Pinescripters

Signal for Backtesting-Trading Engine [Pinescripters]

This is a companion script to the Pinescripters Backtesting-Trading Engine. It illustrates how to build a signal plot in another script, which can in turn be fed in the Engine to provide entry, exit, filter and stop information.
Connection to the Engine is done through its “External Indicator” input field at the very bottom of the Engine’s Settings/Inputs.
The Engine must be operating in study mode to be able to connect an external indicator to it.
The way this script builds the signal is straightforward, as you will see in the code. Two aspects are worth mentioning:
  • The “FudgeStop()” function used to fudge the stop value by one tick for the rare cases where it will match one of the protocol reserved values, i.e. 1, 2 or 3.
  • The priority and exclusivity given to the different types of signals in the signal-building “Signal = …” line. No two signals can be sent simultaneously through the signal plot, except for the entry and stop combination.
You can determine in this script’s Settings/Inputs the type of signals that will go through the signal plot.

This script respects the following protocol:
EXTERNAL SIGNAL PROTOCOL
Only one external indicator can be connected to a script; in order to leverage its use to the fullest, the engine provides options to use it as either an entry signal, an entry/exit signal or a filter. When used as an entry signal, you can also use the signal to provide the entry’s stop. Here’s how this works:
For filter state: supply +1 for bull (long entries allowed), -1 for bear (short entries allowed).
For entry signals: supply +2 for long, -2 for short.
For exit signals: supply +3 for exit from long, -3 for exit from short.
To send an entry stop level with an entry signal: Send positive stop level for long entry (e.g. 103.33 to enter a long with a stop at 103.33), negative stop level for short entry (e.g. -103.33 to enter a short with a stop at 103.33). If you use this feature, your indicator will have to check for exact stop levels of 1.0, 2.0 or 3.0 and their negative counterparts, and fudge them with a tick in order to avoid confusion with other signals in the protocol.
Remember that mere generation of the values by your indicator will have no effect until you explicitly allow their use in the appropriate sections of the Engine’s Settings/Inputs.
Release Notes: Updated links in comments.
Release Notes: This is the Pinescripters Backtesting-Trading Engine for which this type of signal is meant to interact with.

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Hi, can you explain what some real-world use cases for this would be? I'm trying to figure out how this would be useful in addition to the backtesting engine.
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Pinescripters CryptoGraffer
@CryptoGraffer, The Engine can use signals from 2 sources: the internal strats in the Engine's code or an external indicator generating a plot whose values have special meaning to the Engine. When an external indicator's signal is hooked up to the Engine through the Engine's Inputs (last field a the bottom), and the Engine's strats (entries, exits or filter) are explicitly configured to use the external signal, then the Engine becomes partially controlled by the external indicator. So let's say you already use a study/indicator that you like and it generates what look like good entry signals, but it doesn't have a stop strategy. You could add a plot() to your indicator respecting the protocol described in this indicator to send entry signals to the Engine, and then use any one or a mix of the Engine's pre-coded stop or exit strats to exit your trades. You would also, then, be able to use the Engine to get stats on your trades, or create alerts on whichever conditions you choose, while all the time it's your indicator that's generating the trade entry signals. This allows you to personalize the Engine's behavior without modifying the Engine's code, and is probably more suited to traders not comfortable modifying the Engine's code, or who just want to run preliminary tests without playing into the Engine's code, with the idea of eventually integrating the indicator's logic directly into the Engine's strats if tests are promising.
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Pinescripters CryptoGraffer
@CryptoGraffer, As to the usefulness of this particular MACD-derived signal in the markets, forget it; it's just there as an example.
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nice
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