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Issue with Donchian indicator
flyswing
 Post subject: Issue with Donchian indicator Post rating: 0   New post Posted: Tue 22 Oct, 2013, 17:58 
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Joined: Wed 24 Oct, 2012, 17:12
Posts: 20
Location: France, Paris
Hello,

I face problem when using Donchian indicator.

My strategy =

For Longs positions (Shorts are reversed)

1. Today must make a new 20 day low the lower the better.
2. The previous 20 day low must have occurred at least four trading sessions earlier. This is very important.
3. After the market falls below the prior 20 day low, place an entry buy stop 1 pip above the previous 20 day
low. This buy stop is good for today only.
4. If the buy stop is filled, immediately place an initial good till canceled sell stop-loss one pip under today's low.

To meet these conditions, I use Donchian indicator.
Rule 1 : Donchian with period 19 and shift 0 (CURRENT) crosses Donchian with period 19 and shift 1 (PREVIOUS)
Rule 2 : 2 Donchians indicators T1 and T2.
T1 is the minimum for the last 4 candles
T2 is the minimum for the last 5 and 15 candles
=> T1 must be greater then T2

I play the strategy on Jforex backtester, and I find that some of the trades don't respect the rule 2.

Please find attached, the strategy.

I attach an example of the bug, appeared on EUR/USD the 2013/13/05 at 08h00 GMT.
I use a color theme to identify the differents Donchians indicators :
Black = Donchian period 19 shift 0 (CURRENT)
Red = Donchian period 19 shift 1 (PREVIOUS)
Yellow = Donchian period 4 shift (T1)
Rose = Donchian period 15 shift 5 (T2)

On this picture, please notice that the trade IVF20130705_09595962036191 doesn't meet the rule 2 because :

Yellow = 1.28840
Rose = 1.28880
=> Yellow < Rose, so the rule 2 is not respected.

I think that there is a bug with Donchian indicator.

Thanks for your answer...
Image
Image


Attachments:
Donchian_issue1.png [40.75 KiB]
Downloaded 387 times
Donchian_issue_report.png [57.63 KiB]
Downloaded 371 times
Donchian_issue.vfs [60.04 KiB]
Downloaded 186 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
amine_chourou
 Post subject: Re: Issue with Donchian indicator Post rating: 0   New post Posted: Wed 23 Oct, 2013, 14:36 
Visual JForex expert at Dukascopy
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User rating: 288
Joined: Thu 18 Apr, 2013, 09:26
Posts: 1496
Location: Switzerland, Geneva
Hi There,

I've downloaded and run your strategy but I wasn't able to troubleshoot it because it doesn't open any pending order.
Please advice

PS: Thanks for watching the french webinar !
 
flyswing
 Post subject: Re: Issue with Donchian indicator Post rating: 0   New post Posted: Wed 23 Oct, 2013, 15:32 
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Joined: Wed 24 Oct, 2012, 17:12
Posts: 20
Location: France, Paris
Amine, you are welcome !

Please find attached the working .vfs.

I have tested it on jforex backtester for the following day :

July the 5th, 2013

and it's ok, you will see the issue appears on the 8h00 GMT candle.

I post the jfx too...

Regards


Attachments:
turtles1_3_4_issue.jfx [23.33 KiB]
Downloaded 193 times
turtles1_3_4_issue.vfs [62.1 KiB]
Downloaded 177 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
amine_chourou
 Post subject: Re: Issue with Donchian indicator Post rating: 0   New post Posted: Thu 24 Oct, 2013, 21:04 
Visual JForex expert at Dukascopy
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User rating: 288
Joined: Thu 18 Apr, 2013, 09:26
Posts: 1496
Location: Switzerland, Geneva
Hello,

What I'm currently graphically seeing after testing:
(EURUSD; Period 30mn July 5th 2013 @ 08:00 am GMT)
T1_DC_Low @ 1.28776 > T2_DC_Low 1.28688 (Condition confirmed and okay)
and
Current_DC_Low is equal to Previous_DC_low @ 1.28776 : Which shouldn't met the condition.

But as I said this is a graphical lecture, When I debug your strategy and set a Stop strategy at 8:00 am on this specific day in order to get the exact value of the variables, here is the variables that I get:

T1_DC_Low @1.28905 > T2_DC_Low @1.2888
and
Current_DC_Low @1.28776 < [email protected]
Which totally meet your conditions.

I would trust the second method as it retrieves the exact values at a specifc time stamp. In the other hand, bear in mind that your "shifted" indicators will be calculated on the previous values so graphically speaking when you post-check them, you have to get the appropriate value as per its "shift" timestamps.

Hope this helps

Amine
Image


Attachments:
Snippet.JPG [87.07 KiB]
Downloaded 356 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
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