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[User Discussion] - Back testing - Parabolic Indicator

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[2013-05-11 20:54:39] #1 [Go To First Post]
Polarisstar - Posts: 10
Hi, I am struggling to back test the Parabolic Indicator by applying the Trading System for Automated Trading. My objectives: Generate Market Buy order for XAUUSD when Parabolic signal crosses Price signal from above. Close Long position when Parabolic signal crosses Price Signal from below and instantly generate Sell order. or Generate Market sell order for XAUUSD when Parabolic signal crosses Price signal from below. Close Short position when Parabolic signal crosses Price Signal from above and instantly generate Buy order. Test profitability of Parabolic Indicator for both scenarios. I have conducted a 5 day automated trading back test. For illustration purposes please find enclosed an MS Excel workbook containing a Back Test Log, Formula Source Sheet and Trade Service Log. It looks like that my "Buy Entry", "Buy Exit (Sell)", "Sell Entry" and "Sell Exit (Buy)" formulas are incorrect. Formulas are shown in the comment boxes of enclosed Formula Source Sheet. Grateful if I could get support (Plain English would be great as I am a Sierra Chart Newbie :>)). Thx Date Time Of Last Edit: 2013-05-11 20:55:33


Parabolic Backtesting files.xlsx - Attached On 2013-05-11 20:38:41 UTC - Size: 623.48 KB - 894 views

[2013-05-11 22:25:32] #2 [Go To First Post]
Sawtooth - Posts: 4118
To keep things easy to visualize, make the first range in the CROSSFROMBELOW and CROSSFROMABOVE functions the faster moving one. So then, the Buy Entry would probably use the CROSSFROMBELOW and Sell Entry the CROSSFROMABOVE. You can also use something like this: Buy Entry: =AND(AE4>E4,E3>AE3) Sell Entry: =AND(AE4<E4,E3<AE3) Notice all I changed was the operators. This makes it easy to basically copy the formula from the buy to the sell, especially when it has many conditions.

[2013-05-12 00:44:25] #3 [Go To First Post]
Polarisstar - Posts: 10
Thanks for the advice. I have applied the Buy Entry and Sell entry formulas you have provided. They look possibly OK in the Formula Source Sheet (see formulas in cells K3 and M3 plus cells highlighted in yellow), but when back testing, the trades in the Trade log are all over the place. Please see enclosed workbook(Log tab). Also not sure why there are double entries. The Trade Service log provides some explanations when scrolling down which I do not fully understand. The last tab of the workbook contains the chart to better visualize my challenge with some explanations how trades based on the Parabolic should have worked when applying the Trading System for Automated Trading. Would greatly appreciate support. Thx


Attachment Deleted. Parabolic Backtesting files (2).xlsx - Attached On 2013-05-12 00:39:32 UTC - Size: 493.3 KB - 942 views

[2013-05-12 01:44:48] #4 [Go To First Post]
Sawtooth - Posts: 4118
Your missed entries are because the bar close (column E) did not cross the Parabolic from one bar to the next. It looks like you need to use the H or L crossing the previous Parabolic. These will get you close: Buy Entry: =AND(C3>AE4,AE4>C4) Sell Entry: =AND(D3<AE4,AE4<D4) These are possibly better: Buy Entry: =AND(C3+$J$21>AE4,AE4>C4) Sell Entry: =AND(D3-$J$21<AE4,AE4<D4) Date Time Of Last Edit: 2013-05-12 04:49:09

[2013-05-12 08:56:15] #5 [Go To First Post]
Polarisstar - Posts: 10
Many thanks. I have tested with the new formulas, however no progress made when trading in back test mode. The formulas Buy Entry:=AND(AE4>E4,E3>AE3), Sell Entry: =AND(AE4<E4,E3<AE3) you originally provided seem to show the correct "True" and "False" statements in the Formula Source Sheet. I can even see the entry and exit arrows on the chart. I guess the challenge is with the back test trading itself as indicated in the Trade Service log in the "Parabolic Backtesting file 2" which I enclosed in my last Email. It clearly shows that the execution of the Parabolic formulas do not work. Sierra Support team: Could you kindly investigate and let me know whether there is any solution. Thx Date Time Of Last Edit: 2013-05-12 08:58:00

[2013-07-10 08:19:36] #6 [Go To First Post]
User59357 - Posts: 15
Hi there, I am new to Sierra Chart and I would like to use Parabolic SAR as indicator for BUY/SELL entries via the Spreadsheet System for Trading. The Parabolic SAR Indicator writes its values at: AD3 / AD4 So I wrote this small formula to get the BUY / SELL Entries (TRUE or FALSE) values at K3 and M3: Buy Entry: =AND(AD4>E4,E3>AD3) (Last Prices compared with corresponding PSAR Values) Sell Entry: =AND(AD4<E4,E3<AD3) (Last Prices compared with corresponding PSAR Values) The spreadsheet indicates the error message: "Invalid Formula" I assume it should return "TRUE" or "FALSE" in this case. Maybe you could help me in this case? Thank you in advance!

[2013-07-10 12:18:54] #7 [Go To First Post]
Sawtooth - Posts: 4118
The syntax is correct. Depending on your location and regional settings, you may need to use a semicolon ";" instead of a comma ",".

[2013-07-10 12:34:33] #8 [Go To First Post]
User59357 - Posts: 15
It is working now with ";" instead of ",". You are a star! Thank you very much :-D

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