|
||
| Investor/RT Tutorials Backtest Tutorial by F_Trader (User Submitted) Revision 1.00 / February 26, 2003 |
Click here to download Word (.doc) Document
INTRODUCTION:
These pages are intended to help IRT users making their debut with the
backtesting feature. Basic knowledge on RTL language and IRT syntax for Trading
Signals and custom indicators will of course help. Anyhow, this document was
not written to replace the current Linnsoft documentation that you may find there:
http://www.linnsoft.com/tour/tradingSystems.htm
http://www.linnsoft.com/tutorials/ruleTesting.htm
but is mainly intended to bridge
the GAP between :
š
how one manage, in his realtime daytrading activities,
the signals which can be generated by his own indicators on his charts
AND
š
the best way to build
a full trading systems from these indicators (and implement money management
rules) with the very powerful tools available in the RTL programming language
and the IRT backtesting features.
Finally, being a mainly E-minis trader located in
- the main
- all trading systems examples are based on a 5 minute
timeframe, the default trading size being two ES contracts.
Of course, all explanations can be easily adapte
I really hope you will enjoy this Tutorial which gathers together most
of my backtesting experience with IRT for the past year.
All scripts here should be run with IRT version 5.9.7 or later.
Do not hesitate to contact me for question on this paper, or for
reporting possible tipping errors or inconsistencies by email at f_trader02@yahoo.fr, using the Linnsoft
Yahoo group or thru the #Linnsoft chatroom on the OTHERNET IRC server.
Happy Backtesting
Eddy
PS: please consider this very first version as a DRAFT / Check for any
new revision of this document which will be most likely advertised on the
Yahoo group or on www.linnsoft.com
_ACTUAL
TABLE OF CONTENT__
CHAPTER 1: Basic guidelines
for writing entry and exit trading signals
1.1)
Distinction between End Of
Bar (EOB) and Intra-Bar (INB) signals
1.2)
Market order type and slippage
considerations for EOB and INB signals
1.3)
Adding a “filter” to our
entry rules
1.4)
Managing reverse rules
1.5)
Tips for getting EOB /
INB signals markers on your chart and
about the equity curve charts
1.6)
Detailed scripts of the trading systems
discussed in Chapter 1
CHAPTER 2: How to add Money
Management rules to an IRT trading system
2.1) Using an EOB
approach for money management rules: a logical choice
2.2) Definition of
the Money Management V# variables.
2.3) The Money Management (MM) rules explained
step by step
2.4) How to simplify the “maintenance” works
around backtest or how to use exactly the same single trading system for
testing different strategies
2.5) Detailed scripts of the trading systems discussed
in Chapter 2
_VIRTUAL
ADDITIONAL TABLE OF CONTENT__
For information only, here are the chapters, NOT yet on paper, but which could get out of
my head one day an
3) Custom reporting with the NOTE Token
This NOTE token allows you to show any V# variable value in the detailed report file: you may use it to build a fully customize report
4) Getting your backtest rules in realtime on your
charts
or how to get live on your charts you’re the same
entry/exit/MM signals than the one you get in your backtest (without running
any backtest ..)
5) Managing multi-periodicity (and even
multi-instrument) signals
This issue is already discussed a bit in section 1.5
6) Optimisation of your trading system parameters
IRT allows you to automatically
fin
7) Max Favorable / Adversary
excursion and Intra-trade Drawdown analysis
Detailed MFE/MAE analysis and reporting for all backtested trades can be achieved using some V# variables
CHAPTER 1 : Basic
guidelines for writing entry and exit trading signals
We will start explaining here the distinction between:
A) an
“End Of Bar” (or EOB) Signal
B) an
“Intra-Bar” (or INB) Signal
and the impact of this essential
choice on the way you may write ALL your trading rules whatever their type : i.e.
entry signals, filters, profit taking rules, stop loss rules, etc
In fact, when designing a trading system, the first step is to check
that you have a coherent approach between:
š
your trading style, i.e. how you manage your signals
in realtime
š
and the way you intend to transcript them for backtesting
purpose
In order to write coherent trading rules and not cheat with your
backtest (ie enter a signal at a given time using
“future” data), it is essential that you understand all nuances between EOB and
INB signals. By experience, I guarantee you that the main pitfall
before getting “realistic” backtest results are here...
You will find that it might be interesting to open twice this document
so that you may follow at the same time how the systems are building, and how
the final result (ie IRT text transcript of all the
rules) looks like. These transcripts are located at the end of each chapter.
1.1) the
distinctions between EOB and INB signal
We will consider in this chapter a basic breakout system based on 5
minute bar chart.
In this system, you enter a long position when there is a breakout of
the Highest High of the 10 previous bars, and you exit it at the break
of the Lowest Low for the 7 previous bars..
A) End of Bar Signal (EOB)
If your system is : wait for the first CLOSE of a given bar to be
higher than the highest high of the 10 preceding bars to go long,
then your entry rule will have following logic :
If CL > STAT.1 Then BUY 2 at Close Price
with STAT
= Maximum Close for Preceding 10 Bars
Of course, you need to use STAT.1 in this trading signal in order to
simulate the highest high of the 10 PREVIOUS bar and exclude the high of the
current tested bar
Note: Since version 5.9.7, you could also use the syntax: CL > MAX
(HI.1, 10)
In this case, what is important is that you wait UNTIL the end of the 5 min
bar to make a decision about entering a trade, because your rule is : wait that
the CLOSE of the current bar breaks the highest high of the 10 previous bar (by
the way, this particular value is known since the start of the current 5 minute
bar)
ie with EOB signals, you don’t
care at all about what the market could do during 5 minute : there could be
1000’s of trades (which will be compacted into the Open / Low and High
information), you will be using only ONE trade data to take a decision : the
CLOSE of the bar
The corresponding trading system, incl. Filter rules (as explained later
in section 1.3) will be named REF_SYSTEM_A_EOB and its scripts, as other
in this chapter is available in section 1.6.1)
B) Intra-Bar Signal (INB)
In this case, your entry signal can be described as:
As soon as there is one trade done at a value higher than the previous
10 bars high, you enter the trade.
While trading in realtime with this approach, this requires you (or
trading platform) monitor all the trades as they might appear in a “Time and
sales” windows for example, because you need only one tick i.e. one trade with
the adequate price to trigger your entry.
Anyhow, in the backtest, your entry price will be the Highest High of
the previous 10 bar. This value is not listed by default in the “Rule Price”
window, so you need to store it using a V variable.
In IRT syntax, this will be done thru a SET statement like SET(V#2,STAT.1) which will appear in a Trading
signal at the top of the rules list (the STAT token has the same setting than
in A))
We will name it Store_Bkout_value and
it will be associated to a NONE rule (i.e. "no action" rule)
Please note that you will need to rename the STAT token in the Trading
signals definition because he will be used several time.
This way, the value will be updated at every backtest
iteration, i.e. for every new 5 minute bar.
The entry
trading signal associated to the BUY action will be then:
If HI > V#2 Then BUY 2 at Value V#2 Price
For more: see the script of the system named REF_SYSTEM_A_INB in
1.6.2)
Note:
Do not forget to go to the “Set Up / Preferences / User variables” menu
to give a title to this V variable.
1.2) Market order type and slippage consideration for EOB and INB
signals
OK, this part is not fully linked to IRT issue but it helps understand
the difference between EOB and INB signals
A) End of Bar Signal
In such a system, you do not know “in advance” what will be your entry
price as long as the 5 minute bar is completed (of course, you do try to enter
on the CLOSE of the bar)
So basically, if your system trigger when the CL data is printed, you
would enter the market as soon as possible, typically with a market order,
i.e. you will experience slippage. Of course, this impact of the slippage
(let’s say one or two ticks for futures) on the
Indeed, it might take you between 5 and 30 seconds to send you order
thru your broker platform, not so an issue if you are working with 30 minute
bars, but this is a big issue if your are working with 1 minute bars…
B) Intra-Bar Signal
In this
case, you know “in advance” (i.e. as soon as a 5 minute period starts) what
could be your entry price for both a long or short trade. But, at the opposite
of EOB signals, the signal could trigger (in realtime) at any time, not only at
the completion of the 5 minute bars. But knowing in advance the possible entry
price allows you to use pre-programmed limit orders (for both long and
short entry): i.e.
you
will be updating the corresponding values of the resting go long/short orders
every 5 minutes, at the start of every new bar… Such an operation could take
few seconds, so in this case:
š either you may experienced slippage is the
breakout occur just at the start of the bar (because you don’t have updated yet
the value of your resting limit order)
š either, and this is the case most of the
time, you won’t experienced any slippage at all, i.e. your limit order will be
filled at the exact price
C) The
bid/ask story or how to make sure that the “backtest fill” is a realistic one
Personally, I trade the S&P E mini which always have (during the day
session) a single tick (i.e. 0.25 point) difference between the ask and the
bid.
However, having a bid/ask at 835 / 835.25 and a buy limit order at
835.25 do NOT guarantee you a fill.
This is why I would write, in such a case, my entry rule as
HI > STAT.1
and NOT as HI > = STAT.1
Indeed, I want
to make sure that the limit order (I simulated in the backtest) would be
filled.
