Optuma Divergence Script Unusable in Testing

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    AvatarMandeep
    • Topics: 37
    • Replies: 18
    • Posts: 55

    Hi team,

    I have recently used the signal tester and backtester to put together a strategy using the optuma Divergence Script (below).  It appears to be cheating in the backtests.  I understand from Darren’s previous answer this is due to the pivot script.

    1. My first query is can you please update the blog post script with a gann swing instead of the pivot script? Is this a viable solution here?
    2. Secondly is it possible to correct the pivot script (similar as to how you corrected the prior incorrect Gann scripts). with a “close() > 0” idea?
    3. I thinks its extremely important to clearly list out any Optuma functions / scripts which CANNOT be used in either the signal tester or backtester.  A few other which I have previously flagged include RFE(), HBS(), ALPHA(), etc.  I think this will really support the community avoid any time/resources invested in bad signal tests.

    This is the script I am referring too:

    //Positive RSI divergence
    //Get the RSI value
    RSI1 = RSI(BARS=14);
    //calculate 15 pivot RSI low
    P1 = PIVOT(RSI1, MIN=15, TYPE=Low);
    //get value of the RSI low
    V1 = VALUEWHEN(RSI1, P1 <> 0);
    //Is RSI high 4% higher than previous?
    Sig1 = V1 > V1[1]*1.04;
    //get stock low value at RSI low
    V2 = VALUEWHEN(LOW(), P1 <> 0);
    //Is stock high 4% lower than at previous RSI low?
    Sig2 = V2 < V2[1]*0.96;
    //Show when RSI has higher low & price lower high
    Sig1 and Sig2

    cheers

     

    Mandeep

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