Reset backtesting script to run as day trade

[StockT8er]

This strategy was set up for swingtrading. As you can see I added EOD, I need to reset each day in order to run it as a DayTrade. Can you help?

#[email protected]

#positioning
input usetimefilter = yes;
input rthopen = 0930;
input rthclose = 1600;
def RTH = if usetimefilter == yes then if SecondsFromTime(rthopen) >= 0 and
               SecondsTillTime(rthclose) >= 0
            then 1
            else 0 else 1;

input avglength = 14;
input MTaverageType = AverageType.WILDERS;
input ATRLength = 5;
input MTprice = hlc3;
input MTreversalMode = {default ATRpercent, price};
input MTreversalAmount = .5;

##DayATR Value Calculation
def highPrice = FundamentalType.HIGH;
def closePrice = FundamentalType.CLOSE;
def lowPrice = FundamentalType.LOW;
def aggregationPeriod = AggregationPeriod.DAY;
rec AvgTrueRange = MovingAverage(AverageType.SIMPLE, TrueRange(Fundamental (highPrice, period = AggregationPeriod.DAY), Fundamental (closePrice, period = AggregationPeriod.DAY), Fundamental (lowPrice, period = AggregationPeriod.DAY) ), ATRLength);

##############
##ATR percent conversion calculation
rec DayATRReversalValue = MTreversalAmount * (AvgTrueRange / close) * 100;

def mode = if MTreversalMode == MTreversalMode.price then ZigZagTrendSign(price = MTprice, reversalAmount = MTreversalAmount) else ZigZagTrendPercent(price = MTprice, reversalAmount = DayATRReversalValue);
def MTinflection = if MTreversalMode == MTreversalMode.price then if !IsNaN(ZigZagSign(price = MTprice, reversalAmount = MTreversalAmount)) then 1 else 0 else if !IsNaN(ZigZagPercent(price = MTprice, reversalAmount = DayATRReversalValue)) then 1 else 0;
rec MTtrend = if MTinflection == 1 and mode == -1 then 1 else if MTinflection == 1 and mode == 1 then -1 else MTtrend[1];

rec MTupWaveVolume = if MTinflection == 1 and MTtrend == 1 and close > open then volume else if MTinflection == 1 and MTtrend == 1 and close <= open then 0 else if MTtrend == 1 or (MTinflection == 1 and MTtrend == -1 and close >= open) then MTupWaveVolume[1] + volume else 0;
rec MTdownWaveVolume = if MTinflection == 1 and MTtrend == -1 and close < open then volume else if MTinflection == 1 and MTtrend == -1 and close >= open then 0 else if MTtrend == -1 or (MTinflection == 1 and MTtrend == 1 and close <= open) then MTdownWaveVolume[1] + volume else 0;

plot BuySignal = MTinflection[1] and MTdownWaveVolume[2] > 0;
BuySignal.SetDefaultColor(Color.CYAN);
BuySignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
BuySignal.SetLineWeight(4);

plot SellSignal = MTinflection[1] and MTupWaveVolume[2] > 0;
SellSignal.SetDefaultColor(Color.MAGENTA);
SellSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
SellSignal.SetLineWeight(4);

def Buy_Time = if MTinflection[1] and MTdownWaveVolume[2] > 0 then 1 else 0;

def Buy_Signal = if RTH == 1 > SecondsTillTime(0930) and Buy_Time == 1 then 1 else 0;
def Sell_Signal = if MTinflection[1] and MTupWaveVolume[2] > 0 then 1 else 0;

def EOD =  RTH == 1 > SecondsTillTime(2000);
def orderPrice = open[-1]+((open[-1]+close[-1])/2);

AddOrder(OrderType.BUY_TO_OPEN, RTH and Buy_Signal, price = orderPrice, tickcolor = GetColor(0), arrowcolor = GetColor(0), name = "ST_LE");

