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Hi guy's, first post. This group has really helped accelerate the
learning curve, please accept a big THANK YOU.
I'm migrating from eSignal and Wealth-Lab and have a bit of
programming experience but I just can't seem to get a grip on why my
backtesting and scan results are different. Specifically, the scan
shows all the signals, charts look great, buy/sell arrows exact,
perfect SAR calculations, etc. But, backtesting shows a subset of
the scans Buy/Sell signals.
This script was called Danton Stops over at eSignal, but to me it's a
nice SAR system using 3 minute charts at the key reversal periods of
the day. When time permits, could someone please take a look at the
backtesting results and possibly why they don't correlate to
chart/scan signals. I've been using symbol XLNX to debug.
Thanks,
Jeff
////////////////////////////////////////
// Danton STOP/SAR //
// Written by: Jeff //
////////////////////////////////////////
//=================================================
//Ratio = 0.38; //Danton Ratio
nRatio=Optimize("nRatio",0.38,0.0,0.40,0.02); //Danton Ratio
dsar = Close;
long = 1;
SARcolor = colorBlue;
ema220=EMA(C,220);
//=================================================
for( i = 2; i < BarCount-1; i++ )
{
//=================================================
// Check for reversal
reverse = 0;
if ( long )
{
SellSig = Close[i] <= dsar[i-1];
if(SellSig)
{
long = 0; reverse = 1; // reverse position to Short
Sell[i] = 1;
SellPrice[i] = dsar[i-1];
// Short[i] = 1;
// ShortPrice[i] = dsar[i-1];
dsar[i] = round( (High[i] + ( High[i-1] - Low[i-1] ) *
nRatio)*100)/100;
}
}
else
{
BuySig = Close[i] >= dsar[i-1];
if(BuySig)
{
long = 1; reverse = 1; //reverse position to long
Buy[i] = 1;
BuyPrice[i] = dsar[i-1];
// Short[i] = 1;
// ShortPrice[i] = dsar[i-1];
dsar[i] = round( (Low[i] - ( High[i-1] - Low[i-1] ) *
nRatio)*100)/100;
}
}
//=================================================
// No reversal - Adjust Stop, if Applicable
if ( reverse == 0 )
{
dsar[i] = dsar[i-1]; //Set default to last SAR
if ( long )
{
RangeExpanding = Close[i] > Close[i-1] OR Low[i] < Low[i-1];
if (RangeExpanding)
{
Stop = round( (Low[i] - ( High[i-1] - Low[i-1] ) *
nRatio)*100)/100;
if (Stop > dsar[i-1] ) dsar[i] = Stop;
}
}
else
{
RangeExpanding = Close[i] < Close[i-1] OR High[i] > High[i-1];
if (RangeExpanding )
{
Stop = round( (High[i] + ( High[i-1] - Low[i-1] ) *
nRatio)*100)/100;
if (Stop < dsar[i-1] ) dsar[i] = Stop;
}
}
}
//=================================================
//Color the SAR's
if ( long )
SARcolor[ i ] = colorBlue;
else
SARcolor[ i ] = colorRed;
//=================================================
}
Cover=Buy;
Short=Sell;
Filter=Buy OR Sell OR Short OR Cover;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Cover);
Cover=ExRem(Cover,Short);
AddColumn(Buy,"Buy");
AddColumn(Sell,"sell");
AddColumn(Short,"short");
AddColumn(Cover,"cover");
Title= Name() +" - "+Interval(2) + " "+Date()+": Open"+WriteVal(O)+
", Hi"+WriteVal(H)+", Lo"+WriteVal(L)+
", Close"+WriteVal(C)+", Danton"+WriteVal(dsar);
Plot( Close, "C", colorBlack, styleCandle );
Plot( dsar, "Stop", SARcolor, styleDots | styleNoLine | styleThick);
Plot( EMA220, "Stop", colorBlue, styleLine + styleThick);
PlotShapes(shapeDownArrow*Sell,colorRed,0,dsar+0.05,0);
PlotShapes(shapeUpArrow*Buy,colorBlue,0,dsar-0.05,0);
GraphXSpace=3;
//=================================================
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