Different backtesting results

Author: bishop

Creation Date: 5/21/2012 9:37 AM

Wealth Lab » WealthScript (.NET) » Different backtesting results

bishop

5/21/2012 9:37 AM

Hello,

When I click Compile and Run the Strategy for the first time (using 1 contract on ES, RP mode, Futures mode enabled) WL shows me a Net Profit of $16174. But when I press F5 again on the chart (nothing has been changed), the Net Profit is now $20844.
Why is it so? On what number should I look. What am i missing?

Thanks in advance.

CODE:
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Hello,

When I click Compile and Run the Strategy for the first time (using 1 contract on ES, RP mode, Futures mode enabled) WL shows me a Net Profit of $16174. But when I press F5 again on the chart (nothing has been changed), the Net Profit is now $20844.
Why is it so? On what number should I look. What am i missing?

Thanks in advance.

[CODE]
		#region Variables Declaration

private StrategyParameter _High;
		private StrategyParameter _Low;
		private StrategyParameter _RangePeriod;

bool Condition1 = false;
		bool Condition2 = false;

//	int RangeLeader = 0;
		int minBars = 0;

double StopPrice, TargetPrice, stop, target, multiplier;

//DataSeries range;

#endregion

#region Straps

public RangeLeaderBar_Copy()
		{
			_High = CreateParameter("High", 6, 2, 20, 1);
			_Low = CreateParameter("Low", 5, 2, 20, 1);
		//	_RangePeriod = CreateParameter("Range", 1, 1, 20, 1);
		}

#endregion

public bool RangeLeader(int rl, int bar)
		{
			
			DataSeries midpoint = new DataSeries(Close - Close, "midpoint");
			DataSeries range = new DataSeries(Close - Close, "range");

range = (High - Low);
			midpoint[bar] = (High[bar] + Low[bar]) / 2;
			
			Condition1 = (midpoint[bar] > High[bar - 1] || midpoint[bar] < Low[bar - 1]);
			Condition2 = range[bar] > range[bar - 1];

if (Condition1 && Condition2)
			{
				rl = 1;
				return true;
			}
			else
			{
				rl = 0;
				return false;
			}
			//return true;
		}
				
		protected override void Execute()
		{

#region Performing Initializations and Plotting Indicators
			int high_period = _High.ValueInt;
			int low_period = _Low.ValueInt;
			
			//DataSeries midpoint = new DataSeries(Close - Close, "midPoint");

#endregion

PlotStops();
			HideVolume();

// minBars Required Check
			minBars = Math.Max(high_period, low_period);

for (int bar = minBars + 1; bar < Bars.Count; bar++)
			{
				Position pos = LastPosition;

/*range = (High - Low);
				midpoint[bar] = (High[bar] + Low[bar]) / 2;

//midpoint[bar] = (High[bar-high_period] + Low[bar-low_period]) / 2;

Condition1 = (midpoint[bar] > High[bar - 1] || midpoint[bar] < Low[bar - 1]);
				Condition2 = range[bar] > range[bar - 1];

if (Condition1 && Condition2)
				{
					RangeLeader = 1;
				}
				else
				{
					RangeLeader = 0;
				} */

if (IsLastPositionActive)
				{
					if (pos.PositionType == PositionType.Long)
					{
						multiplier = 5;

stop = 3;
						target = stop * multiplier;

StopPrice = pos.EntryPrice * (100 - stop) / 100d;
						TargetPrice = pos.EntryPrice * (100 + target) / 100d;

SellAtStop(bar + 1, pos, StopPrice, "Long SL");
						SellAtLimit(bar + 1, pos, TargetPrice, "Long Target");
					}
					else
					{

target = stop * multiplier;

StopPrice = pos.EntryPrice * (100 + stop) / 100d;
						TargetPrice = pos.EntryPrice * (100 - target) / 100d;

CoverAtStop(bar + 1, pos, StopPrice, "Short SL");
						CoverAtLimit(bar + 1, pos, TargetPrice, "Short Target");
					}
				}
				else
				{

if (RangeLeader (1, bar))
						//if (RangeLeader == 1)
					{
						SetBarColor(bar, Color.Cyan);

if (Close[bar] > Close[bar - high_period])
						{
							BuyAtStop(bar + 1, High[bar], "Buy");
						}
						else
							if (Close[bar] < Low[bar - low_period])
						{
							ShortAtMarket(bar + 1, "Short");
						}
					}
				}
			}				
			
			//Plotting
			//	PlotSeries(PricePane, midpoint, Color.Red, LineStyle.Solid, 1);
		}
	}
}

[/CODE]

Eugene

5/21/2012 9:41 AM

Hi,

What you're missing is this FAQ item:

FAQ | Strategies and WealthScript > "Every time I run a Strategy I get a different result. What am I missing?"

bishop

5/21/2012 9:47 AM

Eugene, thanks.

But I run a strategy in Raw Profit mode on a single symbol, not in MSB mode. Do i still need to assign position priority?

Eugene

5/21/2012 10:07 AM

No, in this particular case the error is caused by defining variables as class-level:

CODE:
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Move the variable declarations (except the StrategyParameters which are at the right place) inside the Execute() method body and the Strategy should start working as expected.

Consider not using class-level variables unless they are really required by your Strategy's logic. Usually it's not the case with 95% Strategies.