Number of trades in an asset loop

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Number of trades in an asset loop #482623 03/08/21 10:46 03/08/21 10:46
Joined: Mar 2017 Posts: 15 edu OP Newbie
edu OP Newbie Joined: Mar 2017 Posts: 15	Hi everyone I dont understand why the number of trades that I get when I run a script with an asset loop is not equal to the sum of trades that I get when I run the same script on each asset individually. Shouldn’t they be the same? For example: Script run for each pair individually Number of trades: EURUSD: 281 GBPUSD: 298 USDCAD: 271 AUDUSD: 304 ---------------------------- Sum: 1154 Script run using an asset loop Number of trades: 964 Here's the code I used Thanks in advance Code function run() { StartDate = 2010; EndDate = 2020; BarMode = BR_FLAT; set(PARAMETERS+TESTNOW); BarPeriod=60; NumWFOCycles=3; LookBack = 500; Capital = 1000000; while(asset(loop("EUR/USD","GBP/USD","USD/CAD","AUD/USD"))) { vars Price = series(price()); int MMP = optimize(300,200,400,40); vars MM1 = series(LowPass(Price, MMP)); int MMIP = 300; vars MMI_Raw = series(MMI(Price,MMIP)); vars MSmooth = series(LowPass(MMI_Raw,300)); if( NumOpenLong < 1 and valley(MM1) and falling(MSmooth) ) enterLong(); if( NumOpenShort < 1 and peak(MM1) and falling(MSmooth) ) enterShort(); Stop = ATR(25)3; Trail = ATR(25)3; } }

Re: Number of trades in an asset loop [Re: edu] #482667 03/15/21 11:29 03/15/21 11:29
Joined: Mar 2017 Posts: 15 edu OP Newbie
edu OP Newbie Joined: Mar 2017 Posts: 15	It seems that the problem is the WFO When I comment this part out, the number of trades match. Code NumWFOCycles=3; Why are the WFO results different when I optimize the whole portfolio with an asset loop and when I optimize for each asset independently?

Re: Number of trades in an asset loop [Re: edu] #482702 03/18/21 15:07 03/18/21 15:07
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	This is probably not what you intended: BarMode = BR_FLAT; BR_WEEKEND is missing, so you're getting flat candles all weekend, which will affect your indicators. I don't know if that's the reason of the different trades, but it does not look right. You can see the reason of the different trades when you look in the logs and compare a few trades with all assets vs. a single asset.

Re: Number of trades in an asset loop [Re: jcl] #482787 03/29/21 07:55 03/29/21 07:55
Joined: Mar 2017 Posts: 15 edu OP Newbie
edu OP Newbie Joined: Mar 2017 Posts: 15	Thank you jcl, it gets better with BR_WEEKEND, now I get the same number of trades, but I still get different results. When I compare the logs with a single asset vs all assets, I see that all trades have the same entries, but in some of them the exit is different. Same thing happens when I change the order of the assets inside the loop. Any idea why this could happen? I simplified the script, here's the version I'm using: Code function run() { BarMode = BR_WEEKEND+BR_FLAT; set(LOGFILE); BarPeriod=60; LookBack = 500; StartDate = 2016; EndDate = 2017; while(asset(loop("EUR/USD","GBP/USD"))) { vars Price = series(price()); vars MM1 = series(LowPass(Price, 100)); if(NumOpenLong < 1 and valley(MM1)) enterLong(); if(NumOpenShort < 1 and peak(MM1) ) enterShort(); Stop = ATR(25)3; Trail = ATR(25)3; } }

Re: Number of trades in an asset loop [Re: edu] #482797 03/30/21 10:02 03/30/21 10:02
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	Look closely at your code. Where do you set the stop?

Re: Number of trades in an asset loop [Re: edu] #482842 04/05/21 10:29 04/05/21 10:29
Joined: Mar 2017 Posts: 15 edu OP Newbie
edu OP Newbie Joined: Mar 2017 Posts: 15	Thank you for the hint jcl, I set the stop before the entry logic and it works fine. I don't know why this happens.

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