Now there is another issue that I can't understand. As you can see in the image below, there was a second crossover of the green line over the blue one and I would like to know why the short trade was not reversed, how can I debug this?
The code of that strategy is:
function MAMA1_Strat(var fastLimit,var slowLimit)
{
TimeFrame = 8;
vars Price = series(price());
Stop = optimize(4,2,8) * ATR(100);
MAMA(Price,fastLimit,slowLimit);
vars MAMAs = series(rMAMA);
vars FAMAs = series(rFAMA);
plot("fm",FAMAs,MAIN|LINE,BLUE);
plot("ma",MAMAs,MAIN|LINE,GREEN);
Trail = 0;
if( crossUnder(FAMAs,MAMAs) )
reverseShort(1);
else if( crossOver(FAMAs,MAMAs) )
reverseLong(1);
}
And for allocating Margin I use:
Margin = OptimalF * Capital * sqrt(1 + max(0,WinTotal-LossTotal)/Capital);
This is the trade log, in which it can be seen that the Short trade was stopped on 21st but it should have been reversed at the end of the 8 hour - timeframe more or less in the 20th
[Wed 19.08.15 23:00] 50445 +440 +153 //
Wednesday 19.08.15 Profit +126$ ----
[EUR/USD:MAMA1:L7191] +74$ s1.0828 c1.1116 e1.0968
[EUR/USD:TCT:L2004] +80$ s1.0747 c1.1116 e1.1027
[Thu 20.08.15 00:00] 50449 +440 +157 //
[Thu 20.08.15 01:00] 50480 +440 +189 //
[Thu 20.08.15 02:00] 50470 +440 +178 //
BrokerSell EUR/USD: 361 ms
[EUR/USD:MAMA1:L7191] Reverse 5@1.1133: +82.75 at 02:00
BrokerBuy EUR/USD: 524 ms
[EUR/USD:MAMA1:S3361] Short 6@1.1134 Risk 145$ at 02:00
[Thu 20.08.15 03:00] 50469 +523 +95 //
[Thu 20.08.15 04:00] 50469 +523 +96 /\
[Thu 20.08.15 05:00] 50469 +523 +96 /\
[Thu 20.08.15 06:00] 50466 +523 +94 //
[Thu 20.08.15 07:00] 50467 +523 +96 /\
[Thu 20.08.15 08:00] 50463 +523 +92 //
[Thu 20.08.15 09:00] 50469 +523 +99 /\
[Thu 20.08.15 10:00] 50473 +523 +102 /\
[Thu 20.08.15 11:00] 50480 +523 +109 /\
[Thu 20.08.15 12:00] 50480 +523 +109 /\
[Thu 20.08.15 13:00] 50473 +523 +102 /\
[Thu 20.08.15 14:00] 50477 +523 +107 /\
[EUR/USD:TCT:L2004] Trail 9@1.1027 Stop 1.0747 at 14:20
[Thu 20.08.15 15:00] 50485 +523 +114 /\
[Thu 20.08.15 16:00] 50486 +523 +115 /\
[Thu 20.08.15 17:00] 50485 +523 +114 /\
[Thu 20.08.15 18:00] 50485 +523 +114 /\
[Thu 20.08.15 19:00] 50486 +523 +115 /\
[Thu 20.08.15 20:00] 50492 +523 +121 /\
[EUR/USD:TCT:L2004] Trail 9@1.1027 Stop 1.0779 at 20:04
[Thu 20.08.15 21:00] 50496 +523 +126 /\
[Thu 20.08.15 22:00] 50496 +523 +125 /\
[Thu 20.08.15 23:00] 50496 +523 +125 /\
Thursday 20.08.15 Profit +54.67 ----
[EUR/USD:TCT:L2004] +185$ s1.0802 c1.1234 e1.1027
[EUR/USD:MAMA1:S3361] -60$ s1.1364 c1.1234 e1.1134
[Fri 21.08.15 00:00] 50497 +523 +126 /\
[Fri 21.08.15 01:00] 50498 +523 +127 /\
[EUR/USD:TCT:L2004] Trail 9@1.1027 Stop 1.0802 at 01:08
[Fri 21.08.15 02:00] 50500 +523 +129 /\
[EUR/USD:TCT:L2004] Trail 9@1.1027 Stop 1.0811 at 02:24
[Fri 21.08.15 03:00] 50508 +523 +137 /\
[EUR/USD:TCT:L2004] Trail 9@1.1027 Stop 1.0837 at 03:04
[Fri 21.08.15 04:00] 50509 +523 +138 /\
[EUR/USD:TCT:L2004] Trail 9@1.1027 Stop 1.0847 at 04:51
[Fri 21.08.15 05:00] 50513 +523 +142 /\
[EUR/USD:TCT:L2004] Trail 9@1.1027 Stop 1.0849 at 05:13
[Fri 21.08.15 06:00] 50512 +523 +141 /\
BrokerSell EUR/USD: 359 ms
[EUR/USD:TCT:L2004] Reverse 9@1.1283: +230$ at 06:00
BrokerBuy EUR/USD: 525 ms
[EUR/USD:TCT:S0633] Short 9@1.1283 Risk 255$ t at 06:00
[Fri 21.08.15 07:00] 50509 +753 -92 \\
[Fri 21.08.15 08:00] 50558 +753 -43 /\
[Fri 21.08.15 09:00] 50549 +753 -52 /\
[Fri 21.08.15 10:00] 50532 +753 -69 /\
[Fri 21.08.15 11:00] 50497 +753 -105 \\
[Fri 21.08.15 12:00] 50528 +753 -75 /\
[Fri 21.08.15 13:00] 50508 +753 -95 \\
[Fri 21.08.15 14:00] 50494 +753 -110 \\
[Fri 21.08.15 15:00] 50471 +753 -133 \\
BrokerSell EUR/USD: 436 ms
[EUR/USD:MAMA1:S3361] Stop 6@1.1365: -138$ at 15:56
[Fri 21.08.15 16:00] 50399 +615 -66 \
[Fri 21.08.15 17:00] 50395 +615 -70 \
[Fri 21.08.15 18:00] 50396 +615 -69 \
[Fri 21.08.15 19:00] 50399 +615 -66 \
Friday 21.08.15 Loss -99.78 ----
[EUR/USD:TCT:S0633] -66$ s1.1565 c1.1357 e1.1283
Weekend at 21.08. 20:00.................................
