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Different values for the chart indicator and strategy calculations
 Post subject: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Mon 11 Feb, 2013, 11:34 

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Hi! I've problem with all my indicators values in strategy, when I looking to the chart all indicators that added from my strategy code have values that significally differs from values calculated by strategy.

For example there is a code for adding MA indicator on chart:
feedDescriptor = new TimePeriodAggregationFeedDescriptor (instrument, timeframe, offerSide, filter);
this.chart = context.openChart(feedDescriptor);

if ( ma3Timeframe == timeframe )
{
    IIndicator ma3 = indicators.getIndicator("MA");
    for (int i = 0; i < ma3.getIndicatorInfo().getNumberOfInputs(); i++)
    {
         InputParameterInfo inputParameterInfo = ma3.getInputParameterInfo(i);
         this.console.getOut ().println ("ma3 inputParameterInfo: " + inputParameterInfo.getName ());
         inputParameterInfo.setAppliedPrice (ma3Price);
    }
}
                                               
this.chart.addIndicator(ma3, new Object[] {ma3Period, ma3Type.ordinal ()},
new Color[]{Color.GREEN}, new DrawingStyle[]{DrawingStyle.LINE}, new int[]{1});


But when the strategy calculates the MA indicator values later in code, I've see the very significant difference in values between chart values and strategy calculations. There is the piece of code, that calculating the values:

long time = history.getBar(instrument, ma3Timeframe, offerSide, 0).getTime();
indicators.calculateIndicator(feedDescriptor, new OfferSide[] {offerSide}, "MA", new IIndicators.AppliedPrice[] {ma3Price}, new Object[] {ma3Period, ma3Type.ordinal ()}, 1, time, 0);


ma3Timeframe is the same as chart timeframe.

Waiting for your advice.


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Mon 11 Feb, 2013, 11:42 
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Did you check that the chart filter matches the one of your feed descriptor (i.e. chart.getFeedDescriptor().getFilter() compare with feedDescriptor.getFilter())? Note that with IContext.openChart, the Filter parameter gets taken not from the passed IFeedDescriptor, but rather the common platform settings (i.e. Tools > Preferences > Chart > Flats Filtration).


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Thu 07 Mar, 2013, 07:28 

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I've better results with my strategy, but on PERIOD.ONE_MINUTE Timeframe instrument: GBP/USD I got problems: Trendenvelopes indicator on chart and Trendenvelopes indicator calculations providing different values.

The Filter is the same for Chart and Strategy: NO_FILTER

The TrendEnvelopes indicator is added on chart with code:

this.chart.addIndicator(indicators.getIndicator("TRENDENVELOPES"), new Object[] {trendEnvelopesPeriod, trendEnvelopesDeviation});


Than I'm using the Trendenvelopes in calculations:
index= 1;
        long time = history.getBar(instrument, trendEnvelopesTimeframe, offerSide, 0).getTime();       
        double[][] envelopes = indicators.trendEnv(instrument, trendEnvelopesTimeframe, offerSide, trendEnvelopesPeriod, trendEnvelopesDeviation, filter, 2, time, 0);
                                         
        if ( !Double.isNaN(envelopes[0][index]) && price > envelopes[0][index] )
        {
            envelopesTrailValue = envelopes[0][index];
            trendEnvelopesSignal = +1;
        }
        else if ( !Double.isNaN(envelopes[1][index]) && price < envelopes[1][index] )
        {
            envelopesTrailValue = envelopes[1][index];
            trendEnvelopesSignal = -1;
        }
        else
            trendEnvelopesSignal = 0;


And the problem is: I see on the chart that Trendenvelopes has only bottom(blue) line at 1.51000,
but in the code I've received that it is switched to top line(yellow), e.g. envelopes[1][index] has some value: 1.53000, but must be: envelopes[0][index] = 1.51000 and envelopes[1][index] = NaN.


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Thu 07 Mar, 2013, 08:37 
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Consider comparing your results the following way:
https://www.dukascopy.com/wiki/#Add_indicators_on_chart/Include_in_OHLC


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Tue 12 Mar, 2013, 05:08 

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OHLC shows the same as I see on chart, but indicator calculations are different from OHLC and chart values.


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Tue 12 Mar, 2013, 08:17 
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please provide your example strategy which uses the value putting in ohlc and chart feed comparison with the indicator feed.


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Tue 12 Mar, 2013, 09:28 

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Here is the strategy. The bug was on GBPUSD, M1 timeframe, TrendEnvelopes choosed, MA3, MA4, MA5 disabled, RSI disabled, Stoch disabled, ADX enabled


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Tue 12 Mar, 2013, 09:54 
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By strategy we mean full source code of the example strategy which replicates the case.


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Wed 13 Mar, 2013, 13:00 

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Here the full source code of the strategy(in attached)


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Wed 13 Mar, 2013, 14:19 
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Please provide an example strategy which replicates the case and does not contain any additional logic which is not related to the problem that you reported.


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Wed 20 Mar, 2013, 05:36 

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Hi! Check attached tiny version of the whole strategy, I've make it as much simple as possible, test it with default params on GBP/USD from 2013.03.05 to 2013.03.06 M1 timeframe.
Also check attached screenshot for the issue drawed by red ellipses. The OHLC shows completely different value form strategy calculations.
Image


Attachments:
JForex Strategy Issue.png [73.04 KiB]
Downloaded 879 times
TrendSarOrMaxTiny.java [14.65 KiB]
Downloaded 447 times
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 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Thu 28 Mar, 2013, 06:05 

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When I can get the answer for my previous post from support team???


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Wed 03 Apr, 2013, 15:50 
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TrendEnvelopes, when added on chart, gets recalculated on all currently available data
(see the description of the "recalculateAll" property for more info: https://www.dukascopy.com/wiki/#Indicato ... icatorInfo).
Unlike when it's called from your strategy. This means the calculation results will match only when you compare results calculated on the matching time intervals and the time interval used when calculating from strategy is much shorter.


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Fri 05 Apr, 2013, 08:49 

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How I can calculate indicator values on all chart bars in the strategy?


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Wed 10 Apr, 2013, 09:07 

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Why does it take so long for each answer?
I'd help you, but unfortunately I dont know.


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 2   New post Posted: Wed 10 Apr, 2013, 09:37 
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You can calculate on a larger time interval by using 'from', 'to' or 'numberOfCandlesBefore'/'numberOfCandlesAfter' parameters of the indicator calculation methods


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Wed 15 May, 2013, 06:02 

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How I can get the number of all bars in chart?


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Fri 17 May, 2013, 13:02 
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See:
https://www.dukascopy.com/wiki/#Chart_Operations/Retrieve_drawable_coordinates


 
 Post subject: Re: Different values for the chart indicator and strategy calculations Post rating: 0   New post Posted: Thu 30 May, 2013, 06:52 

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I mean how to get all bars that can be rendered on chart, not only visible bars.


 

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