There will be
more example of this conservative approach later in this tutorial. The main
idea is that I prefer to have a pessimistic backtest result than an optimistic
one…
1.3) Adding a “filter” to
our entry rules
Adding Filter provides a very good illustration to the difference
between EOB and INB signals. Let’s consider the typical ADX filter, i.e. a
breakout will be only traded if the ADX is above 25 AND the ADX is increasing
A) For EOB rules
In such system, you enter a trade as soon as the signal is triggered, i.e.
when the 5 minute bar is completed. So you may use all the price data of the
current bar in your filter calculation, including of course the CLOSE
The entry signal for a long signal would be then:
If ( CL > STAT.1 AND
ADX > 25 AND ADX > ADX.1) Then BUY 2 at Close Price
B) Intra-Bar rules
In this case, as your signal may trigger as soon as the new bar starts
to form, it is not possible to use the current close in the filter calculation
If this is not clear yet in your mind, remember that the IRT backtesting
makes calculation ONCE at the end of every time frame (here 5 minutes), so if
you simulate an entry during the current bar, you need to limit your data until
the previous Bar data (i.e. CL.1 or ADX.1), so that IRT does not use the CLOSE
which will historically be printed after your possible trade entry time.
This is why the entry signal for a long trade would be then be here:
If (HI > V#2 and ADX.1 > 25 and ADX.1 > ADX.2) Then BUY 2 at
Value V#2 Price
(with V#2 being set as STAT.1)
WARNING: The rules: If (HI >
V#2 and ADX > 25) Then BUY 2 at Value V#2 Price is clearly incorrect because
“future” data is used to take a decision in the past.
By the way, IRT or (any other trading software) doesn't have sufficient
logic to warn the user with “an error message”. So always verify the rules
logic behind any backtesting report producing some extraordinary results…
Note:
For INB and EOB, I have used exactly the same filter rule for both LNG
and SHT sides, so I could have basically have used a unique trading signal name
: of course, there are usually different, so I'll keep naming them __LNG_FILTER
and __SHT_FILTER
C) Adding Filter as CONFIRM rules
As soon as your trading system starts to be a bit complex, I would
recommend to have a modular approach, i.e. for example, you may include your
filter with a CONFIRM rules, just before the actual BUY or SELL actions in the
list of trading rules.
This is the way the script features at the end of this chapter are
structured.
Indeed, such CONFIRM rules will greatly improve:
1) the legibility of
the structure of the trading rules
2) the execution times
of your backtest (as the possibly complex entry rules calculation will be only
done IF the filter rules returns true)
3) allow you to use
the same filter rules in different trading systems
Please note that the most common filter will be in fact a TIME FILTER
Let’s say that you will not enter trade on the first or last 10 minutes
of the daysession, you could write it in a Trading signal as: (TIME > 1540)
AND (TIME<2150)
You will notice that I do prefer write this rule as: (TIME > 1540)*(TIME<2150) > 0
because it look like such approach
results in quicker calculation
For example if you want to enter a trade only on the first or last hour,
you may write the corresponding signals as:
(TIME > 1530 AND TIME<1630)
OR (TIME > 2100 AND TIME <
2200)
or as : ( (TIME > 1530)*(TIME<1630) + (TIME > 2100)*(TIME < 2200) ) > 0
PS : As I never hold any position overnight, all my
trading systems will include a Market close rule (MKT_CL), i.e. exit all
position when the trading signal TIME=2200 returns true…
Do not forget to use such Time filter if you have 24 hours data
available (like it is the case for ES), otherwise you will end up triggering
trade at 3 in the night: indeed the IRT backtesting data will be based on the
default session of the instrument tested
1.4) Managing
reverse rules
OK, before
investigating the implementation of money management rules, we need to see how
to manage reverse rules, which can be a bit tricky when combined with filter rules…
You might think: reverse rules are easy to master!
I will answer
that this might be the second major sources of mistakes after the confusion
between EOB and INB signals.
By the way,
please note that following comments are fully vali
A)
With
no dedicated f ilters rules
Let’s start with a system having “NO filter rules” and a set of
symmetrical rules: i.e. the exit rules of a Short trade ALWAYS trigger the
start of a long position
In our example, this would mean that breakout perio
CL < STAT.1 but with STAT = Minimum of the Low of 10 preceding bars
(instead of 7 bars)
In this case, implementing the reverse rules is quite an easy task:
For exiting a long position, you just replace SELL by a REVERSE-SELL
& SELL SHORT action
For exiting a short position, you just replace COVERSHORT by a
REVERSE-COVERSHORT & BUY action
So the order of the rules could be as follow:
BUY rule
SELL rule
REVERSE-SELL & SELL SHORT
REVERSE-COVERSHORT & BUY
action
In IRT, these REVERSE rules allow to Exit a long position and Enter a short position on the same bar! We will tell more on
that later, in section 2.3
B) With a
filter rule prior to the entry signal
Let’s consider now our breakout system having the same 10 bar period,
BUT with some a filter for initiating a NEW position (short or Long)
Here it is just a bit trickier. Indeed, in this case, when you get your
signal for exiting a Long Position, you must make check the “filter” status to
know if this breakout of the 10 previous bar results in:
š
Exiting a Long position and remaining flat (filter
status = false)
š
Exiting a Long position and entering a Short (filter
status = true)
In this case, you just need to write in the following order (let’s
consider first only the LONG side rules before mixing both SHORT and LONG positions)
LNG FILTER CONFIRM rule
BUY rule
SHT REV FILTER CONFIRM rule
REVERSE-SELL & SELL SHORT
rule
SELL rule
What is important to understand is that you are managing here TWO exit
signals, and that you absolutely need to put your Reverse Rules Statement (which
will be activated if the associated Filter CONFIRM rule returns true) BEFORE
the usual exit rules statement… The order in which you place your trading
actions on the rules list is vital in IRT.
Please note as well that an SHT_FILTER_EOB_REV for example will be
almost identical to the SHT_FILTER_EOB one
except that we will add to it a check for “POS_STATE=1”, i.e. this
filter can only returns true in a REVERSE situation, i.e. when a LONG trade is
ongoing
Ok, this might sound a bit complex for a implementing a reverse rules,
but remind here that we are managing in fact two exit signals.
Of course, one could decrease the number of rules by incorporating the
“Filter rules” within the actual SELL and REVERSE-SELL & SELL SHORT rules.
But I really prefer this modular approach and use of CONFIRM rules.
There are further advantages that will appear only in the coming
chapters..
For the Short side, the set of rules will be:
SHT FILTER CONFIRM rule
SELL SHORT rule
LNG REV FILTER CONFIRM rule
REVERSE-COVERSHORT
& BUY rule
COVERSHORT rule
And if we combined both long and short rules:
LNG FILTER CONFIRM rule
BUY rule
SHT FILTER CONFIRM rule
SELL SHORT rule
LNG REV FILTER CONFIRM rule
REVERSE-COVERSHORT & BUY
rule
COVERSHORT rule
SHT REV FILTER CONFIRM rule
REVERSE-SELL & SELL SHORT
rule
SELL rule
You have noticed that rules for initiating new trades are of course
situated before the exit signals.
In EOB type of approach, you usually won’t have at the Close both Short
and Long trades triggering at the same time (otherwise, recheck your rules
logic!!), so the respective order between the SHT and LNG rules (within the
ENTRY or EXIT set of rules) doesn’t matter.
HOWEVER, with the INB approach, it is fully possible that the same bar
trigger a BUY and SELL actions (imagine a very wide outside bars breaking at
the same time the previous 10 bars Low and Highs). In this quite rare
situation, there is no magic, with the above set of rules, the BUY signal would
be triggere
Anyhow, as there is no way to know if the HI or LO of a bar occurre
Moreover, with our present set of rules, what would happen is that the
trade will be then systematically closed on the same bar, resulting in a
negative PL…
At least, this will not “over-optimize” our system performance…
So I consider these point to be really a very minor inconvenient
compared to the benefits of an INB approach for simulating breakouts…
Please remember as well, there is many ways to manage Filter and Reverse
rules in IRT. I am just showing you one possible approach! If you select
another approach, just be careful to have a set of coherent rules…
I have attached in 1.6.3 the full script for an EOB system including
Filter and Reverse rules
1.5) Tips
for getting EOB / INB signals markers on your chart and about the equity curve
chart
We will be discussing here quickly charting issue related to:
A) Entry and exit trade signals markers
Breakout types of entry are the easy one to program using a INB method. What is very nice with such approach is that
you do not have any blinking signals on your chart.
Here is what I mean:
Let’s say that I have a Signal marker associated to the rule:
HI > STAT.1
In this case, as soon as the marker appears once during the life of a 5
minute bars, it will remains: indeed, the High can only goes higher (except may
be in case of bad ticks, which are really rare with E-minis)…
On the other hand, let's consider the EOB rules:
CL > STAT.1
Depending on the last trade value, during the building of the 5 min
bars, you could have a “blinking marker” if the ongoing trades “oscillate”
successively above and below the trigger level. This is a good indication a
trade could be trigger soon, when the bar is completed, but is quite annoying
at the end of the day if you follow this marker to actually pull the trigger on
your broker platform.
