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Hello,
I'm trying to write a system which sometimes opens several positions in the
same bar. So I need to calculate the average entryprice, for which I used
the buyprice variable.
The trading system itself is not that relevant. My entry criteria is
to buy if price crosses a resistance level. Then I want to add
positions as price moves in my favor. The problem I am having is that
the backtester executes trades at a price which is different from the
price which is shown by the buyprice variable.
To make sure I was calculating the buyprice correctly I plotted it on a
chart. The value which is displayed on the chart is ok, but when I execute
the backtest the buy price does not match the value I see on the chart ( I'm
plotting the reserved buyprice variable, not a variable created by me).
Please see attached an example of this (bar 11-01-2001 at 19:29).
The code at this time is only applicable to forex pairs with 4 decimal places.
Can you please tell me what am I doing wrong?
PH =TimeFrameGetPrice("H", inDaily, -1);
PL =TimeFrameGetPrice("L", inDaily, -1);
PC =TimeFrameGetPrice("C", inDaily, -1);
PP=(PH+PL+PC)/3;
//R1 = (2 * PP) - PL;
//S1 = (2 * PP) - PH;
//R2 = PP + R1 - S1;
//S2 = PP + S1 - R1;
R3=(PH + (2 * (PP - PL)));
S3=(PL - (2 * (PH - PP) ));
PPcolor=ParamColor("PP",colorYellow);
SRcolor=ParamColor("S/R color",colorSkyblue);
SRstyle=ParamStyle("S/R style",styleDots|styleNoLine|styleNoRescale);
//Plot(PP,"",PPcolor,styleThick);
//Plot(S3,"",SRcolor,SRstyle);
//Plot(R3,"",SRcolor,SRstyle);
// trading system
SetBacktestMode( backtestRegularRawMulti );
intrade=0;
step1=0;
step2=0;
step3=0;
step4=0;
step5=0;
step6=0;
step7=0;
npos=0;
stackplot=0;
entrypriceplot=0;
entryprice=0;
HighestSinceentry=0;
stacks=0;
entry=Cross(H,R3);
//BuyPrice=R3; //entryprice
exit=Cross(pp,L);
SellPrice=PP; //stop loss selling price
Buy=0;
for(i=1 ; i<(BarCount-1) ; i++)
{
if( entryprice[i]==0 AND entry[i]==1 AND npos[i]==0) // entry bar check
{
Buy[i]=1;
entryprice=R3[i];
HighestSinceentry=H[i];
stacks[i]=Min(int((H[i]-entryprice[i])*10000/10),4)+1; //
inclui mais uma posiçao que é a inicial
npos[i]=stacks[i];
BuyPrice[i]=(2*entryprice[i]+((stacks[i]-1)*10/10000))/2; //
retirar um pois esta incluido nos stacks
intrade=1;
step1[i]=1;
if(H[i]>=(entryprice[i]+50/10000)AND intrade[i]) //profit
target hit on entry bar
{
BuyPrice=(2*entryprice[i]+(4*10/10000))/2;
Sell[i]=1;
SellPrice[i]=entryprice[i]+50/10000;
entryprice=0;
HighestSinceentry=0;
npos[i+1]=0;
step2[i]=2;
intrade=0;
}
}
if (H[i]>HighestSinceentry[i] AND intrade[i]) //increase number of positions
{
HighestSinceentry=H[i];
stacks[i]=Min(int((H[i]-entryprice[i])*10000/10),4)-npos[i]+1;
//calculate number of stacks
if(stacks[i]<0) stacks[i]=0;
npos[i]=Min(stacks[i]+npos[i],5); // keep highest number of stacks
step3[i]=3;
if(stacks[i]>0 AND npos[i]<=5) // doesn't buy if stacks is
zero and doesn't buy if # of positions is > 5
{
Buy[i]=1;
BuyPrice[i]=(2*entryprice[i]+(stacks[i]*10/10000))/2;
step4[i]=4;
}
}
npos[i+1]=Min(npos[i],5);
step5[i]=5;
if(H[i]>=(entryprice[i]+50/10000) AND intrade[i]) //profit target hit
{
Sell[i]=1;
entryprice=0;
SellPrice[i]=entryprice[i]+50/10000;
HighestSinceentry=0;
npos[i+1]=0;
step6[i]=6;
intrade=0;
}
if(exit[i]==1 AND intrade[i]) //stop loss hit
{
Sell[i]=1;
entryprice=0;
HighestSinceentry=0;
npos[i+1]=0;
intrade=0;
step7[i]=7;
}
stackplot[i]=stacks[i];
entrypriceplot[i]=entryprice ;
}
Plot(Buy,"buy",colorLime,styleOwnScale);
Plot(step1,"st1",colorLime,styleOwnScale);
Plot(step2,"st2",colorLime,styleOwnScale);
Plot(step3,"st3",colorLime,styleOwnScale);
Plot(step4,"st4",colorLime,styleOwnScale);
Plot(step5,"st5",colorLime,styleOwnScale);
Plot(step6,"st6",colorLime,styleOwnScale);
Plot(step7,"st7",colorLime,styleOwnScale);
Plot(Sell,"sell",colorRed,styleOwnScale);
Plot(BuyPrice,"buyprice",colorViolet,styleOwnScale);
Plot(npos,"npos",colorPink,styleOwnScale);
Plot(stackplot,"stack",colorAqua,styleOwnScale);
Plot(entrypriceplot,"entryprice",colorBlue,styleOwnScale);
SetPositionSize(stackplot,spsShares);
thanks very much,
PP
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