Debugging a Dream Backtest

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hayden1059
Last seen: 4 weeks 1 day ago
Joined: 07/30/2014 - 16:18
Debugging a Dream Backtest

Math and programming are not my strong features. I have a graphics background and love the way IRT lets you build a trading system between charts, indicators, custom indicators and scans.
So far, so good. I am in familiar territory.

Now I step into the TS labyrinth. Minotaurs and Medusas seem everywhere and there is no map that makes sense to me, yet.
I began constructing a basic TS. It is for trading a forex pair, the EUR.USD. A basic trade involves 100,000 shares.
I decided to use two separate trading systems because I want one to feature only long trades and the other to feature only short trades. There are periods when a long trade is in force and the short trade signal fires. I would like to simulate the two separate trades.
The periodicity that interests me the most is the monthly. That is how I started constructing.
I created 3 rules. The Entry Long centers on identifying the MPD Low for the month.
The Target centers on identifying the MPD High and the StopLoss is for 0.0002 below the entry.

For the first time ever, I achieved jaw dropping results. I can post them if anyone is interested.
That is the good news. The bad news is that I knew that it was only testing completed bars
And that my TS language did not allow the Stop Loss rule to be recognized.
If the final construction of a working TS only provides 20% of the dream system, I will still be a happy camper.

Just to see what would happen if I changed the periodicity, I tested for the Weekly. Result? Better results than the monthly. The Daily was better than the Weekly. Every reduction in Periodicity produced exponentially improved results over the longer periodicity.
20 seconds was the lowest periodicity where the results were superior to all the others.

Currently I am working on a one minute TS for the EUR.USD so the triggers fire frequently and the scans and backtests work more or less. I can't get the Entries and Exits to record in the portfolio, although I have been through the Signal Action windows. I have asked for numerous windows to pop up when a trigger is hit,

I would love to have some feedback on ways to resolve this. Questions are welcome.

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cpayne
Last seen: 1 year 4 weeks ago
Joined: 03/30/2009 - 00:00
Share The System

Hayden,

If you'll share the system definition I'll take a look.