My tip is the following in case of EOB entry signals:
1) I would use a color marker BELOW the chart for showing different colors depending on the status of the CL > STAT.1
statement
2) I use on the chart
a signal marker, but it is :
š
associated to the signal CL.1 > STAT.2
š
the marker is shifted one bar on the left
š
and is linked to a given wav sound
This way, if the signal triggers indeed at the close of the bar, the
marker you then appears ONCE on the chart (will not blink of course) and a
sound alarm will tell me that I have a CONFIRMED buy signal.
There is much more to say on this charting and markers issue. Indeed,
the problem with using the embedded “Chart rules” features in IRT is that it
does not take into account the preceding CONFIRM rules. So, on my side, I will
use another approach.
I have already detailed it a bit in the Yahoo forum:
You may have a look for example at this particular message:
http://groups.yahoo.com/group/LinnSoft/message/5601
which illustrate a very interesting
use of the powerful Signal Statistics token (SSTAT)
More on that may be one day in a possible chapter 4
B) the Equity curve Chart :
OK, there is a lot to say here as well but I will try to keep it to the essential:
The equity curve information is stored in the $REF_SYSTEM_A_EOB
instrument which will be only generated if you check the box “Account Balance
charts” of the “Setup backtest” window.
If you have an intraday system (based on 5 minute bars) and if you want
to have a nice equity curve of the past 2 years (if this is your backtest
period) fitting on your screen width (with no scrolling), you need to create a
chart with
š
a style being continuous line
š
a low pixel per bar set up(1 or 2)
š
a periodicity typically equal to your day session
duration in minutes (i.e. like 405 minutes)
š
a gridline color being the
same than your background color (this is require to
make the daily start of session vertical line, which will be highly compacted
with a 405 min. periodicity) invisible
Then, I recommend to add some vertical
reference line at given date (like at every year or month start).
This way, you get a nice chart dedicate
Below the equity curve, I would suggest to chart the following
information in separate pane:
š
The ongoing Drawdown
This is showing you at a given time the current drawdown (on a daily
basis if your periodicity is equal to the daysession duration): this curve can
be obtained using a (quite simple) custom indicator equal to “STAT – CL” with
STAT being the “Maximum Close” since a fixed date (i.e. the start date of your
backtesting period)
š
The instrument data
Please note that the equity curve is an instrument like any other, so it
is possible to apply to it any kind of technical indicators, including custom
indicators…
The final result could look like the following screenshot
1.6) Detailed scripts of the trading systems discussed
in Chapter 1
Before going
further, here the transcript of trading system with Long and Short rules an
You will notice
that, for legibility purpose, all my Trading signals names can be cuts
in 3 part…
First part is
either __LNG / __SHT / __L_S meaning this is either a dedicated LONG / SHT
rules or a rules common to both type.
It is generally
followed by the type of action, i.e. ENTRY / Exit or FILTER
Finally, if the
trading signal is specifically linked to an EOB/INB approach or use
PS: there is
unfortunately no IMPORT facility within IRT for trading systems. So, if you
want to copy this system into your own IRT, you will need to create again with
“copy and paste” the individual trading signals and then create the successive
rules...
1.6.1) End Of Bar Basic system with FILTER rules:
Detailed Report: REF_SYSTEM_A_EOB
RULE 1: 5
Minutes: If __LNG_FILTER_EOB then CONFIRM using next rule
SIGNAL=__LNG_FILTER_EOB:
(TIME>1540)*(TIME<2150)*(ADX>25)*(ADX>ADX.1) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
RULE 2: 5
Minutes: If __LNG_ENTRY_SIG_EOB then BUY 2 at Close price
SIGNAL=__LNG_ENTRY_SIG_EOB:
CL > STATHI.1
ELEM=CL:Close
ELEM=STATHI:Statistics:STAT[Scan] MAX
H10
RULE 3: 5
Minutes: If __SHT_FILTER_EOB then CONFIRM using next rule
SIGNAL=__SHT_FILTER_EOB:
(TIME>1540)*(TIME<2150)*(ADX>25)*(ADX>ADX.1) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
RULE 4: 5
Minutes: If __SHT_ENTRY_SIG_EOB then SELL SHORT 2 at Close price
SIGNAL=__SHT_ENTRY_SIG_EOB:
CL < STATLO.1
ELEM=CL:Close
ELEM=STATLO:Statistics:STAT[Scan] MIN
L10
RULE 5: 5
Minutes: If __LNG_Exit_SIG_EOB then SELL 2 at
Close price
SIGNAL=__LNG_Exit_SIG_EOB: CL < STATLO.1
ELEM=STATLO:Statistics:STAT[Scan] MIN
L7
ELEM=CL:Close
RULE 6: 5
Minutes: If __LNG_Exit_MKT_CL then SELL 2 at
Close price
SIGNAL=__LNG_Exit_MKT_CL: (TIME = 2200)
ELEM=TIME:Backtest Time (hhmm)
RULE 7: 5
Minutes: If __SHT_Exit_SIG_EOB then COVER SHORT
2 at Close price
SIGNAL=__SHT_Exit_SIG_EOB: CL > STATHI.1
ELEM=CL:Close
ELEM=STATHI:Statistics:STAT[Scan] MAX
H7
RULE 8: 5
Minutes: If __SHT_Exit_MKT_CL then COVER SHORT
2 at Close price
SIGNAL=__SHT_Exit_MKT_CL: (TIME = 2200)
ELEM=EXIT_SIGNAL:Custom Indicator:CI:_CI__Exit_Signal_BT[Scan]
ELEM=TIME:Backtest Time (hhmm)
1.6.2) Intra-Bar Basic system with FILTER rules:
Detailed Report: REF_SYSTEM_A_INB
RULE 1: 5
Minutes: If __L_S_Store_Bkout_value then NO ACTION
SIGNAL=__L_S_Store_Bkout_value: SET(V#2,STATHI.1)
and SET(V#3,STATLO.1) and SET(V#4,STAT_HI.1) and SET(V#5,STAT_LO.1)
ELEM=STATHI:Statistics:STAT[Scan] MAX
H10
ELEM=STATLO:Statistics:STAT[Scan] MIN
L10
ELEM=STAT_HI:Statistics:STAT[Scan] MAX
H7
ELEM=STAT_LO:Statistics:STAT[Scan] MIN
L7
ELEM=V#2:Highest High prev 10 bars
ELEM=V#3:Lowest Low prev 10 bars
ELEM=V#4:Highest High prev 7 bars
ELEM=V#5:Lowest Low prev 7 bars
RULE 2: 5
Minutes: If __LNG_FILTER_INB then CONFIRM using next rule
SIGNAL=__LNG_FILTER_INB:
(TIME>1540)*(TIME<2150)*(ADX.1>25)*(ADX.1<ADX.2) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
RULE 3: 5
Minutes: If __LNG_ENTRY_SIG_INB then BUY 2 at Value V#2 price
SIGNAL=__LNG_ENTRY_SIG_INB:
HI>V#2
ELEM=HI:High
ELEM=V#2:Highest High prev 10 bars
RULE 4: 5
Minutes: If __SHT_FILTER_INB then CONFIRM using next rule
SIGNAL=__SHT_FILTER_INB:
(TIME>1540)*(TIME<2150)*(ADX.1>25)*(ADX.1<ADX.2) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
RULE 5: 5
Minutes: If __SHT_ENTRY_SIG_INB then SELL SHORT 2 at Value V#3 price
SIGNAL=__SHT_ENTRY_SIG_INB:
LO<V#3
ELEM=LO:Low
ELEM=V#3:Lowest Low prev 10 bars
RULE 6: 5
Minutes: If __LNG_Exit_SIG_INB then SELL 2 at
Value V#5 price
SIGNAL=__LNG_Exit_SIG_INB: LO < V#5
ELEM=LO:Low
ELEM=V#5:Lowest Low prev 7 bars
RULE 7: 5
Minutes: If __LNG_Exit_MKT_CL then SELL 2 at
Close price
SIGNAL=__LNG_Exit_MKT_CL: (TIME = 2200)
ELEM=TIME:Backtest Time (hhmm)
RULE 8: 5
Minutes: If __SHT_Exit_SIG_INB then COVER SHORT
2 at Value V#4 price
SIGNAL=__SHT_Exit_SIG_INB: HI > V#4
ELEM=HI:High
ELEM=V#4:Highest High prev 7 bars
RULE 9: 5
Minutes: If __SHT_Exit_MKT_CL then COVER SHORT
2 at Close price
SIGNAL=__SHT_Exit_MKT_CL: (TIME = 2200)
ELEM=TIME:Backtest Time (hhmm)
1.6.3) End Of Bar Basic system with FILTER and REVERSE
rules :
Detailed Report:
REF_SYSTEM_A_EOB_REV
Be careful : with REVERSE signals, I have changed the
parameters of STAT(from 7 to 10) for the SHT & LNG EXIT signals
RULE 1: 5
Minutes: If __LNG_FILTER_EOB then CONFIRM using next rule
SIGNAL=__LNG_FILTER_EOB:
(TIME>1540)*(TIME<2150)*(ADX>25)*(ADX>ADX.1) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
RULE 2: 5
Minutes: If __LNG_ENTRY_SIG_EOB then BUY 2 at Close price