AddOrder(OrderType.SELL_TO_CLOSE, RTH and Sell_Signal, price = orderPrice, tickcolor = GetColor(1), arrowcolor = GetColor(1), name = "ST_SE");

AddOrder(OrderType.SELL_TO_CLOSE, EOD, price = orderPrice, tickcolor = GetColor(9), arrowcolor = GetColor(7), name = "CDS_EOD");

##input MTVolumeAudible_Alert = yes;
def MTVolumeDeviation_Length = 60;
def MTVolumeDeviate = 2;
def MTvolumestdevlength = RelativeVolumeStDev(length = MTVolumeDeviation_Length);
def abovedev = MTvolumestdevlength >= MTVolumeDeviate;
def belowdev = MTvolumestdevlength <= MTVolumeDeviate;

def MTvolumeincrease = volume > volume[1];
def MTvolumedevincrease = MTvolumeincrease and abovedev;
def MTvolumedecrease = volume < volume[1];
def MTvolumedevdecrease = MTvolumedecrease and abovedev;

def O = open;
def H = high;
def C = close;
def L = low;
def V = volume;
def MTvolumeBuying = V * (C - L) / (H - L);
def MTvolumeSelling = V * (H - C) / (H - L);

input Show_Labels = yes;
AddLabel(Show_Labels, "Buy Vol = " + Round(MTvolumeBuying, 0), if MTvolumeBuying > MTvolumeSelling then Color.GREEN else Color.RED);
AddLabel(Show_Labels, "Sell Vol = " + Round(MTvolumeSelling, 0), if MTvolumeSelling > MTvolumeBuying then Color.GREEN else Color.RED);

Like below example due to market not open yet

 

[MatthewA]

Hey @StockT8er If you don't want this to run 24/7 you might just pick a case where you let the code count the days...
You mix ADX & ATR cool I never thought of that??? Could that be used to warn of chop or consolidation??

input timeOfPhaseProfile = {Hour, Day, Week, Month, Year, Chart, "Opt Exp"};
input ValueAreaPercent = 50;
def period;
def yyyymmdd = GetYYYYMMDD();
def seconds = SecondsFromTime(0);
def month = GetYear() * 12 + GetMonth();
def year = GetYear();
def day_number = DaysFromDate(First(yyyymmdd)) + GetDayOfWeek(First(yyyymmdd));
def dom = GetDayOfMonth(yyyymmdd);
def dow = GetDayOfWeek(yyyymmdd - dom + 1);
def expthismonth = (if dow > 5 then 27 else 20) - dow;
def exp_opt = month + (dom > expthismonth);
switch (timeOfPhaseProfile) {
case Chart:
    period =0;#Entire Chart
case Hour:
    period = Floor(seconds / 3600 + day_number * 24);#Hour
case Day:
    period = CountTradingDays(Min(First(yyyymmdd), yyyymmdd), yyyymmdd) - 1;#Day
case Week:
    period = Floor(day_number / 7);#Week
case Month:
    period = Floor(month - First(month));#Month
case Year:
    period = Floor(year - First(year));#Year
case "Opt Exp":
    period = exp_opt - First(exp_opt);#option Exp
}
addLabel(ShowProfileSortingCounts4DEBUG, period + "period");

 

[Alex]

@StockT8er this indicator seems to signal tops and bottoms pretty good... Does it repaint or something?

 

[BenTen]

@Alex After checking the source code, I'm seeing that it's using ZigZag. So yes, this is a repainting indicator.

 

[Alex]

@Alex After checking the source code, I'm seeing that it's using ZigZag. So yes, this is a repainting indicator.

Just ran it on demand and it doesn't appear to repaint, Can you confirm?

 

[Blue&Gold]

When you use trading strategies, does the program automatically buy the stock/option contract when the alert comes? Or do you do it manually?

