Pine Script New features and improvements in strategy backtesting

Strategy calculation algorithms and in trading results report have a lot of new improvements. Enjoy!

  • New “Buy & Hold” equity graph – a new graph (1) lets you compare performance of your strategy versus a “buy and hold”, i.e if you just bought a security and held onto it without trading.  Buy & Hold calculation begins at the same time as the active strategy and uses the “Initial Capital” parameter. The scale is common with the “Equity” graph and the results are shown with a black line. You can turn it off or on by clicking the “Buy & Hold Equity” button (2).
  • Added percentage values to the absolute currency values (3).
  • Buy & Hold Return (4) – is the final value of Buy & Hold Equity based on last price.
  • Sharpe Ratio (5) – shows relative effectiveness of the investment portfolio (security), a measure that indicates the average return minus the risk-free return divided by the standard deviation of return on an investment.
  • A color improvement of Open PL (6) – if the strategy is losing money the numbers are red, and if it’s profitable the numbers are black.
  • Slippage – lets you simulate a situation when orders are filled at a worse price than expected. Can be set through the Properties (9) dialog or through the slippage (integer) argument in the strategy() function in Pine Script.
  • Commission – lets you add commission for placed orders in percent of order value, fixed price or per contract. The amount of commissions paid is shown in the “Commission Paid” field (7). The commission size (10) and its type (11) can be set through the “Properties” dialog or through the commission_type (string) and commission_value (float) arguments in the strategy() function in Pine Script.

Waiting for your feedback and suggestions!

February 8, 2017
spread the love