Optimization Backtesting Settings Data

PanagiotisCharalampous
24 Apr 2019, 14:29

Hi andi21,

Do you have a scenario where we can see this behavior (cBot, cBot parameters, backtesting dates)?

Best Regards,

Panagiotis

andi21
24 Apr 2019, 15:52 ( Updated at: 21 Dec 2023, 09:21 )

Hi Panagiotis,

thanks for your very fast answer.

I have created an example scenario in an image:

Best Regards,

andi21

PanagiotisCharalampous
24 Apr 2019, 16:04

Hi andi21,

Based on your image, I would expect the SL to trigger on the opening of the third yellow bar. Is this what you expect as well?

Best Regards,

Panagiotis

andi21
24 Apr 2019, 16:09

Hi Panagiotis,

yes, that is what i would expect. But based on the data mode "only open prices", internally it is possibly handled different (just simple based on open prices).

Best Regards,

andi21

PanagiotisCharalampous
24 Apr 2019, 16:27 ( Updated at: 21 Dec 2023, 09:21 )

Hi andi21,

The cBot will honor the SL and TP prices regardless the fact that only m1 bar data is used. See the example below

using System;
using System.Linq;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using cAlgo.Indicators;

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class NewcBot : Robot
    {
        [Parameter(DefaultValue = 0.0)]
        public double Parameter { get; set; }

        protected override void OnStart()
        {
            ExecuteMarketOrder(TradeType.Buy, Symbol.Name, 1000, "", 2, 100);
        }

        protected override void OnTick()
        {
            Print("Test");
        }

        protected override void OnStop()
        {
            // Put your deinitialization logic here
        }
    }
}

and see where the SL is triggered

The difference with the tick data execution is that the OnTick() function is called only when the bar changes (hence the print statement in OnTick() for demonstration). So if you have logic in OnTick() method, backtesting on bars is not recommended. 

Best Regards,

Panagiots

andi21
24 Apr 2019, 16:41

Hi Panagiots,

ah, i see.

Ok, that is good like i would expect it.

In my cBot i use the OnTick-override though, but within the method i execute code only if a new bar is processed (bar index has changed). So my bot processes something only once per new bar.

I know that i could use the OnBar-override instead, but i prefer the OnTick-override.

So the conclusion is, that - also in my case (using OnTick-override, but internal processing within my method is done only once per new bar) - SL and TP are triggered correctly so not depending only on open prices if using "only open prices"-mode.

Thank you for your fast and purposeful help.

Best regards,

andi21

PanagiotisCharalampous
24 Apr 2019, 16:45

Hi andi21,

Please note that this applies only for built in SL and TP. If you have a custom made logic, like below, then your execution will not be accurate

using System;
using System.Linq;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using cAlgo.Indicators;

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class NewcBot : Robot
    {
        [Parameter(DefaultValue = 0.0)]
        public double Parameter { get; set; }

        protected override void OnStart()
        {
            ExecuteMarketOrder(TradeType.Buy, Symbol.Name, 1000);
        }

        protected override void OnTick()
        {
            if (Positions.Count > 0 && Positions[0].Pips < -2)
                Positions[0].Close();

        }

        protected override void OnStop()
        {
            // Put your deinitialization logic here
        }
    }
}

Best Regards,

Panagiotis

andi21
24 Apr 2019, 16:50

Hi Panagiotis,

thanks for the further clarification. That is what i would expect. But in my case i only use built in SL and TP, so that should be fine for m1 or h1 bar data.

Best Regards,

andi21