Login Page - Create Account

Home >> Support Board

Support Board

Date/Time: Sat, 18 May 2024 06:01:26 +0000

How to Post a Message for Support

Post From: Study behavior change after running AutoTrade System Based Bar Backtest

[2015-01-25 17:19:23]
[Go To First Post]
User85417 - Posts: 3
There a study I wrote (began with user contributed source code) that plots the previous day high, low, and close. The study is working correctly on the chart. However after running the AutoTrade System Based Bar Backtest the high and low plots change to plot the high and low of the beginning bar of the new day. THe close plot does not change. Running Chart Recalculate, the high and low plots are fixed. I want to use this code in a strategy and backtest it, but running the backtest breaks the code.

I'm thinking that a possible fix would involve a new array that stores the high and low. However, those who are more familiar with SC backtesting might have a better fix. Also, I'm curious about how the backtesting is changing the behavior.

Screenshot images below. The first image is of the study plots before the backtest was run. Plots are of the previous day: Red = High, Orange = Close, Green = Low

http://www.sierrachart.com/image.php?l=142220467574.png
http://www.sierrachart.com/image.php?l=1422204753412.png


SCSFExport scsf_ORTradeSignal(SCStudyGraphRef sc)
{

int sc_index = 0;
SCSubgraphRef Output1 = sc.Subgraph[sc_index++];
SCSubgraphRef Output2 = sc.Subgraph[sc_index++];
SCSubgraphRef Output3 = sc.Subgraph[sc_index++];


//
// Declare Inputs
//
int InputIndex = 0;
SCInputRef DistanceFromCandle = sc.Input[InputIndex++];
  
  if (sc.SetDefaults)
  {
   sc.GraphName="OR Trade Signal";
   sc.StudyDescription="Opening Range Trade Signals";
    
//
// Default Input Settings
//
DistanceFromCandle.Name = "DistanceOfSignalFromBar";
   DistanceFromCandle.SetInt(1);

//
// Default Output Settings
//
Output1.Name="Close";
Output1.DrawStyle = DRAWSTYLE_DASH;
Output1.PrimaryColor = RGB(255,128,0);

Output2.Name="High";
Output2.DrawStyle = DRAWSTYLE_DASH;
Output2.PrimaryColor = RGB(255,0,0);

Output3.Name="Low";
Output3.DrawStyle = DRAWSTYLE_DASH;
Output3.PrimaryColor = RGB(0,255,0);
    
sc.ScaleRangeType = SCALE_SAMEASREGION;
    sc.GraphRegion = 0;

sc.AutoLoop = 0; //0 for manual looping
sc.FreeDLL = FREEDLL;
    sc.DrawZeros=0;
  
return;
  }
  
/*****************************************************************************
   *
   * Create Sub-Graph outputs
   *
   ****************************************************************************/

  float& High   = sc.PersistVars->f1;  
float& Low     = sc.PersistVars->f2;
  float& DailyHigh = sc.PersistVars->f3;  
float& DailyLow   = sc.PersistVars->f4;
float& Close = sc.PersistVars->f5;  
float& DailyClose  = sc.PersistVars->f6;

  int& iDstart  = sc.PersistVars->i1;  
int plot_offset = DistanceFromCandle.GetInt();
int i,j;

if (sc.UpdateStartIndex == 0)
  {  
iDstart=0;  
High = sc.BaseDataIn[SC_HIGH][0];
Low = sc.BaseDataIn[SC_LOW][0];
}
    
// Manual looping, therefore all processing is done in this for loop
//
//loop for all bars starting at the farthest back in time
  for (i = sc.UpdateStartIndex; i < sc.ArraySize; i++)
  {
    int p = i-1, BarDoW, PreviousBarDoW;
    BarDoW = sc.BaseDateTimeIn[i].GetDayOfWeek(); //get this bar's DoW
PreviousBarDoW = sc.BaseDateTimeIn[p].GetDayOfWeek(); //get previous' DoW

// DayOfWeekEnum SUNDAY = 0, MONDAY = 1, TUESDAY = 2, WEDNESDAY = 3,
// THURSDAY = 4, FRIDAY = 5, SATURDAY = 6  

    if(BarDoW != PreviousBarDoW) // new day
    {
DailyHigh = High;
DailyLow = Low;
      High = sc.BaseDataIn[SC_HIGH][i];
Low = sc.BaseDataIn[SC_LOW][i];
DailyClose = Close;

//Get the HL for the first minute
FirstMinHigh = sc.BaseDataIn[SC_HIGH][i] + 0.75;
FirstMinLow = sc.BaseDataIn[SC_LOW][i] - 0.75;

    }
else //update the HLC for the day
{
Close = sc.BaseDataIn[SC_LAST][i];

if(sc.BaseDataIn[SC_HIGH][i] > High) High = sc.BaseDataIn[SC_HIGH][i];
      if(sc.BaseDataIn[SC_LOW][i] < Low) Low = sc.BaseDataIn[SC_LOW][i];

}
    
    //Display outputs
Output1[i] = DailyClose;
Output2[i] = DailyHigh;
Output3[i] = DailyLow;

}
      
}