LuxAlgo - Backtester (OSC)

2023년 11월 20일

The OSC Backtester is an innovative strategy script that allows users to create a wide variety of strategies using various unique oscillators.

By utilizing our 'Step' and 'Match' algorithms, users can create custom and complex strategy entries from each of the supported oscillators and included conditions, as well as any external sources, allowing users to create entries from a sequence of conditions and/or multiple matching conditions.

We included a complete alert system that will send a notification for each action taken by the strategy and we also allow users to set custom messages for each action taken by a strategy.

🔶 Features

🔹Step & Match Algorithm

More complex entry rules can be created by using multiple conditions together, this is done thanks to the Step dropdown setting on the right of each condition.

The Step setting is directly related to the Step & Match algorithm and works in two ways:

• When two or more conditions have the same step number, both conditions are evaluated. Used to test matching conditions.
  
• When two or more conditions have different step numbers, each conditions will be evaluated in order, testing for the first step and switching to the next step once the previous one is true. When the final step is true the strategy will open a market order. Used to create sequence of conditions.
  

This operation is complementary, as you can create a sequence of conditions with one step consisting of two or more matching conditions as long as they have the same step number.

🔹Fully Customizable Entries From Various Oscillators And Conditions

We allow the users to set entries using our unique HyperWave, Smart Money Flow, and their derived conditions as entries.

The Hyper Wave is a normalized adaptive oscillator aiming to reflect price trends without returning a high amount of noise.

The Smart Money Flow aims to detect trends based on market activity, by doing a comparative analysis between current volume and historical volume. A Smart Money Flow above 50 suggest market participants are bullish, else bearish. Derived from this oscillator we have Overflow indications, this indicator detects when market is overbought or oversold based on participants activity.

Other entries include proprietary reversal signals, real-time divergence detection, oscillator confluence (indicating how aligned each oscillator is), as well as entries using external sources.

🔹Complete Alert System

Users can get alerted for any action executed by a strategy, from opening positions to closing them.

The message field in the Alert Messages setting section allows for the strategy to send a custom alert message depending on the action taken by the strategy, if no messages are set the strategy will send default messages.

🔶 Usage

Users can create a wide variety of strategies from this script, whether they are trend-following or contrarian traders.

Let's see a contrarian (revesal-based) strategy example using the following entry conditions:

• Long: Hyperwave bullish divergence and oversold Hyperwave (lower than 20).
  
• Short: Hyperwave bearish divergence and overbought Hyperwave (greater than 20).
  

We can also introduce take-profit and stop-loss exit conditions based on external indicators, allowing more control over exits in our strategy. For example:

• Long: Hyperwave crossing over 50 while money flow is bearish.
  
• Short: Hyperwave crossing under 50 while money flow is bullish.
  
• Exit Long on a profit (long exit tp): Hyperwave crossing 80.
  
• Exit Short on a profit (short exit tp): Hyperwave crossing 20.
  

While this strategy script can be used as a standalone, we recommend using other indicators creatively to assist with entries and exits as well as TP/SLs.

Our Step & Match algorithm can magnify interoperability, allowing for way more complete strategies through complex conditions, let's demonstrate this using the following entries:

• Long: Any bullish reversal occurring after the price crosses over the lowest upper reversal zone of the Signals & Overlays™.
  
• Short: Any bearish reversal occurring after the price crosses under the highest lower reversal zone of the Signals & Overlays™.
  
• Long TP/SL: 5 ATR's away from the entry price.
  
• Short TP/SL: 5 ATR's away from the entry price.
  

🔶 Strategy Properties (Important)

This script backtest is done on daily EURGBP, using the following backtesting properties:

• Balance (default): 10 000 (default base currency)
  
• Order Size: 10% of the equity
  
• Comission: 3.4 pips (average spread for EURGBP)
  
• Slippage: 3 tick
  
• Stop Loss: 0.02 points away from entry price
  

We use these properties to ensure a realistic preview of the backtesting system, do note that default properties can be different for various reasons described below:

• Order Size: 1 contract by default, this is to allow the strategy to run properly on most instruments such as futures.
  