 

[StockT8er]

We WISH but NO Oh it does not work so good ONDEMAND

 

[StockT8er]

Try changing this line

rec AvgTrueRange = MovingAverage(AverageType.SIMPLE, TrueRange(Fundamental (highPrice, period = AggregationPeriod.DAY), Fundamental (closePrice, period = AggregationPeriod.DAY), Fundamental (lowPrice, period = AggregationPeriod.DAY) ), ATRLength);

To this

rec AvgTrueRange = RTH and MovingAverage(AverageType.SIMPLE, TrueRange(Fundamental (highPrice, period = AggregationPeriod.DAY), Fundamental (closePrice, period = AggregationPeriod.DAY), Fundamental (lowPrice, period = AggregationPeriod.DAY) ), ATRLength);

I just hope the false signals are minimal. The first one did give false signals

 

[BenTen]

@Alex A good rule of thumb to identify whether an indicator will repaint or not is to look for false signals. If there isn't any, then most likely it's repainting. I added the backtesting script to my chart. It's giving me 100% win rate. Combine that with the fact that it is using "ZigZagTrendSign"
in the code.

 

[Blue&Gold]

@Alex A good rule of thumb to identify whether an indicator will repaint or not is to look for false signals. If there isn't any, then most likely it's repainting. I added the backtesting script to my chart. It's giving me 100% win rate. Combine that with the fact that it is using "ZigZagTrendSign"
in the code.

What does "repaint" mean?

 

[RickAns]

@StockT8er how are you liking the EoD / RTH coding you are using? Thinking about doing something like that in a project I am working on. What do you mean you have to reset things - reset what?

@Blue&Gold You have to manualy place trades in ToS.

 

[rad14733]

What does "repaint" mean?

There is an entire forum topic on the subject but in short, repainting means that Buy and Sell signals will appear and then disappear as data continues to change... Therefore, secondary confirmation is the best practice if using repainting indicators...

 

[Alex]

@Alex A good rule of thumb to identify whether an indicator will repaint or not is to look for false signals. If there isn't any, then most likely it's repainting. I added the backtesting script to my chart. It's giving me 100% win rate. Combine that with the fact that it is using "ZigZagTrendSign"
in the code.

Exactly what I thought. The signals seemed too good to be true.

 

[StockT8er]

I use EoD / RTH in every strategy, however I do have and input to control them.

Here is an alternate change

#rec DayATRReversalValue = MTreversalAmount * (AvgTrueRange / close) * 100;
rec DayATRReversalValue = RTH and MTreversalAmount * (AvgTrueRange / close) * 100;

Use either this one or the one posted earlier, however this change makes less trades

I was able to run this somewhat in OnDemand It defiantly repaints, Sell order appeared then disappeared after it started back up again

I have and idea, not necessary to eliminate false signals but to at lease reverse when they disappear. Anyone up for the challenge.
Link to latest updates
https://tos.mx/Qnj9wv1

By using this data could we do this?

def entryBarsTemp = if hasEntry
                    then bn
                    else nan;

def entryBarNum = if hasEntry and isNewEntry
                  then bn
                  else entryBarNum[1];

def isEntryBar = entryBarNum != entryBarNum[1];

def entryBarPL = if isEntryBar
                 then FPL
                 else entryBarPL[1];

def exitBarsTemp = if !hasEntry
                   and bn > entryBarsTemp[1]
                   then bn
                   else nan;

def exitBarNum = if !hasEntry and !IsNaN(exitBarsTemp)
                    then bn
                    else exitBarNum[1];

def isExitBar = exitBarNum != exitBarNum[1];

def exitBarPL = if isExitBar
                then FPL
                else exitBarPL[1];

 

[vanphan]

@StockT8er Hello T8er, What is CDS-EOD means ? I see it generated a few of those, but not completely understand it meaning.

 

[alexR]

@StockT8er the above share strategy gives falls signals, it repaints unfortunately.

 

[BenTen]

@alexR Correct, I've confirmed this before.

 

[vanphan]

Please help Identify this Indicator that @StockT8er posted above.
Could this be scan under TOS for arrow signal ?

 

[vanphan]

Could this Script be scan in TOS ? or could anyone please help ?