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Is it some bug or its expected?

Started by Marcio, October 16, 2019, 05:26:47 PM

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Marcio

I have a trading system defined for me, when ploted to chart buy and sell signals are right but in the backtesting report the in and out date is a date one day after.

Where can I send some screenshots?

Sacha

It is expected. When signal occurs it uses the data of that day and so you cannot actually trade the same day. So, 1 day delay in acting on a signal is minimum you can achieve.

Regarding sending screenshot, now you can send it on this forum as you have got an account. But, for this particular case there is no need. :)
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Marcio

#2
Thanks Sasha, got the idea.

I will try to explain my trading system and the impressions that I got from testing it in Stocklyze.

I use to open a long position when RSI (2) is bellow 10 and close the position when the price reaches the high of last 2 days. So when I got the signal I use to open the position very close to the market close hour, in the after market or right after the market open in the day after the signal. I close the position in the exact price of last to days.

What I realized in Stocklyze:

System open the position in the day after the signal like you mention but in the close price not in the open.
System close the position in the day that reach the price of last 2 days but not in the price, it close in the close price of day.

Is it something that I set wrong? In this case of this 1 day slippage, don't you think it's better to use the open price of the day after the signal?

Sacha

QuoteIn this case of this 1 day slippage, don't you think it's better to use the open price of the day after the signal?

I get your point. Let me think what can be done to improve it.
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Sacha

I am planning to make it configurable to decide the trading price from open, close, low, high, average, or typical price. Do you think this is what you need?
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Marcio

Checking now, looks very promising.

I could not figure how Typical and  Average price is calculated. How is?

Thanks a lot Sacha!!!

Sacha

They are values of corresponding indicators. You can try TYPPRICE and AVGPRICE indicators, they belong to Price Transform category of indicators.
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Marcio

I was comparing the trading system create for ma based on IFR2 > 10 and the new feature that you add, "On signal day" is producing effect, but the BBANDS trading system don't respect this new option, so in BBANDS the next day after the day of signal.

For BBANDS if I uncheck the option On day signal 2 days is adding to day of signal.


Sacha

The probable reason is that you are looking at the signal that happened on Friday or a day before a holiday and so the next trading session is not the next immediate day and so the delay. Check the date of next candle on which signal occurred and confirm if this is the case. Otherwise please let me know which stock you are having problem, I will take a look.
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Marcio

What I mean is checking the "On signal day" is not creating the same results in different trading system, for example BBands and IFR2 < 10.

POMO4.SA for example.