SIGNAL=__LNG_ENTRY_SIG_EOB:
CL > STATHI.1
ELEM=CL:Close
ELEM=STATHI:Statistics:STAT[Scan] MAX
H10
RULE 3: 5
Minutes: If __SHT_FILTER_EOB then CONFIRM using next rule
SIGNAL=__SHT_FILTER_EOB:
(TIME>1540)*(TIME<2150)*(ADX>25)*(ADX>ADX.1) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
RULE 4: 5
Minutes: If __SHT_ENTRY_SIG_EOB then SELL SHORT 2 at Close price
SIGNAL=__SHT_ENTRY_SIG_EOB:
CL < STATLO.1
ELEM=CL:Close
ELEM=STATLO:Statistics:STAT[Scan] MIN
L10
RULE 5: 5
Minutes: If __SHT_FILTER_EOB_REV then CONFIRM using next rule
SIGNAL=__SHT_FILTER_EOB_REV:
(TIME>1540)*(TIME<2150)*(ADX>25)*(ADX>ADX.1)*(POS_STATE=1) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 6: 5
Minutes: If __LNG_Exit_SIG_EOB then REVERSE-SELL
& SELL SHORT 2 at Close price
SIGNAL=__LNG_Exit_SIG_EOB: CL < STATLO.1
ELEM=STATLO:Statistics:STAT[Scan] MIN
L10
ELEM=CL:Close
RULE 7: 5
Minutes: If __LNG_Exit_SIG_EOB then SELL 2 at Close
price
SIGNAL=__LNG_Exit_SIG_EOB: CL < STATLO.1
ELEM=STATLO:Statistics:STAT[Scan] MIN
L10
ELEM=CL:Close
RULE 8: 5
Minutes: If __LNG_Exit_MKT_CL then SELL 2 at Close
price
SIGNAL=__LNG_Exit_MKT_CL: (TIME = 2200)
ELEM=TIME:Backtest Time (hhmm)
RULE 9: 5
Minutes: If __LNG_FILTER_EOB_REV then CONFIRM using next rule
SIGNAL=__LNG_FILTER_EOB_REV:
(TIME>1540)*(TIME<2150)*(ADX>25)*(ADX>ADX.1)*(POS_STATE=2) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 10: 5
Minutes: If __SHT_Exit_SIG_EOB then REVERSE-COVER
& BUY 2 at Close price
SIGNAL=__SHT_Exit_SIG_EOB: CL > STATHI.1
ELEM=CL:Close
ELEM=STATHI:Statistics:STAT[Scan] MAX
H10
RULE 11: 5
Minutes: If __SHT_Exit_SIG_EOB then COVER SHORT 2 at
Close price
SIGNAL=__SHT_Exit_SIG_EOB: CL > STATHI.1
ELEM=CL:Close
ELEM=STATHI:Statistics:STAT[Scan] MAX
H10
RULE 12: 5
Minutes: If __SHT_Exit_MKT_CL then COVER SHORT 2 at
Close price
SIGNAL=__SHT_Exit_MKT_CL: (TIME = 2200)
ELEM=TIME:Backtest Time (hhmm)
CONCLUSION
Chapter 1 :
Both EOB and INB approaches do have advantages and inconvenient, even if
EOB produces clearly easier rules to manage. Of course, it is always possible
to “mix” them in a trading system, i.e. using INB rules for entry and EOB rules
for exit. For example, On he coming chapter, we will
see in the next Chapter that the Money management rules are very good client
for INB rules…
However, most of the time, you don’t have the choice: you need to go for
an EOB type of rules for the Entry and Exits signals because your decision is
based on technical indicators using the close data.
Let’s consider a system based on the crossing of a two moving averages
like a 20 period MA and a 7 period MA.
Of course, in realtime, you could say: I enter a trade as soon as “I
see” a MA crossing on a 5 minute charts (i.e. you do not wait the Close of the
current 5 min bar), but you will have no way to model that on a backtest using
5 minute bars!!!
To do so, you would need to reduce the “granularity” of your data
Let’s say that you check every 10 seconds if there is a MA crossing,
then you could:
1) use 10 sec bars as
core data for your backtest
2) simulate your long
and short period MA (based on 5 minute bars) using a multi-periodicity signals
but this approach has clearly
some main inconvenient :
a) you need to have the complete tick data
database on your full backtest period in order to build the 10 seconds bars
b) managing backtesting rules including
multiple timeframe reference (and even instruments) instrument is not an easy
task
However, you are very lucky because IRT is the only software which
allows you to do that using the great MPD (Multiperiodicity / instrument)
token. If I get some free time, I will write a chapter about using MPD in
backtest…
CHAPTER 2 : How to
add Money management rules to an IRT
trading system
We will discuss in this second chapter the way to
write:
=> An initial fixed stop loss and trailing Stop
loss
=> Profit taking rules at given targets (including partial exits)
In a first step, for simplicity, all stop and targets “increments” will
be in E-minis points.
With the same rules logics, I am sure you will find out how to use,
instead of points, percentage levels or eventually fixed dollar amounts.
I will give here the general framework for the typical backtest runs.
Then, it will be your task to adapt the trading systems with your signals an
What is great is that you ultimately just need to change a custom
indicators an
In this chapter, we are going to use some key RTL tokens:
POS_STATE returns 1 if there is an ongoing Long trade / 2 for a short
trade / 0 if no ongoing trade
POS_SIZE returns the current size of your position: +1 your are long one contract / +2: long two contracts / -1
short one contracts / etc / 0: no ongoing trade
BARSOPEN returns the number of bars since entering the trade so the test
BARSOPEN = 1 will detect the first bar following the entry signal trigger bar.
Above token are used in backtesting rules only. We are going as well to
use extensively the SMIN and SMAX tokens:
For reminder, if (V#1 <= V#2), then
SMIN(V#1,V#2) returns V#1
and SMAX(V#1,V#2) returns V#2
2.1) Using an EOB
approach for money management rules: a logical choice
As I do enter systematically my stop and targets in my broker platform
as LIMIT order, the End of Bar is THE logical approach for these rules in a
backtest. Indeed, I will hit my stop loss or target as soon as a given trade
occurs at the corresponding level
Let’s consider a long position:
For a profit taking rules (ie exit the trade
as soon as the PL is higher than X points), the rules will be written according
to following logic:
If HI > TARGET then
SELL 2 at TARGET price
This is the same EOB reasoning than before, in order to simulate that my
profit taking LIMIT Order is filled; I will test for the High of the current
bar to be STRICTLY higher than my target one
Similarly; for an initial STOP LOSS rules,
If LO < STOP then SELL 2 at STOP price
In fact, even if IRT has the variable STOP included in RTL, we are going
to use systematically V variables in order to:
1) input the Stop and Target increment in
Points
2) store the resulting different Stop and
Target prices that will appear in the “Rule Price” popup menu of the Trading
system definition window.
The exact syntax will be detailed later on
In my current trading systems, I use about 200 V# variables for
different purposes. Most of them are in fact there NOT for the control of money
management parameters, but for the creation of a fully customized report using
the NOTE token. Anyhow, I am going to use the same V variables than the one I
currently use, but of course, there is no need for you to take the same one . Just
start from V#1 onwards…
2.2) Definition of the Money Management (MM)
variables
A) The MM INPUT variables :
V#61: Initial Stop Increment (pt)
V#62: Trailing Stop Increment (pt)
V#64: Partial Target Increment (pt)
V#65: 2nd
These data may be introduced thru a __L_S_Initialize_Variables
trading signal (to be associated to a NONE action):
SET(V#61,3) and SET(V#62,5) and
SET(V#64,7) and SET(V#65,10)
In this case, there is a 3 point Initial Stop loss, a 5 pt trailing
stop, a partial target set at 7 point (i.e. one from the two lot
will be sold/bought at this price) and a profit taking target set at 10 pt for
the remaining 2nd lot
Of course, if you don’t want have any profit target in your backtest,
just set V#64 and 65 to 1000 pt for example.
In a first stage, we will keep this value constant during the backtest,
and use the same value for both short and long positions.
