Pine Script Backtester Misinterprets strategy.order Scaling as Separate Trades: A Step-by-Step Guide to Resolve the Issue

Are you frustrated with Pine Script’s backtester misinterpreting your strategy.order scaling as separate trades? You’re not alone! This common issue can lead to inaccurate backtesting results, making it challenging to refine your trading strategy. Fear not, dear trader! In this comprehensive guide, we’ll delve into the root cause of the problem and provide a clear, step-by-step solution to resolve it.

What’s causing the issue?

The Pine Script backtester misinterprets strategy.order scaling as separate trades due to the way it handles order quantities. When you use the `strategy.order` function with a scaling factor, the backtester mistakenly treats each scaled order as a separate trade. This leads to inflated trade counts, incorrect profit/loss calculations, and a distorted picture of your strategy’s performance.

Example: A Simple Strategy with Scaling

//@version=5
strategy("My Strategy", overlay=true)

longCondition = crossover(sma(close, 50), sma(close, 200))
if longCondition
    strategy.order("My Order", strategy.long, qty=10)

In this example, the strategy orders 10 contracts when the long condition is met. However, when you scale the order quantity using a variable, the backtester gets confused:

//@version=5
strategy("My Strategy", overlay=true)

longCondition = crossover(sma(close, 50), sma(close, 200))
var float scaleFactor = 2
if longCondition
    strategy.order("My Order", strategy.long, qty=10 * scaleFactor)

Here, the backtester incorrectly treats the scaled order quantity (20 contracts) as two separate trades of 10 contracts each. This results in a distorted backtesting report.

Resolving the Issue: A Step-by-Step Solution

To resolve this issue, we need to adjust our strategy to handle scaling correctly. Follow these steps:

1. Calculate the scaled quantity separately: Create a variable to store the scaled order quantity. Calculate this value before calling the `strategy.order` function.

var float scaleFactor = 2
var qty = 10 * scaleFactor

2. Use the scaled quantity in the strategy.order function: Pass the calculated scaled quantity to the `strategy.order` function.

if longCondition
    strategy.order("My Order", strategy.long, qty=qty)

3. Reset the scaled quantity: After placing the order, reset the scaled quantity to its original value to avoid accumulating scales.

if longCondition
    strategy.order("My Order", strategy.long, qty=qty)
    qty := 10 // Reset the scaled quantity

By following these steps, you ensure that the backtester correctly interprets your strategy’s scaling as intended.

Updated Example Code

//@version=5
strategy("My Strategy", overlay=true)

var float scaleFactor = 2
var qty = 10 * scaleFactor

longCondition = crossover(sma(close, 50), sma(close, 200))
if longCondition
    strategy.order("My Order", strategy.long, qty=qty)
    qty := 10 // Reset the scaled quantity

Best Practices for Using Scaling in Pine Script

To avoid common pitfalls when using scaling in Pine Script, follow these best practices:

• Use separate variables for scaled quantities: Avoid using the same variable for both the original and scaled quantities. This can lead to errors and make your code harder to maintain.
• Reset scaled quantities after ordering: Always reset the scaled quantity to its original value after placing an order to prevent accumulation.
• Test your strategy thoroughly: Verify that your strategy is working correctly by running thorough backtests and checking the results.

Conclusion

In conclusion, the Pine Script backtester misinterpreting strategy.order scaling as separate trades can be a frustrating issue. However, by understanding the root cause and following the step-by-step solution outlined in this guide, you can resolve the problem and ensure accurate backtesting results. Remember to follow best practices for using scaling in Pine Script to avoid common pitfalls and create more effective trading strategies.

Takeaway	Description
Calculate scaled quantity separately	Use a separate variable to store the scaled order quantity and calculate it before calling the strategy.order function.
Use the scaled quantity in strategy.order	Pass the calculated scaled quantity to the strategy.order function.
Reset the scaled quantity	Reset the scaled quantity to its original value after placing an order to prevent accumulation.

By implementing these solutions and best practices, you’ll be well on your way to creating more accurate and effective trading strategies with Pine Script.

Happy coding, and remember to stay accurate!

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