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Rajeev Upadhye
2018-09-23 02:27:06


I have created a following trading system

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SetSimLongRank(((ema(5) - ref(ema(5),5))/5)* (100 * Volume/Avg(Volume,7)) );

// Buy rules

Rule1 = cross(ema(5),Sma(High,15));
Rule2 = (Close ) >= (300);
buy = (Rule1) && (Rule2);

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This trading system when back tested gives some interesting results. I just checked if the "Rule1" of the trading system returns same returns stock same as those selected by trading system then I get BIG surprise.
The screener doesnt return **anything** for same dates and timeframe (I expect the screener to return same stocks on the previous date of entry date. Pls pls help.



QuantShare
2018-09-24 06:40:56

  0

What formula did you use in the screener?
You need to use the "filter" variable in the screener.



Rajeev Upadhye
2018-09-24 10:26:56

  0

I used the following -

var1 = cross(ema(5),sma(15,High));

AddColumn("Vol%", (100* Volume/Avg(Volume,7)));

filter = (var1);



QuantShare
2018-09-25 04:15:29

  0

The screener will display all the symbols that passed the "var1" rule on a particular date.

In the simulator, on the day after that particular date (assuming you are buying on the next bar open), you may find orders or not, simply because your portfolio may be already full and doesn't allow any more position.

You said that the screener doesn't return any result. In that case, then you probably setting a wrong date for the screener or maybe you are are analyzing just few securities.



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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.