B) Definition of the Stop and targets Price
Variables
We are going to use as well the following V variables for storing stop
and target price:
V#51: Initial
Stop Price
V#52: Trailing
Stop Price
V#54: Partial
Target Price
V#55: 2nd
And, as there is no need to keep TWO stop rules, we will be combining
them using
V#53: Global Stop Price
I am going to store as well inside V#50 the Entry Price (I could use of
course the “ENTRY” token instead, but using a V variables is useful for
reporting purpose…)
Let’s consider a Long trade, getting the initial Stop price and the
target prices for the partial and 2nd lot is quite obvious:
SET(V#51,V#50-V#61) and SET(V#54,V#50+V#64) and SET(V#55,V#50+V#65)
A trailing stop has many possible definition, we will consider here the
usual one. If there is an ongoing trade, and IRT is testing the 5th
bar, then the trailing stop price for this bar is equal to:
the highest experienced between
SINCE the Entry time AND until the previous bar so far a long trade : so we
will be using the SET statement
SET(V#52,V#58-V#62)
Having defined the
HH since Entry variable V#58 thru the statement
SET(V#58,SMAX(HI,V#58))
Please note that for the first bar of the trade, we will consider that
the HH since Entry is … the Entry Price…
Ok, this seems may be a bit complex, but you only need to define the
corresponding rules once and then, they will be vali
2.3) The money
management rules explained step by step
Ok, we have all the elements to detail now how to write this money management
rules for a LONG position. These seven rules will be inserted between the Long
BUY and SELL Rules
RULE 1: If__L_S_Detect_Entry_Bar
then CONFIRM using next rule
SIGNAL= __L_S_Detect_Entry_Bar:
BARSOPEN =1 and POS_STATE != 0
RULE 2: If __L_S_Store_Entry_Data
then NO
ACTION
SIGNAL= __L_S_Store_Entry_Data:
SET(V#50,ENTRY)
and SET(V#57,CL.1) and
SET(V#58,CL.1)
RULE 3: If__LNG_Detect_Trade_Ongoing
then CONFIRM using next rule
SIGNAL= __LNG_Detect_Trade_Ongoing:
BARSOPEN >= 1 and POS_STATE = 1
RULE 4 :
If __LNG_Store_Stops_Tgts then NO
ACTION
SIGNAL= __LNG_Store_Stops_Tgts:
SET(V#51,V#50-V#61)
and SET(V#52,V#58-V#62)
and SET(V#53,SMAX(V#51,V#52))
and SET(V#54,V#50+V#64) and SET(V#55,V#50+V#65) and SET(V#58,SMAX(HI,V#58))
RULE 5 : If __LNG_Exit_STP
then SELLSTOP at Value V#53 price
SIGNAL= __LNG_Exit_STP:
BARSOPEN >= 1 and LO <
V#53
RULE 6: If __LNG_Exit_PTL
then SELL 1 at Value V#54 price
SIGNAL= __LNG_Exit_PTL:
BARSOPEN >= 1 and
POS_SIZE=2 and HI > V#54
RULE 7: If __LNG_Exit_TGT
then SELL 2 at Value V#55 price
SIGNAL= __LNG_Exit_TGT: BARSOPEN
>= 1 and HI > V#55
Before going any further in a rule position, I need to refresh your
memory about an important issue on position size and Action rules:
A SELL “2 ES” rules will decrease the size of any long position by a
maximum of 2 contracts, but it will never initiate a short position.
Ie, if there were already a
partial exit, and that the remaining size is 1 contract long, a SELL 2 will
only close this 1 contract position at that’s it.
At the opposite, if you have a REVERSE-SELL & SELLSHORT 2, the
action will close the Long position, whatever it size (even if it is 5
contracts), and initiate a SHORT position with a SIZE of 2 contracts
Ok, let’s see what we've got here:
Rule 1 will only detect when the bar tested in the first one
in a long or short trade
Rule 2 will then store the Entry Price and initialise the
Highest High (resp. Lowest low: V#57) which will be
use
These rules are common to both short and long trades
Rule 3 will detect if there is an ongoing long trades and
then
Rule 4 will update for every bar of the trade life the stop
and target values
Please note that the formula SET(V#58,SMAX(HI,V#58)) will store the
Highest High until the current Bar : HOWEVER, as this statement is situated
after SET(V#52,V#58-V#62), the V#58
value which will be use
š
on the prior iteration (if BARSOPEN > 1)
š
or with Rule number 2 (for BARSOPEN =1) :
this way we are indeed using the
Highest high until PREVIOUS bar for the Trailing stop calculation…
Moreover for rule 4, we define the global Stop price as the one
being the most constraining between the initial stop and the trailing stop thru
the statement (for a long trade) : SET(V#53,SMAX(V#51,V#52))
Rules 5, 6
and 7:
All rules have in common BARSOPEN >= 1. This statement is included to
avoid that you exit the trade on the same bar than you entered (which is quite
non sense, especially when you enter with an EOB entry signals).
Please note that there is no need to add here a “and POS_STATE=1”
statement for these 3 rules: indeed, a SELL or SELLSTOP (which are basically
doing the same action, only the name changes) is only tested when a LONG trade
is ongoing…
Finally, we added a “POS_SIZE=2” check in the partial exit rules.
Indeed, we want only to take a partial ONCE, for the first bar with HI >
V#54 being true. When this will be the case, POS_SIZE will become equal to 1,
and these rules won’t be able to be true anymore (so no need to use a CONFIRM
rule...)
Please note the respective order for rules number 5, 6 or 7:
Indeed, for a given bar, we are going to successively test conditions
involving the LO and the HI of the bar. From an historical point of view, there
is no way to know if the LO occurred before the HI or reverse.
Indeed, we could imagine that we could have on the same bar (a very
outside one for example) both stops and targets hit on the same bar. Here again,
I take the conservative approach, i.e. I will consider by default that the STOP
is hit first, so I will put the STOP rules on the first place in the list of
possible exit signals.
Here are the corresponding rules for managing the stop and targets for SHORT
trades
RULE 4: If __SHT_Store_Stops_Tgts
then NO
ACTION
SIGNAL= __SHT_Store_Stops_Tgts:
SET(V#51,V#50+V#61)
and
SET(V#52,V#57+V#62) and
SET(V#53,SMIN(V#51,V#52)) and
SET(V#54,V#50-V#64) and
SET(V#55,V#50-V#65) and
SET(V#57,SMIN(LO,V#57))
RULE 5 : If __SHT_Exit_STP
then BUY STOP at Value V#53 price
SIGNAL= __SHT_Exit_STP:
BARSOPEN >= 1 and HI > V#53
RULE 6: If __SHT_Exit_PTL
then COVERSHORT 1 at Value V#54 price
SIGNAL= __SHT_Exit_PTL:
BARSOPEN >= 1 and
POS_SIZE=-2 and LO < V#54
RULE 7: If __SHT_Exit_TGT
then COVER 2 at Value V#55 price
SIGNAL= __SHT_Exit_TGT: BARSOPEN
>= 1 and LO < V#55
You will find at the end of these chapter how these rules are added to
an existing trading system with :
š
Filter rules (REF_SYSTEM_A_EOB_MM)
š
Filter and reverse rules (REF_SYSTEM_A_EOB_MM_REV)
I did not attached the scripts for the INB approach because I am sure
you can figure out how they works based on the above one..
2.4) How to simplify the “maintenance” works
around backtest or how to use exactly the same single trading system for
testing different strategies
Please, DO NOT be afraid by the number of rules
you will end up with your backtest!
Here are good reasons by this apparent complexity:
A) First, this is normal there are a lot of rules
because we are managing up to 14 different type
of entry / exit rules!!
If we consider an EOB system with Filter, Reverse and Money management
rules, you have to remember that we have, on top of at least one ENTRY rule, 6
types of Exit rules, ie : 4 possible exit rules which
are MM related (initial stop / trailing stop / partial and target) and at least
2 exit rules (i.e. the usual Exit signal and the one reversing your position) :
so basically you manage 1 + 6 = 7 x 2 = 14 type of entry / exit rules in this
trading system (which will have about 20 – 25 rules, including the Filter and V
variable ones)
B) My latest reference trading system includes about 60
rules, but, most of the time, I even don’t change the content of a single
trading signal when I want to test another strategy! Let me explain how I
achieve that:
First, with the trading system rules list as detailed in 2.5, (Let’s
consider the REF_SYSTEM_A_EOB_MM for example), you will notice that, in order
to test a new trading strategy, you won’t have to add or remove rules
from the list, you will just need to modify the content of some trading signals
in order to take into account new entry, filter or exit signals. The structure
of the trading system remains UNCHANGED.
But we can even go one step further, keeping the same modular approach.
In this system, the long entry signal (LNG_ENTRY_SIG_EOB) is written as: “CL
> STATHI.1”
As you might have guessed, the idea is to keep always the same TRADING
signal syntax thanks to the use of a generic custom indicator, i.e.
LNG_ENTRY_SIG_EOB will be systematically written as CI_ENTRY_SIGNAL > 0 (and
SHT_ENTRY_SIG_EOB as CI_ENTRY_SIGNAL < 0)
Indeed, it is always possible to write a custom indicator:
š
returning +1 if a LONG exit signal is triggered
š
returning –1 if a SHORT exit signal is triggered
In the case of the entry Breakout signals of the system
REF_SYSTEM_A_EOB_MM,
we will be able to write :
CI_ENTRY_SIGNAL = (CL >
STATHI.1)*(1) + (CL < STATLO.1)*(-1)
the 2 STAT statements (STATHI and
STATLO) being equal as usual to the 10 bar period maximum HI and Minimum LO
For the exit rules, the same logic can be used, i.e. I will have always:
LNG_EXIT_SIG_EOB as CI_EXIT_SIGNAL < 0
SHT_EXIT_SIG_EOB as CI_EXIT_SIGNAL > 0
By the way, CI_ENTRY_SIGNAL does have exactly the same syntax than the
ENTRY one, i.e.
CI_EXIT_SIGNAL =
(CL > STAT_HI.1)*(1) + (CL < STAT_LO.1)*(-1)
except that both STAT
statement are here based on the 7 bar period
The same generic approach will be used in all my Filter rules, for
example:
__LNG_FILTER_EOB will be always (CI_TIME_FILTER
> 0) * (CI_TREND_FILTER>0) > 0
With CI_TIME_FILTER = (TIME>1540)*(TIME<2150)
and CI_TREND_FILTER = (ADX>25)*(ADX>ADX.1)
(if we want to be in line with
REF_SYSTEM_A_EOB_MM)
Conclusion: I will never change the way I write my trading signals rules
(for a given global approach of course, like the EOB one). This means that the
only variable input (in terms of signals) of my trading systems is a list of 4
custom indicators:
CI_ENTRY_SIGNAL
CI_EXIT_SIGNAL
CI_TIME_FILTER
CI_TREND_FILTER
Testing another trading strategies can be summarized in updating a list
of 4 or 5 custom indicators.. You will quickly forget
that the trading system is based on 2 dozens of rules as you will most of the
time never look in them but just update your trading system input CI.
