Hi,
I have been going cross-eyed with this for days, so I am hoping someone can
point me in the right direction.
I am trying a system that buys/sells on a stochastic cross. However when I
examine the backtest output, I cannot reconcile the MAE% figure with the
simulated trade data.
Here is the code:
//enter at close of bar
SetTradeDelays(0,0,0,0);
BuyPrice = C;
SellPrice = C;
ShortPrice = C;
CoverPrice = C;
//Stochastic indicator
Userfriendly = Param("User Friendly Variable",1,1,50,1);
periods = Param( "Periods", 15, 1, 200, 1 );
Ksmooth = Param( "%K avg", 3, 1, 200, 1 );
Dsmooth = Param( "%D avg", 3, 1, 200, 1 );
StoD = StochD( Userfriendly*periods , Userfriendly*Ksmooth,
Userfriendly*DSmooth);
StoK = StochK( Userfriendly*periods , Userfriendly*Ksmooth);
//-----------------------------------------------
// buy & Sell conditions
Buy = Cover = Cross(StoK,StoD);
Sell = Short = Cross(StoD,StoK);
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
Plot(C,"C",colorBlack,styleCandle);
Plot( StoD, "StoD", colorBlue, styleLine|styleLeftAxisScale);
Plot( StoK,"StoK", colorRed,styleLine|styleLeftAxisScale);
////////////END/////////////////////////////////////
As an example, when I run the backtest on ticker SKI.AX I get a long entry @
$1.33 on Jan29 2010 with an exit @ $1.31 Feb8. Reported MAE of 1.5%.
When I check the chart I get trade open $1.33 and trade low of $1.30 (Feb8)
giving a MAE of $0.03c or 2.25%.
Checking other trades gives similar results. All the MFEs I have checked seem
ok.
Does anyone have any pointers for me?
Thanks
Chris