• Comission: Comission can vary depending on the market and instrument, there is no default value that might return realistic results.
  
  • 
    
    We strongly recommend all users to ensure they adjust the Properties within the script settings to be in line with their accounts & trading platforms of choice to ensure results from the strategies built are realistic.
    
    🔶 How To Access
    
    You can see the Author's Instructions below to learn how to get access.

2023년 11월 22일

릴리즈 노트

New in version 1.0.1:

Users can now set take profits/stop losses using ticks away from the price preceding an entry. The entry price is now visible. New styling options.

2023년 11월 25일

릴리즈 노트

New Auto take profit/stop loss placements. New conditional operators for exit take profits/stop losses.

2023년 11월 27일

릴리즈 노트

Fixed reversal down + firing on reversal down -

2023년 12월 20일

릴리즈 노트

Added

• Added ability to specify if market orders can be opened only if there are no existing positions
  
• New trailing stop loss
  
• Added ability to use price placeholders in the numerical input field of the second external source setting
  
• New {prefix} placeholder
  

Changed

• {ticker} placeholder will no longer return a symbol prefix
  
• Previous order will no longer be explicitly closed when a new order is generated
  

Fixed

• Fixed previous take profit/stop loss values being returned on a new entry alert message
  
• Fixed wrong messages being returned in certain actions taken by the strategy
  

Removed

• Removed "Auto" take profits/stop losses
  

2023년 12월 21일

릴리즈 노트

- New confluence meter conditions
- Trailing stop loss is now initially set on the entry price
- Minor changes

2023년 12월 26일

릴리즈 노트

- Fixed overflow conditions not firing for bearish overflow
- Added alert messages tooltips

2024년 1월 16일

릴리즈 노트

- Added ability to backtest a time window specified using dates
- Added ability to partially exit trades
- Minor changes

2024년 1월 26일

릴리즈 노트

Added new Long/Short "Time Exits".

2024년 3월 25일

릴리즈 노트

- New trade based price forecasting feature

2024년 4월 10일

릴리즈 노트

- New invalidation step type
- New supported invalidation behaviors

2024년 4월 24일

릴리즈 노트

- New "All" filter step type

2024년 4월 30일

릴리즈 노트

Trade based forecasts will no longer disappear after a trade is exited

2024년 6월 1일

릴리즈 노트

- Added forecast method for setting take profits. This method will use user set percentiles of forecasts as take profits levels
- Forecasts data tracking will now ignore exits in a strategy.

2024년 6월 13일

릴리즈 노트

- Added one additional external condition to the long/short entry conditions
- Minor changes

2024년 9월 24일

릴리즈 노트

- Added ability to prevent simultaneous trades from triggering at the same time

2024년 12월 23일

릴리즈 노트

- Fixed short exit time using exit long message
- Use "Invalidate On Any Repeated Step" invalidation behavior by default

4월 10일

릴리즈 노트

- Added new entry conditions for the Money Flow:
- Starts Increasing
- Starts Decreasing
- Increasing
- Decreasing

7월 24일

릴리즈 노트

- New scripted strategy feature
- Ability to use toolkits placeholders with LUCID
- minor changes

7월 31일

릴리즈 노트

• Added ability for scripted entries and exits to send alerts using the messages specified in the Long/Short Entry Message and Exit Long/Short Message settings
  
• Changed the Short TP percentile value interpretation when using the Forecast method as short TP, now aligning with the Long TP percentile
  
• Fixed take profits/stop losses not working with scripted strategies
  
• Fixed Long/Short TS Message not being used on some occasions when the trailing stop is hit
  

8월 29일

릴리즈 노트

- "Exit On Entry" is enabled by default
- New {timenow} alert placeholder allowing to get the current time UNIX timestamp