Final remark:
In order to update your stop target level increment, you may update
before running the backtest the value included in the __L_S_Initialize_Variables
rule. In if you’re a very lazy and don’t want to open a trading signal window, you may even remove
this SET statement from the trading system AND introduce directly the
corresponding V values thru a dedicated Quote Page… A solution to be reserve
2.5) Detailed scripts
of the trading systems discussed in Chapter 2
Nothing new here: you just need to combine the MM management rules set
(i.e. 7 for Long + 7 for short) with the basic trading systems of Chapter 1
I will not give all possible combination so you will find here but just :
EOB entry/exit rules WITH (Filter + MM) rules and WITHOUT reverse rules
INB entry/exit rules WITH (Filter + MM) rules and WITHOUT reverse rules
EOB entry/exit rules WITH (Filter + MM + REV) rules
Here we go:
2.5.1) End Of Bar Basic system with FILTER and
MM rules
Detailed Report: REF_SYSTEM_A_EOB_MM
RULE 1: 1
Minute: If __L_S_Initialize_Variables then NO
ACTION
SIGNAL=__L_S_Initialize_Variables: SET(V#61,3) and SET(V#62,5) and
SET(V#64,7) and SET(V#65,10)
ELEM=V#61:Initial Stop Increment (pt)
ELEM=V#62:Trailing Stop Increment (pt)
ELEM=V#64:Partial Target Increment (pt)
ELEM=V#65:2nd
RULE 2: 1
Minute: If __LNG_FILTER_EOB then CONFIRM using next rule
SIGNAL=__LNG_FILTER_EOB:
(TIME>1540)*(TIME<2150)*(ADX>25)*(ADX>ADX.1) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
RULE 3: 1
Minute: If __LNG_ENTRY_SIG_EOB then BUY 2 at Last price
SIGNAL=__LNG_ENTRY_SIG_EOB:
CL > STAT.1
ELEM=CL:Close
ELEM=STAT:Statistics:STAT[Scan] MAX H10
RULE 4: 1
Minute: If __SHT_FILTER_EOB then CONFIRM using next rule
SIGNAL=__SHT_FILTER_EOB:
(TIME>1540)*(TIME<2150)* )*(ADX>25)*(ADX>ADX.1) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
RULE 5: 1
Minute: If __SHT_ENTRY_SIG_EOB then SELL SHORT 2 at Close price
SIGNAL=__SHT_ENTRY_SIG_EOB:
CL < STATLO.1
ELEM=CL:Close
ELEM=STATLO:Statistics:STAT[Scan] MIN
L10
RULE 6: 1
Minute: If __L_S_Detect_Entry_Bar then CONFIRM using
next rule
SIGNAL=__L_S_Detect_Entry_Bar: BARSOPEN =1 and POS_STATE != 0
ELEM=BARSOPEN:No. bars in position
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 7: 1
Minute: If __L_S_Store_Entry_Data then NO ACTION
SIGNAL=__L_S_Store_Entry_Data: SET(V#50,ENTRY)
and SET(V#57,CL.1) and SET(V#58,CL.1)
ELEM=V#50:Entry Price
ELEM=V#57:LL since Entry
ELEM=V#58:HH since Entry
ELEM=ENTRY:Entry price
ELEM=CL:Close
RULE 8: 1
Minute: If __LNG_Detect_Trade_Ongoing then CONFIRM
using next rule
SIGNAL=__LNG_Detect_Trade_Ongoing: BARSOPEN >= 1 and POS_STATE =
1
ELEM=BARSOPEN:No. bars in position
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 9: 1
Minute: If __LNG_Store_Stops_Tgts then NO ACTION
SIGNAL=__LNG_Store_Stops_Tgts: SET(V#51,V#50-V#61) and
SET(V#52,V#58-V#62) and SET(V#53,SMAX(V#51,V#52))
and SET(V#54,V#50+V#64) and SET(V#55,V#50+V#65) and SET(V#58,SMAX(HI,V#58))
ELEM=V#50:Entry Price
ELEM=V#51:Initial Stop Price
ELEM=V#52:Trailing Stop Price
ELEM=V#53:Global Stop Price
ELEM=V#54:Partial Target Price
ELEM=V#55:2nd
ELEM=V#58:HH since Entry
ELEM=V#61:Initial Stop Increment (pt)
ELEM=V#62:Trailing Stop Increment (pt)
ELEM=V#64:Partial Target Increment (pt)
ELEM=V#65:2nd
ELEM=HI:High
RULE 10: 1
Minute: If __LNG_Exit_STP then SELL STOP at
Value V#53 price to exit
SIGNAL=__LNG_Exit_STP: BARSOPEN>=1 and LO < V#53
ELEM=V#53:Global Stop Price
ELEM=BARSOPEN:No. bars in position
ELEM=LO:Low
RULE 11: 1
Minute: If __LNG_Exit_PTL then SELL 1 at Value
V#54 price
SIGNAL=__LNG_Exit_PTL: POS_SIZE = 2 and BARSOPEN >=1 and HI > V#54
ELEM=POS_SIZE:Size of position
ELEM=V#54:Partial Target Price
ELEM=HI:High
ELEM=BARSOPEN:No. bars in position
RULE 12: 1
Minute: If __LNG_Exit_TGT then SELL 2 at Value
V#55 price
SIGNAL=__LNG_Exit_TGT: BARSOPEN >= 1 and HI > V#55
ELEM=V#55:2nd
ELEM=BARSOPEN:No. bars in position
ELEM=HI:High
RULE 13: 1
Minute: If __LNG_Exit_SIG_EOB then SELL 2 at
Close price
SIGNAL=__LNG_Exit_SIG_EOB: CL < STATLO.1
ELEM=STATLO:Statistics:STAT[Scan] MIN
L7
ELEM=CL:Close
RULE 14: 1
Minute: If __LNG_Exit_MKT_CL then SELL 2 at
Close price
SIGNAL=__LNG_Exit_MKT_CL: (TIME = 2200)
ELEM=TIME:Backtest Time (hhmm)
RULE 15: 1
Minute: If __SHT_Detect_Trade_Ongoing then CONFIRM
using next rule
SIGNAL=__SHT_Detect_Trade_Ongoing: BARSOPEN >= 1 and POS_STATE =
2
ELEM=BARSOPEN:No. bars in position
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 16: 1
Minute: If __SHT_Store_Stops_Tgts then NO ACTION
SIGNAL=__SHT_Store_Stops_Tgts: SET(V#51,V#50+V#61) and
SET(V#52,V#57+V#62) and SET(V#53,SMIN(V#51,V#52))
and SET(V#54,V#50-V#64) and SET(V#55,V#50-V#65) and SET(V#57,SMIN(LO,V#57))
ELEM=V#50:Entry Price
ELEM=V#51:Initial Stop Price
ELEM=V#52:Trailing Stop Price
ELEM=V#53:Global Stop Price
ELEM=V#54:Partial Target Price
ELEM=V#55:2nd
ELEM=V#61:Initial Stop Increment (pt)
ELEM=V#62:Trailing Stop Increment (pt)
ELEM=V#64:Partial Target Increment (pt)
ELEM=V#65:2nd
ELEM=V#57:LL since Entry
ELEM=LO:Low
RULE 17: 1
Minute: If __SHT_Exit_STP then BUY STOP to
cover at Value V#53 price
SIGNAL=__SHT_Exit_STP: BARSOPEN >= 1 and HI > V#53
ELEM=HI:High
ELEM=V#53:Global Stop Price
ELEM=BARSOPEN:No. bars in position
RULE 18: 1
Minute: If __SHT_Exit_PTL then COVER SHORT 1
at Value V#54 price
SIGNAL=__SHT_Exit_PTL: POS_SIZE = - 2 and BARSOPEN >=1 and LO
< V#54
ELEM=POS_SIZE:Size of position
ELEM=LO:Low
ELEM=V#54:Partial Target Price
ELEM=BARSOPEN:No. bars in position
RULE 19: 1
Minute: If __SHT_Exit_TGT then COVER SHORT 2
at Value V#55 price
SIGNAL=__SHT_Exit_TGT: BARSOPEN >= 1 and LO < V#55
ELEM=BARSOPEN:No. bars in position
ELEM=LO:Low
ELEM=V#55:2nd
RULE 20: 1
Minute: If __SHT_Exit_SIG_EOB then COVER SHORT
2 at Close price
SIGNAL=__SHT_Exit_SIG_EOB: CL > STATHI.1
ELEM=CL:Close
ELEM=STATHI:Statistics:STAT[Scan] MAX
H7
RULE 21: 1
Minute: If __SHT_Exit_MKT_CL then COVER SHORT
2 at Close price
SIGNAL=__SHT_Exit_MKT_CL: (TIME = 2200)
