Reply To: ATR Exit

Optuma Forums Optuma Scripting ATR Exit Reply To: ATR Exit

#48023

Jane
  • Topics: 1
  • Replies: 2
  • Posts: 3

Hi Matthew

I have it added as the exit criteria and I have no other exit criteria (so no OR required?).

Can I just check that the script is correct?  I have CLOSE() <= ATRTSCAN(CALCOFF=HIGH) but I think I may have changed it from the low which was the default?

Either way, I just ran the back on a single code (BXB) and I only get 1 trade in 10 years.  It seems to be taking the first entry in the test period of the last 10 years on 2/9/08 and then the exit is on the last bar of the chart (30/8/18).  In fact I suspect this is only because I have ‘close all positions’ ticked in the backtester.

In the attached chart of BXB, there are 3 show bars overlaid on the chart as well as the strategy trades arrows.  Green arrows are possible entries (criteria is just a close above 18 period WMA), red arrow is the ATR Long Trailing Stop script above – you get 3 red arrows at the beginning of the chart in 1985 and then nothing and then the pink arrows are Mathew’s ATR exit script from this thread.

I have NO idea what I’m doing wrong?!!  I’ve uploaded screenshots of the backtest as well as the workbook with the BXB chart…

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