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rickek
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TradersLaboratory.com
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rickek started following Easy Language - Time in Code?, Looking-inside-bar Backtesting (LIBB) Questions, Back Testing with Futures and and 1 other
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What Easy Language Manual? All of my answers in there? Even the ones about the "re-coding" every 10 ticks into a bar? (Someone told me it was an easy one to solve and pretty much laughed at me instead of helping.) Thanks for being there.
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Hello, I've spent quite a bit of time trying to learn Looking-Inside-Bar Backtesting (LIBB) better in Tradestation (TS). I have some questions that I can't seem to find the answers to and was wondering if someone could help answer them. Here are the things I do understand: **Please correct me if any of these are wrong.** A. LIBB is the best to be on 1 tick to get "realistic" backtesting results for your strategy. B. When you have intra-bar order generation (IOG), the code is not just run at the main points of a bar but throughout the bar. When you have the LIBB on 1 tick with IOG each time a new tick happens it is like a new bar just occurred and your code is ran again. This would be like real time when the price changes and then the code gets re-ran to see if it meets the conditions to excute a buy/sell order. C. Without LIBB on you are only looking at the open, close, high & low of the bar when the bar is over. Here are my questions/interests: 1. When would the LIBB allow you to change the number of ticks you can look back? How does that work? Am I correct in my logic that if you have it set to 10 ticks, the software looks at the open runs the code and then 10 ticks later looks at the code again & runs the code? This would be like running the code every minute with the LIBB set to 1 minute. 2. Is there way to trade/write EL to have the code be ran every 10(or so many) ticks just like it did in back-testing? On another hand would it be possible then to write EL to run a code every 1 minute in the 5 minute chart--instead of using the 1 minute chart. 3. Speaking for different charts. How does the LIBB work within the tick chart? It doesn't let you change the number. You can only change the chart to be different amounts of ticks per bar. I don't really have a "great" code that I'm working with this. I just trying to understand the aspects of Looking-Inside-Bar Backtesting and how to use that knowledge to best trade real-time. Thank you.
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Agreed -- 3 days of backtesting..isn't backtesting - it's..
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Hello, I was working with Back Testing in Tradestation and a question came up. I can't seem to find the answer any where. So help would be greatly appreciated. When you back test lets just say the 30 Tres bonds (ZBM9 or USM09 depending the software), that chart is for June. You want to back test your strategy back 6 months. Does that back test just this chart/contract or does it keep it the lead contract? Further explanation - you look at the February results of your back test. Is that the information for the June contract only or is there some kind of rollover? Is there a way to do rollover for furtures with backtesting in tradestation? If there is someone out there who understands my question and can explain it, it would be great!!! Also anyone who uses tradestation know why 30 US Treasury bonds is ZB(month, one number year) in other trading platforms but in the TS it is US(month, two number year). Are these the same charts/contracts...they look to be when compared with other platforms.
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Could I have some help seeing if I wrote code right? I wrote down what I want it to say in normal language and then the code is below it. I thought I did it right because in back-test is works perfectly but when doing it in demo testing w/auto it sometimes does and other times doesn't. This is the part of my code that is causing a problem. The rest seems to be doing good. Here is what I want to say if the 2 bar average crosses under the 17 bar average then sell one contract at next bar at market. if in a long position already, cover the position and sell another short. if the 2 bar average crosses over the 17 bar average then buy one contract at next bar at market. if in a short position already, cover the position and buy another long. Here is the code I wrotebegin If average(close,2) crosses over average(close,17) then buy next bar at market; If average(close,2) crosses under average(close,17) then sellshort next bar at market; end; *An example of it some times working is that the auto demo short one position, then it bought 2 the next cross (one to cover and one to go long), but then it only short-ed one the next cross. It shows 2 "shorts" on plots but only excuted one. Then in a different market it short-ed 2 when a cross happened but there was no long position to cover. ***I think my problem might be in the wording of buy/sellshort. If I only use sell it just closes out of the position and doesn't reverse. Any help would be greatly appreciated. Thank you
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Hey if you're still around...got another question in regards to my code I want to only buy one at the start of the day but during the rest of the day want to buy one to cover my short and then buy one to go long. When the day starts it does 2 positions right away. Or I want to sell one and then sellshort later with the same philosophy as stated. Is there something I need to put in the code for that...would it be something like if marketposition = 0 then "buytocover"? next bar at market; (this would by 1?) if marketposition < 0 then buy next bar at market; (this would by 2?) thanks so much
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oh man...all that communication and problems over a stupid comma!!!!
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I'm only slightly confused as I've never needed an order identifier before. My "strategy stuff" will work just fine if there is no time stamp in it. Only when I put the end_time does it not work.
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sure: Syntax Error - Line 8 Column 60 Syntax Error Syntax Error - Line 9 Column 58 Syntax Error Syntax Error - Line 23 Column 1 Syntax Error Unknown Symbol: end_time - Line 3 Column 9 Unknown symbol Unknown Symbol: end_time - Line 5 Column 42 Unknown symbol Unknown Symbol: end_time - Line 13 Column 20 Unknown symbol
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ops.. i didn't send the right code -- that was the one I was playing with in the clipboard & it must have copied that instead. it is the "end_time" that doesn't work input: begin_time(0800); end_time(1500); if time > begin_time and time < end_time then begin If average(close,5) crosses over average(close,20) then buy next bar at market; If average(close,5) crosses under average(close,20) then sellshort next bar at market; end; if time > end_time then begin if marketposition > 0 then sell next bar at market; if marketposition < 0 then buytocover next bar at market; end;
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input: begin_time(0800); end_time(1500); if time > begin_time and time < end_time then begin If average(close,5) crosses over average(close,20) then at market; If average(close,5) crosses under average(close,20) then next bar at market; end; if time > end_time then begin if marketposition > 0 then sell next bar at market; if marketposition < 0 then buytocover next bar at market; end;
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no matter what I put in it won't read it. If I keep the errors sometimes it will work and then the next time it won't (when back-testing). It reads begin_time just fine, but has a problem with the word end_time.
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okay... I did figure out that the end_time needed to be at the top as well. However, now my software doesn't like the word end_time. It worked once with that word and then came up with errors when I tried to change something in my strategy. Is there another way I need to write that? Thanks so much for your help
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I see the error in the code: If the time is after 8:30 it is still getting in even if the time is after 15:45 and then it gets back out on the next bar. I think I'm missing something in the {--- EOD liquidation ---}. I didn't have one of those so didn't put it in. Please help
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Sorry one more question What would go in there? {--- EOD liquidation ---} It seems to be working to get in the market after 9:30 but doesn't get out until about midnight. Thanks again for any help.