Jim Dean Sage   Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA  User Profile | Gettin' tired of this, or do you want to proceed further? ... "miles to go before I sleep", an' all :~) Re #2 & #7 & your comment about the vote line of each system ... think of the vote eval process as a flow from bottom to top on the voteline, and from left to right in the strategy diagram. The stuff on the left/bottom is "raw" ... as you move right/up, it gets "refined". What finally hits the Orders block is the "real" signal. The LOOKBACK input is important ... it creates "persistance" for the initial 5x20 signal, until the 10x40 catches up. If you set it (for this case we are looking at) to 2, then it's inadequate to cover the 3-BAR delay between the June15 5x20 signal and the 10x40 signal, and the Vote block does not consider the two signals to be simultaneous ... Q#8 can you find two alternatives (not using optimization) you could make to the Vote block settings, so that a lookback input of 2 (or less) would permit a signal to get to the Orders block, in the example we have been looking at? Notice also for the May14 "Reinforced" 5x20 signal ... the 10x40 is three bars away ... and "barely makes it". If that tiny intermediate crossover had not occured, the trade would not have gotten thru to the vote line. OK moving back to the Q re the signals and entries from the Advisor popup. In my screenshot below, notice that the ENTRY date is NOT the date of the bar with the little triangles on it. VERY important to understand. The bar with the triangles is called the SETUP bar. It is the bar whose COMPLETED information has told OT that the strategy's requirements for an entry have been met. The "setup" is complete on that bar. Which raises a conundrum. If you need to have a COMPLETE bar to eval the satisfaction of the setup ... then there's "no time left" for an entry signal to be fired ... at least, in OT-land. Remember - we are dealing with EOD, non-realtime info here. The true CLOSE for the bar (which is what the EMA's are based on) is NOT AVAIL to 20-min-delayed EOD feed until AFTER 4:00 EST ... too late to place an order that day. So ... the MOO order ENTERS the trade at the start of the NEXT day. In fact, if you'd used the Trade Plan block instead of the Orders block (TP offers a huge amount of refinement re entry and exit rules), then you could have placed a Market or Limit order instead of MOO ... but any of those would not actually be live until the next morning. That is the point that is ESSENTIAL to understand with OT ... the ENTRY never occurs on the same bar that the Setup Triangle appears. Never. The trade starts on the NEXT bar. OK - that's the rule ... now, if you want, go back and change the entry to MOC ... which SHOULD have entered at the Close of the NEXT day after the setup ... and look at the voteline and the Advisor ... that's the bug that we found and which will be fixed. It identifies the trade entry at the wrong price ... at the closing price of the Setup bar. 20-min delayed EOD data would not permit entry at that price, in reality. Nuff said about that ... it's important to realize what is going on. Another small nuance ... the horizontal line is DOTTED, in-between the solid triangle on the voteline and the vertical hashmark that indicates "Entry". Sometimes, with some strategy configurations using a Trade Plan (such as a Limit order that is not met yet), this dotted line can be several bars long before entry occurs. To finish up our "lesson about lines" ... try changing the Orders Block so that the Exit is MOO, not MOC. Look at how that changes the voteline ... you see an "exit signal" on the 6th (where the N is), but the actual exit is not till the OPEN of the next day. Again, a dotted line. And, again, if you use a Stop Market order within a Trade Plan, that dotted line conceivably could be several bars long before the exit order is filled. OK ... I think that ties up this particular rabbit trail. In the next post, if you're still interested, we can move on to look at some other configurations for the strategy, still working with the same general requirements that you originally specified. [Edited by Jim Dean on 7/9/2010 7:16 AM]  Attached file : Signal vs Entry.png (103KB - 832 downloads) Attached file : Exit with MOO.png (61KB - 806 downloads) |