[EUR/USD:TCT:S0633] -100$ s1.1565 c1.1394 e1.1283
....
Weekend ends at 23.08. 23:00
[Sun 23.08.15 23:00] 50368 +615 -98 \
Sunday 23.08.15 Loss -31.68 ----
[EUR/USD:TCT:S0633] -98$ s1.1565 c1.1392 e1.1283
[Mon 24.08.15 00:00] 50381 +615 -84 \
[Mon 24.08.15 01:00] 50373 +615 -92 \
[Mon 24.08.15 02:00] 50336 +615 -130 \
[Mon 24.08.15 03:00] 50295 +615 -171 \
[Mon 24.08.15 04:00] 50310 +615 -155 \
[Mon 24.08.15 05:00] 50310 +615 -155 \
[Mon 24.08.15 06:00] 50328 +615 -138 \
[Mon 24.08.15 07:00] 50302 +615 -164 \
[Mon 24.08.15 08:00] 50285 +615 -181 \
[Mon 24.08.15 09:00] 50296 +615 -170 \
[Mon 24.08.15 10:00] 50289 +615 -177 \
[Mon 24.08.15 11:00] 50279 +615 -187 \
[Mon 24.08.15 12:00] 50266 +615 -200 \
BrokerSell EUR/USD: 717 ms
[EUR/USD:TCT:S0633] Stop 9@1.1567: -252$ at 12:46
[Mon 24.08.15 13:00] 50214 +363 +0
[Mon 24.08.15 14:00] 50214 +363 +0
[Mon 24.08.15 15:00] 50214 +363 +0
[Mon 24.08.15 16:00] 50214 +363 +0
[Mon 24.08.15 17:00] 50214 +363 +0
[Mon 24.08.15 18:00] 50214 +363 +0
[Mon 24.08.15 19:00] 50214 +363 +0
[Mon 24.08.15 20:00] 50214 +363 +0
[Mon 24.08.15 21:00] 50214 +363 +0
[Mon 24.08.15 22:00] 50214 +363 +0
[Mon 24.08.15 23:00] 50214 +363 +0
[Tue 25.08.15 00:00] 50214 +363 +0
[Tue 25.08.15 01:00] 50214 +363 +0
[Tue 25.08.15 02:00] 50214 +363 +0
[Tue 25.08.15 03:00] 50214 +363 +0
[Tue 25.08.15 04:00] 50214 +363 +0
[Tue 25.08.15 05:00] 50214 +363 +0
[Tue 25.08.15 06:00] 50214 +363 +0
[Tue 25.08.15 07:00] 50214 +363 +0
[Tue 25.08.15 08:00] 50214 +363 +0
[Tue 25.08.15 09:00] 50214 +363 +0
[Tue 25.08.15 10:00] 50214 +363 +0
[Tue 25.08.15 11:00] 50214 +363 +0
[Tue 25.08.15 12:00] 50214 +363 +0
[Tue 25.08.15 13:00] 50214 +363 +0
[Tue 25.08.15 14:00] 50214 +363 +0
[Tue 25.08.15 15:00] 50214 +363 +0
[Tue 25.08.15 16:00] 50214 +363 +0
[Tue 25.08.15 17:00] 50214 +363 +0
[Tue 25.08.15 18:00] 50214 +363 +0
[Tue 25.08.15 19:00] 50214 +363 +0
[Tue 25.08.15 20:00] 50214 +363 +0
[Tue 25.08.15 21:00] 50214 +363 +0
[Tue 25.08.15 22:00] 50214 +363 +0
[Tue 25.08.15 23:00] 50214 +363 +0
[Wed 26.08.15 00:00] 50214 +363 +0
[Wed 26.08.15 01:00] 50214 +363 +0
[Wed 26.08.15 02:00] 50214 +363 +0
[Wed 26.08.15 03:00] 50214 +363 +0
The only guess that I have so far is that it is because there was no margin to allocate to that component at that time, is that correct? if there is no margin, a reverseLong, reverseShort does not happen?
Thanks!