ELEM=EXIT_SIGNAL:Custom Indicator:CI:_CI__Exit_Signal_BT[Scan]
ELEM=TIME:Backtest Time (hhmm)
2.5.2) Intra-Bar Basic system with FILTER and MM rules
RULE 1: 5
Minutes: If __L_S_Store_Bkout_value then NO ACTION
SIGNAL=__L_S_Store_Bkout_value: SET(V#2,STATHI.1)
and SET(V#3,STATLO.1) and SET(V#4,STAT_HI.1) and SET(V#5,STAT_LO.1)
ELEM=STATHI:Statistics:STAT[Scan] MAX
H10
ELEM=STATLO:Statistics:STAT[Scan] MIN
L10
ELEM=STAT_HI:Statistics:STAT[Scan] MAX
H7
ELEM=STAT_LO:Statistics:STAT[Scan] MIN
L7
ELEM=V#2:Highest High prev 10 bars
ELEM=V#3:Lowest Low prev 10 bars
ELEM=V#4:Highest High prev 7 bars
ELEM=V#5:Lowest Low prev 7 bars
RULE 2: 5
Minutes: If __L_S_Initialize_Variables then NO ACTION
SIGNAL=__L_S_Initialize_Variables: SET(V#61,3) and SET(V#62,5) and
SET(V#64,7) and SET(V#65,10)
ELEM=V#61:Initial Stop Increment (pt)
ELEM=V#62:Trailing Stop Increment (pt)
ELEM=V#64:Partial Target Increment (pt)
ELEM=V#65:2nd
RULE 3: 5
Minutes: If __LNG_FILTER_INB then CONFIRM using next rule
SIGNAL=__LNG_FILTER_INB:
(TIME>1540)*(TIME<2150)*(ADX.1>25)*(ADX.1>ADX.2) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
RULE 4: 5
Minutes: If __LNG_ENTRY_SIG_INB then BUY 2 at Last price
SIGNAL=__LNG_ENTRY_SIG_INB:
HI>V#2
ELEM=HI:High
ELEM=V#2:Highest High prev 10 bars
RULE 5: 5
Minutes: If __SHT_FILTER_INB then CONFIRM using next rule
SIGNAL=__SHT_FILTER_INB:
(TIME>1540)*(TIME<2150)* *(ADX.1>25)*(ADX.1>ADX.2) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
ELEM=LRS:Linear Regression Slope:LRS [Scan] 1,S,9
RULE 6: 5
Minutes: If __SHT_ENTRY_SIG_INB then SELL SHORT 2 at Close price
SIGNAL=__SHT_ENTRY_SIG_INB:
LO<V#3
ELEM=LO:Low
ELEM=V#3:Lowest Low prev 10 bars
RULE 7: 5
Minutes: If __L_S_Detect_Entry_Bar then CONFIRM using
next rule
SIGNAL=__L_S_Detect_Entry_Bar: BARSOPEN =1 and POS_STATE != 0
ELEM=BARSOPEN:No. bars in position
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 8: 5
Minutes: If __L_S_Store_Entry_Data then NO ACTION
SIGNAL=__L_S_Store_Entry_Data: SET(V#50,ENTRY)
and SET(V#57,CL.1) and SET(V#58,CL.1)
ELEM=V#50:Entry Price
ELEM=V#57:LL since Entry
ELEM=V#58:HH since Entry
ELEM=ENTRY:Entry price
ELEM=CL:Close
RULE 9: 5
Minutes: If __LNG_Detect_Trade_Ongoing then CONFIRM
using next rule
SIGNAL=__LNG_Detect_Trade_Ongoing: BARSOPEN >= 1 and POS_STATE =
1
ELEM=BARSOPEN:No. bars in position
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 10: 5
Minutes: If __LNG_Store_Stops_Tgts then NO ACTION
SIGNAL=__LNG_Store_Stops_Tgts: SET(V#51,V#50-V#61) and
SET(V#52,V#58-V#62) and
SET(V#53,SMAX(V#51,V#52)) and SET(V#54,V#50+V#64) and SET(V#55,V#50+V#65) and
SET(V#58,SMAX(HI,V#58))
ELEM=V#50:Entry Price
ELEM=V#51:Initial Stop Price
ELEM=V#52:Trailing Stop Price
ELEM=V#53:Global Stop Price
ELEM=V#54:Partial Target Price
ELEM=V#55:2nd
ELEM=V#58:HH since Entry
ELEM=V#61:Initial Stop Increment (pt)
ELEM=V#62:Trailing Stop Increment (pt)
ELEM=V#64:Partial Target Increment (pt)
ELEM=V#65:2nd
ELEM=HI:High
RULE 11: 5
Minutes: If __LNG_Exit_STP then SELL STOP at Value
V#53 price to exit
SIGNAL=__LNG_Exit_STP: BARSOPEN>=1 and LO < V#53
ELEM=V#53:Global Stop Price
ELEM=BARSOPEN:No. bars in position
ELEM=LO:Low
ELEM=V#39:Offset correcting rnding errors
RULE 12: 5
Minutes: If __LNG_Exit_PTL then SELL 1 at Value V#54
price
SIGNAL=__LNG_Exit_PTL: POS_SIZE = 2 and BARSOPEN >=1 and HI > V#54
ELEM=POS_SIZE:Size of position
ELEM=V#54:Partial Target Price
ELEM=HI:High
ELEM=BARSOPEN:No. bars in position
RULE 13: 5
Minutes: If __LNG_Exit_TGT then SELL 2 at Value V#55
price
SIGNAL=__LNG_Exit_TGT: BARSOPEN >= 1 and HI > V#55
ELEM=V#55:2nd
ELEM=BARSOPEN:No. bars in position
ELEM=HI:High
RULE 14: 5
Minutes: If __LNG_Exit_SIG_INB then SELL 2 at Close
price
SIGNAL=__LNG_Exit_SIG_INB: LO < V#5
ELEM=LO:Low
ELEM=V#5:Lowest Low prev 7 bars
RULE 15: 5
Minutes: If __LNG_Exit_MKT_CL then SELL 2 at Close
price
SIGNAL=__LNG_Exit_MKT_CL: (TIME = 2200)
ELEM=TIME:Backtest Time (hhmm)
RULE 16: 5
Minutes: If __SHT_Detect_Trade_Ongoing then CONFIRM
using next rule
SIGNAL=__SHT_Detect_Trade_Ongoing: BARSOPEN >= 1 and POS_STATE =
2
ELEM=BARSOPEN:No. bars in position
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 17: 5
Minutes: If __SHT_Store_Stops_Tgts then NO ACTION
SIGNAL=__SHT_Store_Stops_Tgts: SET(V#51,V#50+V#61) and
SET(V#52,V#57+V#62) and SET(V#53,SMIN(V#51,V#52)) and
SET(V#54,V#50-V#64) and SET(V#55,V#50-V#65) and SET(V#57,SMIN(LO,V#57))
ELEM=V#50:Entry Price
ELEM=V#51:Initial Stop Price
ELEM=V#52:Trailing Stop Price
ELEM=V#53:Global Stop Price
ELEM=V#54:Partial Target Price
ELEM=V#55:2nd
ELEM=V#61:Initial Stop Increment (pt)
ELEM=V#62:Trailing Stop Increment (pt)
ELEM=V#64:Partial Target Increment (pt)
ELEM=V#65:2nd
ELEM=V#57:LL since Entry
ELEM=LO:Low
RULE 18: 5
Minutes: If __SHT_Exit_STP then BUY STOP to cover at
Value V#53 price
SIGNAL=__SHT_Exit_STP: BARSOPEN >= 1 and HI > V#53
ELEM=HI:High
ELEM=V#53:Global Stop Price
ELEM=BARSOPEN:No. bars in position
RULE 19: 5
Minutes: If __SHT_Exit_PTL then COVER SHORT 1 at
Value V#54 price
SIGNAL=__SHT_Exit_PTL: POS_SIZE = - 2 and BARSOPEN >=1 and LO
< V#54
ELEM=POS_SIZE:Size of position
ELEM=LO:Low
ELEM=V#54:Partial Target Price
ELEM=BARSOPEN:No. bars in position
RULE 20: 5
Minutes: If __SHT_Exit_TGT then COVER SHORT 2 at
Value V#55 price
SIGNAL=__SHT_Exit_TGT: BARSOPEN >= 1 and LO < V#55
ELEM=BARSOPEN:No. bars in position
ELEM=LO:Low
ELEM=V#55:2nd
RULE 21: 5
Minutes: If __SHT_Exit_SIG_INB then COVER SHORT 2 at
Close price
SIGNAL=__SHT_Exit_SIG_INB: HI > V#4
ELEM=HI:High
ELEM=V#4:Highest High prev 7 bars
RULE 22: 5
Minutes: If __SHT_Exit_MKT_CL then COVER SHORT 2 at
Close price
SIGNAL=__SHT_Exit_MKT_CL: (TIME = 2200)
ELEM=EXIT_SIGNAL:Custom Indicator:CI:_CI__Exit_Signal_BT[Scan]
ELEM=TIME:Backtest Time (hhmm)
2.5.3)
End Of Bar system with FILTER, MM & REV rules
Detailed
Report: REF_SYSTEM_A_EOB_MM_REV
RULE 1: 5
Minutes: If __L_S_Initialize_Variables then NO ACTION
SIGNAL=__L_S_Initialize_Variables: SET(V#61,3) and SET(V#62,5) and
