Posted By: maxwellreturn
Equity Curve Trading Question - 07/19/19 09:51
Hi guys,
im new here and i want to thanks jcl for this beautiful software, it's amazing and it deserve more popularity.
my first question are about phantom trade and equity curve trading.
if i got an algo that stay in market 50% of time i got a simple problem; this is my code:
if i plot the equity curve and its lowpass i see that when the strategy is out of market the equitycurve gone flat and so the lowpass on the equity too. I think that this can bring miscalculation about entries and phantom trade. How can i get an equity curve that dont go flat when the algo is out of market?
thanks and have a good day
im new here and i want to thanks jcl for this beautiful software, it's amazing and it deserve more popularity.
my first question are about phantom trade and equity curve trading.
if i got an algo that stay in market 50% of time i got a simple problem; this is my code:
Code
function run() { set(LOGFILE|PLOTNOW|PARAMETERS); NumYears = 3; Verbose = 2; LookBack = 1000; vars Price = series(priceClose()); vars Trends1 = series(SMA(Price,30)); vars Trends2 = series(SMA(Price,90)); // generate equity curve including phantom trades vars EquityCurve = series(EquityLong+EquityShort); //vars EquityCurve2 = series(Equity); vars EquityLP = series(LowPass(EquityCurve,100)); if(EquityCurve[0] < EquityLP[0]) setf(TradeMode,TR_PHANTOM); // drawdown -> phantom trades else resf(TradeMode,TR_PHANTOM); // profitable -> normal trades //setf(TrainMode, PHANTOM); if(crossOver(Trends1,Trends2)) enterShort(); else if(crossUnder(Trends1,Trends2)) exitShort(); plot("eq",EquityCurve,NEW,BLUE); plot("eqlp",EquityLP,0,RED); //plot("eq2",EquityCurve2,NEW,BLUE); }
if i plot the equity curve and its lowpass i see that when the strategy is out of market the equitycurve gone flat and so the lowpass on the equity too. I think that this can bring miscalculation about entries and phantom trade. How can i get an equity curve that dont go flat when the algo is out of market?
thanks and have a good day