StressFunction indicator / TimingWithPairs

[ALBER]

Hello,

I have find a problem using the StressFuction indicator of Kauffman in real time that I have downloaded in this forum.

in real time when you add this indicator to a chart every time that a new bar close change the value of this indicator in the immediatelly previous bar , this means that when you use this indicator as a condition in an strategy (as the strategy TimingWithPairs that you could download also in this forum) the results in real time will be always different to historical results.
This problem is the first time I see with an indicator , I have never seen that the value of an indicator(RSi, Stochastic, etc..) could change in Bar[1] when close Bar[0].

Any ideas of how to solve this problem, if not the results of the strategy TimingWithPairs are not valids when you backtesting the strategy.

[NinjaTrader_Bertrand]

Thanks for the post and making us aware ALBER. We will look into matters and get back to you.

[NinjaTrader_PatrickH]

Hello ALBER,

Thank you for your patience.

I was unable to reproduce the same item on my end. Please provide some additional details to assist us in reproducing this item.

What instrument are you testing the StressFunction indicator on? What period type and interval is being used? Example: HES 1 Day.

Please advise if there are any specific steps taken to reproduce this item as well.

[ALBER]

Hi Patrick,

the problem of this indicator is with any instrument , for example if you add this indicator to a 3 minutes FDAX chart and you writes in real time the value or this indicator when the Bar close, then when a new bar is building and has only past 1 minute from the close of the last bar suddenly change the value of the last Bar that you have written and then this new value will be the value of the backtesting.
the conclusion is that the results in real time will be always different than in historical when you uses this indicator as a condition of an strategy as in the strategy TimingWithPairs that you could download in this forum.

[NinjaTrader_PatrickH]

Hello ALBER,

Thank you for your response.

Can you save a template of a chart that this is occurring on and attach the template to your response? In addition, please advise what instrument the template was used.

[ALBER]

Hi Patrick,

I send you attached two charts Fdax 3 Min , the first chart it is saved at 10h5min and the value for the StressFuction indicator was 73,43 for the bar closed at 10h05min , one minute later at 10h06min I saved the same chart and the value for the bar closed at 10h05min has changed to 43,38.

in this period chart(3 min) the changing of the value is 1 min after the previous close , if you use another periods (15 min , 30min etc..) the changing of value are in different minutes after the previous close (not 1 min later), but always changes the previous value of the indicator in the previous bar before the closing of the current bar.

pd: the charts are saved at Barcelona time

Regards

[NinjaTrader_PatrickH]

Hello ALBER,

Thank you for your additional information.

I will continuing investigating. And once again thank you for bringing this to our attention.

[ALBER]

Hi Patrick,

I think that finally I have found the problem , in the data series as there are two different instruments (Fdax and ES) I put "use instruments settings) , if I change this to "Eurex fixed income futures" for both instruments , the problem dissapears.

Regards

[NinjaTrader_PatrickH]

Hello ALBER,

Thank you for your update.

There should be no difference between what the FDAX uses as it's default (EUREX EQUITY INDEX FUTURES) or the EUREX FIXED INCOME FUTURES. I will continue to test for this case on my end.