• Registered: 2009-12-16
  • Posts: 19

Topic: Price Move Calculation

Popov/everyone,

Can someone breakdown the price move entry if using weighted base price with intrabar data?  Is it even possible to have a weighted calc with intrabar data?

I've been backtesting and seeing good results, but it seems like FSB is not using intrabar data but the closing bar data then finding the weighted price for up/down moves.  I just can't tell if this is a trustworthy test. 

When running comps and scans the tests are accurate.  I have almost 90% scans too, with 1 minute data from mt4.

Thank you!

  • Popov
  • Popov
  • Lead Developer
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  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,885

Re: Price Move Calculation

I'm not sure I understand you properly. What do you mean with "weighted price"? 

When scanning with intrabar data, FSB checks the whole range of each intrabar, one by one, and if there is an order in it, FSB rises a signal.

There is a known issue when scanning and there is two orders in one and the same intrabar. In that case, FSB executes always the second order even when this is not obligatory. The program doesn't know what is the real trajectory of the price inside an intrabar, so it passes the intrabar range from Open, through High and Low, till the Close of the intrabar. If there is more than one order in te intrabar, the program executes them all and marks the bar as "ambiguous" with this symbol !*

If you want to be 100 % sure that the strategy is not overvalued, you have to run the Method Comparator with and without scanning.  The mean balance line should be the most reliable line. However, I always prefer the most pessimistic result of the different methods. (It's not obligatory the Pessimistic one.)

Popov's Website

  • Registered: 2009-12-16
  • Posts: 19

Re: Price Move Calculation

Hi Popov,

I have two concerns....

First, should we disable typical/weighted, high/low from price move if using current bar?

Second, shouldn't intrabar scanning pickup this error during backtesting?

For example take this strategy below.  I open a position long on a 20 pip downward move in weighted price on the 15 minute bar data, then take a profit at 25 pips.  Run this strategy with scanner and interpolation methods and you'll receive outstanding results every time , even with 1 minute data/pessimistic, etc..  Test it in real time and results are completely different. 

90% accomplished for this strategy using 1 minute data.

Forex Strategy Builder v2.12.0.0
Strategy name: Generated
Exported on: 4/25/2010 8:39:51 PM

Description
(This description might be outdated!)

Market: EURUSD 15 Minutes
Spread in pips: 2
Swap Long in pips: 1
Swap Short in pips: -1
Commission per lot at opening and closing in pips: 0
Slippage in pips: 1

Use account % for margin round to whole lots
Maximum open lots: 100
Entry lots: 5% of the account for margin
Adding lots: 5% of the account for margin
Reducing lots: 5% of the account for margin

Intrabar scanning: Accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 3
Tested bars: 663
Balance: 7179 pips (14179.09 USD)
Minimum account: 0 pips (7000.00 USD)
Maximum drawdown: 88 pips (87.82 USD)
Time in position: 68 %

A same direction signal - Adds to the position
An opposite direction signal - Reverses the position
Permanent Stop Loss - 200
Permanent Take Profit - None

[Opening Point of the Position]
Price Move
     Enter long after a downward move
     Base price  -  Weighted
     Price move  -  10
     Use previous bar value  -  No

[Opening Logic Condition]
Enter Once
     Enter no more than once a bar

[Closing Point of the Position]
Take Profit
     Exit at the Take Profit level
     Take Profit  -  25

  • Popov
  • Popov
  • Lead Developer
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  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,885

Re: Price Move Calculation

How did you get this:

Price Move
     Enter long after a downward move
     Base price  -  Weighted
     Price move  -  10
     Use previous bar value  -  No


"Use previous bar value" must be Yes when the base price is different than Open.

Popov's Website

  • Registered: 2009-12-16
  • Posts: 19

Re: Price Move Calculation

Auto control of previous bar value option. 

I know i shouldn't use weighted option for current bar, but I think the scanner should show me why.  In real trading the weighted price of the current bar repaints itself, similar to fibo.