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Johandk  
#1 Posted : Friday, September 10, 2010 4:01:06 AM(UTC)
Johandk

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Joined: 9/2/2010(UTC)
Posts: 11
Location: South Africa

Hi. I just tested the metastock bollinger band entry and exit with an initial 3*ATR stop with tradesim and got these results % winning trades: 67% Expectancy per dollar risked: 2.2 Maximum % drawdown : 9.4% Can this be true or is there something wrong with the formula that can give great backtesting results but poor real-time results?
johnl  
#2 Posted : Friday, September 10, 2010 7:59:04 PM(UTC)
johnl

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Joined: 11/7/2005(UTC)
Posts: 602

You might be buying on the signal's close. Try buying on the opening with yesterday's
signal or Ref(the signal,-1) and see what you get.
Johandk  
#3 Posted : Saturday, September 11, 2010 1:34:49 AM(UTC)
Johandk

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Joined: 9/2/2010(UTC)
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Location: South Africa

Here is the exact formula, and I stil get the great results. Can someone who also uses tradesim please check this and see if it is true? EntryTrig:= Ref(If(Abs(13-BarsSince(Ref(C<bbandBot(C,20,S,2),-1) AND L>=Ref(L,-1) AND Ref(L,-1)<=Ref(L,-2) AND Ref(RSI(14)<35,-1)))<=7 AND Ref(C<bbandBot(C,20,S,1.25),-1) AND Ref(C>BBandBot(C,20,S,2),-1) AND L>=Ref(L,-1) AND Ref(L,-1)<=Ref(L,-2) AND Ref(RSI(14),-1)>ValueWhen(1,Ref(C<bbandBot(C,20,S,2),-1) AND L>=Ref(L,-1) AND Ref(L,-1)<=Ref(L,-2) AND Ref(RSI(14)<35,-1),Ref(RSI(14),-1)) AND BarsSince(C>BBandBot(C,20,S,1.25))<barsSince(Ref(C<bbandBot(C,20,S,2),-1) AND L>=Ref(L,-1) AND Ref(L,-1)<=Ref(L,-2) AND Ref(RSI(14)<35,-1) ) AND BarsSince(C<bbandBot(C,20,S,2))>BarsSince(C>BBandBot(C,20,S,1.25)),1,If(Abs(13-BarsSince(Ref(C>BBandTop(C,20,S,2),-1) AND H<=Ref(H,-1) AND Ref(H,-1)>=Ref(H,-2) AND Ref(RSI(14)>65,-1)))<=7 AND Ref(C>BBandTop(C,20,S,1.25),-1) AND Ref(C<bbandTop(C,20,S,2),-1) AND H<=Ref(H,-1) AND Ref(H,-1)>=Ref(H,-2) AND Ref(RSI(14),-1)<valueWhen(1,Ref(C>BBandTop(C,20,S,2),-1) AND H<=Ref(H,-1) AND Ref(H,-1)>=Ref(H,-2) AND Ref(RSI(14)>65,-1),Ref(RSI(14),-1)) AND BarsSince(C<bbandTop(C,20,S,1.25))<barsSince(Ref(C>BBandTop(C,20,S,2),-1) AND H<=Ref(H,-1) AND Ref(H,-1)>=Ref(H,-2) AND Ref(RSI(14)>65,-1)) AND BarsSince(C>BBandTop(C,20,S,2))>BarsSince(C<bbandTop(C,20,S,1.25)),-1,0)),-1); EntryPrice:=OPEN; InitialStop:=C-3*ATR(10); ExitTrig:=Ref(Abs(13-BarsSince(Ref(C>BBandTop(C,20,S,2),-1) AND H<=Ref(H,-1) AND Ref(H,-1)>=Ref(H,-2) AND Ref(RSI(14)>65,-1)))<=7 AND Ref(C>BBandTop(C,20,S,1.25),-1) AND Ref(C<bbandTop(C,20,S,2),-1) AND H<=Ref(H,-1) AND Ref(H,-1)>=Ref(H,-2) AND Ref(RSI(14),-1)<valueWhen(1,Ref(C>BBandTop(C,20,S,2),-1) AND H<=Ref(H,-1) AND Ref(H,-1)>=Ref(H,-2) AND Ref(RSI(14)>65,-1),Ref(RSI(14),-1)) AND BarsSince(C<bbandTop(C,20,S,1.25))<barsSince(Ref(C>BBandTop(C,20,S,2),-1) AND H<=Ref(H,-1) AND Ref(H,-1)>=Ref(H,-2) AND Ref(RSI(14)>65,-1)) AND BarsSince(C>BBandTop(C,20,S,2))>BarsSince(C<bbandTop(C,20,S,1.25)),-1); ExitPrice:=OPEN; ExtFml("TradeSim.SetStartRecordDate",1,1,1990); ExtFml( "TradeSim.RecordTrades", "Bol bands",{ Trade Data Filename } LONG, { Trade Position Type } EntryTrig, { Entry Trigger } EntryPrice, { Entry Price } InitialStop, { Optional Initial Stop } ExitTrig, { Exit Trigger } ExitPrice, { Exit Price } START); { Recorder Control }
Johandk  
#4 Posted : Saturday, September 11, 2010 3:10:12 AM(UTC)
Johandk

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Joined: 9/2/2010(UTC)
Posts: 11
Location: South Africa

Sorry I found my problem. I didnt tel the software to look at the volume traded so it just bought up all the volume of the stock. I added these formulas and the results were very poor(made a loss) Mov(V,21,S)*C > 400000 AND Mov(C,21,S) > 10; But bollinger bands wil stil make a great system for playing in a trading game if the right position sizing strategy is used
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