protected override void Initialize() { Add(PeriodType.Day, 1); Add(PeriodType.Day, 5); CalculateOnBarClose = false; } /// <summary> /// Called on each bar update event (incoming tick) /// </summary> protected override void OnBarUpdate() { // Condition set 1 Long Entry, current price > week high & current price < 5% from day low. // And time to start/stop entering positions. if ((BarsInProgress == 0) //OnBarUpdate called for 5min bars && (Close[0] > Highs[2][0] && Close[0] < Lows[1][0] * 1.05) && (ToTime(Time[0]) >= timestart && ToTime(Time[0]) < timeend)) //Dayhigh - Daylow > ATR20*.75. AvDailyVol>500k, Stocks $10-90, and ATR>1.5 & ATR<3. {avgdailyvolume = SMA(Volumes[1],20)[0];} if ((BarsInProgress == 1) //OnBarUpdate called for daily bars && (Highs[1][0] - Lows[1][0] > ATR(BarsArray[1], 20)[0]*ATRrange) && (avgdailyvolume > 500000) && (Closes[1][1] >= 10 && Closes[1][1] <= 90) && (ATR(BarsArray[1], 20)[0] > 1.5 && ATR(BarsArray[1], 20)[0] < 3)) { EnterLong(200); } // Condition set 2 Fixed Stop, if ((BarsInProgress == 0) && (Position.MarketPosition == MarketPosition.Flat)) { SetStopLoss(CalculationMode.Price, ATR(BarsArray[1], 14)[0]*longstopATRperc); } // Condition set 3 Trail Trigger & Trail How else if ((BarsInProgress == 0) && (Position.MarketPosition == MarketPosition.Long && ToTime(Time[0]) > 93500)) {SetStopLoss(CalculationMode.Price, Swing(1).SwingLowBar(0, 1, 10));} // Condition set 4 Long Exit, if (ToTime(Time[0]) >= 155000) { ExitLong(200); } }
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No backtest results
Is there anything obvious I have wrong with the strategy code below, I'm not getting any results in the backtest for a month run on all dow stocks. I haven't used this thing in a while, but I have other old strategies that are getting results.
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