SET(V#64,7) and SET(V#65,10)
ELEM=V#61:Initial Stop Increment (pt)
ELEM=V#62:Trailing Stop Increment (pt)
ELEM=V#64:Partial Target Increment (pt)
ELEM=V#65:2nd
RULE 2: 5
Minutes: If __LNG_FILTER_EOB then CONFIRM using next rule
SIGNAL=__LNG_FILTER_EOB:
(TIME>1540)*(TIME<2150)*(ADX>25)*(ADX>ADX.1) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
RULE 3: 5
Minutes: If __LNG_ENTRY_SIG_EOB then BUY 2 at Last price
SIGNAL=__LNG_ENTRY_SIG_EOB:
CL > STATHI.1
ELEM=CL:Close
ELEM=STATHI:Statistics:STAT[Scan] MAX
H10
RULE 4: 5
Minutes: If __SHT_FILTER_EOB then CONFIRM using next rule
SIGNAL=__SHT_FILTER_EOB:
(TIME>1540)*(TIME<2150)*(ADX>25)*(ADX>ADX.1) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
RULE 5: 5
Minutes: If __SHT_ENTRY_SIG_EOB then SELL SHORT 2 at Close price
SIGNAL=__SHT_ENTRY_SIG_EOB:
CL < STATLO.1
ELEM=CL:Close
ELEM=STATLO:Statistics:STAT[Scan] MIN
L10
RULE 6: 5
Minutes: If __L_S_Detect_Entry_Bar then CONFIRM using
next rule
SIGNAL=__L_S_Detect_Entry_Bar: BARSOPEN =1 and POS_STATE != 0
ELEM=BARSOPEN:No. bars in position
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 7: 5
Minutes: If __L_S_Store_Entry_Data then NO ACTION
SIGNAL=__L_S_Store_Entry_Data: SET(V#50,ENTRY)
and SET(V#57,CL.1) and SET(V#58,CL.1)
ELEM=V#50:Entry Price
ELEM=V#57:LL since Entry
ELEM=V#58:HH since Entry
ELEM=ENTRY:Entry price
ELEM=CL:Close
RULE 8: 5
Minutes: If __LNG_Detect_Trade_Ongoing then CONFIRM
using next rule
SIGNAL=__LNG_Detect_Trade_Ongoing: BARSOPEN >= 1 and POS_STATE =
1
ELEM=BARSOPEN:No. bars in position
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 9: 5
Minutes: If __LNG_Store_Stops_Tgts then NO ACTION
SIGNAL=__LNG_Store_Stops_Tgts: SET(V#51,V#50-V#61) and
SET(V#52,V#58-V#62) and
SET(V#53,SMIN(SMAX(V#51,V#52),HI)) and SET(V#54,V#50+V#64) and
SET(V#55,V#50+V#65) and SET(V#58,SMAX(HI,V#58))
ELEM=V#50:Entry Price
ELEM=V#51:Initial Stop Price
ELEM=V#52:Trailing Stop Price
ELEM=V#53:Global Stop Price
ELEM=V#54:Partial Target Price
ELEM=V#55:2nd
ELEM=V#58:HH since Entry
ELEM=V#61:Initial Stop Increment (pt)
ELEM=V#62:Trailing Stop Increment (pt)
ELEM=V#64:Partial Target Increment (pt)
ELEM=V#65:2nd
ELEM=HI:High
RULE 10: 5
Minutes: If __LNG_Exit_STP then SELL STOP at Value V#53
price to exit
SIGNAL=__LNG_Exit_STP: BARSOPEN>=1 and LO < V#53
ELEM=V#53:Global Stop Price
ELEM=BARSOPEN:No. bars in position
ELEM=LO:Low
RULE 11: 5
Minutes: If __LNG_Exit_PTL then SELL 1 at Value V#54
price
SIGNAL=__LNG_Exit_PTL: POS_SIZE = 2 and BARSOPEN >=1 and HI > V#54
ELEM=POS_SIZE:Size of position
ELEM=V#54:Partial Target Price
ELEM=HI:High
ELEM=BARSOPEN:No. bars in position
RULE 12: 5
Minutes: If __LNG_Exit_TGT then SELL 2 at Value V#55
price
SIGNAL=__LNG_Exit_TGT: BARSOPEN >= 1 and HI > V#55
ELEM=V#55:2nd
ELEM=BARSOPEN:No. bars in position
ELEM=HI:High
RULE 13: 5
Minutes: If __SHT_FILTER_EOB_REV then CONFIRM using next rule
SIGNAL=__SHT_FILTER_EOB_REV:
(TIME>1540)*(TIME<2150)*(ADX>25)*(ADX>ADX.1)*(POS_STATE=1) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 14: 5
Minutes: If __LNG_Exit_SIG_EOB then REVERSE-SELL
& SELL SHORT 2 at Close price
SIGNAL=__LNG_Exit_SIG_EOB: CL < STATLO.1
ELEM=STATLO:Statistics:STAT[Scan] MIN
L10
ELEM=CL:Close
RULE 15: 5
Minutes: If __LNG_Exit_SIG_EOB then SELL 2 at Close
price
SIGNAL=__LNG_Exit_SIG_EOB: CL < STATLO.1
ELEM=STATLO:Statistics:STAT[Scan] MIN
L10
ELEM=CL:Close
RULE 16: 5
Minutes: If __LNG_Exit_MKT_CL then SELL 2 at Close
price
SIGNAL=__LNG_Exit_MKT_CL: (TIME = 2200)
ELEM=TIME:Backtest Time (hhmm)
RULE 17: 5
Minutes: If __SHT_Detect_Trade_Ongoing then CONFIRM
using next rule
SIGNAL=__SHT_Detect_Trade_Ongoing: BARSOPEN >= 1 and POS_STATE =
2
ELEM=BARSOPEN:No. bars in position
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 18: 5
Minutes: If __SHT_Store_Stops_Tgts then NO ACTION
SIGNAL=__SHT_Store_Stops_Tgts: SET(V#51,V#50+V#61) and
SET(V#52,V#57+V#62) and SET(V#53,SMAX(LO,SMIN(V#51,V#52))) and SET(V#54,V#50-V#64)
and SET(V#55,V#50-V#65) and SET(V#57,SMIN(LO,V#57))
ELEM=V#50:Entry Price
ELEM=V#51:Initial Stop Price
ELEM=V#52:Trailing Stop Price
ELEM=V#53:Global Stop Price
ELEM=V#54:Partial Target Price
ELEM=V#55:2nd
ELEM=V#61:Initial Stop Increment (pt)
ELEM=V#62:Trailing Stop Increment (pt)
ELEM=V#64:Partial Target Increment (pt)
ELEM=V#65:2nd
ELEM=V#57:LL since Entry
ELEM=LO:Low
RULE 19: 5
Minutes: If __SHT_Exit_STP then BUY STOP to cover at
Value V#53 price
SIGNAL=__SHT_Exit_STP: BARSOPEN >= 1 and HI > V#53
ELEM=HI:High
ELEM=V#53:Global Stop Price
ELEM=BARSOPEN:No. bars in position
RULE 20: 5
Minutes: If __SHT_Exit_PTL then COVER SHORT 1 at
Value V#54 price
SIGNAL=__SHT_Exit_PTL: POS_SIZE = - 2 and BARSOPEN >=1 and LO
< V#54
ELEM=POS_SIZE:Size of position
ELEM=LO:Low
ELEM=V#54:Partial Target Price
ELEM=BARSOPEN:No. bars in position
RULE 21: 5
Minutes: If __SHT_Exit_TGT then COVER SHORT 2 at
Value V#55 price
SIGNAL=__SHT_Exit_TGT: BARSOPEN >= 1 and LO < V#55
ELEM=BARSOPEN:No. bars in position
ELEM=LO:Low
ELEM=V#55:2nd
RULE 22: 5
Minutes: If __LNG_FILTER_EOB_REV then CONFIRM using next rule
SIGNAL=__LNG_FILTER_EOB_REV:
(TIME>1540)*(TIME<2150)*(ADX>25)*(ADX>ADX.1)*(POS_STATE=2) > 0
ELEM=TIME:Backtest Time (hhmm)
ELEM=ADX:Average Directional
ELEM=POS_STATE:Backtest state 1=long
2=short
RULE 23: 5
Minutes: If __SHT_Exit_SIG_EOB then REVERSE-COVER
& BUY 2 at Close price
SIGNAL=__SHT_Exit_SIG_EOB: CL > STATHI.1
ELEM=CL:Close
ELEM=STATHI:Statistics:STAT[Scan] MAX
H10
RULE 24: 5
Minutes: If __SHT_Exit_SIG_EOB then COVER SHORT 2 at
Close price
SIGNAL=__SHT_Exit_SIG_EOB: CL > STATHI.1
ELEM=CL:Close
ELEM=STATHI:Statistics:STAT[Scan] MAX
H10
RULE 25: 5
Minutes: If __SHT_Exit_MKT_CL then COVER SHORT 2 at
Close price
SIGNAL=__SHT_Exit_MKT_CL: (TIME = 2200)
ELEM=TIME:Backtest Time (hhmm)
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx
J Temporary end of the tutorial J
I hope you enjoyed it and learne
Thank you for reporting any tipping mistake or
inconsistencies you may have found at f_trader02@yahoo.fr