the second strategy doesn't get triggered befor the close price was below the SMA100 again (Which is a few months later).
I would understand this behavoir, if the entry condition would have been "Indicator crosses indicator".
But in this case the condition is "Indicator compare to indicator". So I expected the strategy 2 to kick in immediatelly after exiting form strategy 1.
What is the reason for this behavoir in the backtest?
Or how do I have to change the strategies so that strategy 2 takes effect immediately?
I added the strategies, the chart and the order positions below.
Rename
QUOTE:What do you mean? This is not a stop and reverse strategy.
always 100%
Anyway, by the trades showing, it's pretty clear you have 100% of Equity sizing selected, or something close to it. This means only 1 of the block pairs will be able to hold a position, unless you put margin at 2 (and maybe 2.1 to be sure).
What's the Starting date of that backtest? Something doesn't look right to me either where you indicated it on the chart.
Correct. It is not a stop and reverse strategy.
Attached you find the strategy settings:
- Position sizing is 95% of equity.
- The years are effectively 1993 to 2000 (Starting year is set to 1980. But data is available not before 1993.)
Attached you find the strategy settings:
- Position sizing is 95% of equity.
- The years are effectively 1993 to 2000 (Starting year is set to 1980. But data is available not before 1993.)
You're doing WFO and are probably looking at the Backtest of the WFO optimized run, are you not?
(A most important piece of information left out of the topic.)
If that's case, each period has it's own set of optimized variables. The "lines" change for each WFO interval.
(A most important piece of information left out of the topic.)
If that's case, each period has it's own set of optimized variables. The "lines" change for each WFO interval.
What does WFO stand for?
My question doesn't concern optimizations.
It is only about the conditions when buy at market orders get triggered.
I don't understand, why the "Buy at Market - Close is greater than SMA(Close,100)" condition of strategy 2 doesn't get triggered from the 5th of November 1998 on, after the exit from strategy 1 on the 4th of November 1998.
The condition of "buy at market" from strategy 2 is fulfilled immediately.
It takes about 10 more months until the strategy 2 gets triggered.
Perhaps it is a coincidence, but this is the first time the Close switches from "below SMA 100" to "above SMA 100".
And triggering a buy at market order at this point (18th of August 1999), I would expect from a "Close crosses SMA 100" condition, rather than from a "Close is greater than SMA 100" condition.
My question doesn't concern optimizations.
It is only about the conditions when buy at market orders get triggered.
I don't understand, why the "Buy at Market - Close is greater than SMA(Close,100)" condition of strategy 2 doesn't get triggered from the 5th of November 1998 on, after the exit from strategy 1 on the 4th of November 1998.
The condition of "buy at market" from strategy 2 is fulfilled immediately.
It takes about 10 more months until the strategy 2 gets triggered.
Perhaps it is a coincidence, but this is the first time the Close switches from "below SMA 100" to "above SMA 100".
And triggering a buy at market order at this point (18th of August 1999), I would expect from a "Close crosses SMA 100" condition, rather than from a "Close is greater than SMA 100" condition.
Your image, right side is the result of running a Walk-Forward Optimization (WFO).
The checkbox at the top of that frame makes the backtest run using the optimized parameters. That means the periods of the SMAs used in the backtest are changing multiple times throughout the backtest based on the WFO.
Uncheck that box, and then run the [unoptimized] backtest so that it makes more sense to what you're seeing on the chart.
The checkbox at the top of that frame makes the backtest run using the optimized parameters. That means the periods of the SMAs used in the backtest are changing multiple times throughout the backtest based on the WFO.
Uncheck that box, and then run the [unoptimized] backtest so that it makes more sense to what you're seeing on the chart.
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