The PineCoders Backtesting and Trading Engine is a sophisticated framework with

hybrid code that can run as a study to generate alerts for automated or
discretionary trading while simultaneously providing backtest results. It can also
easily be converted to a TradingView strategy in order to run TV backtesting. The
Engine comes with many built-in strats for entries, filters, stops and exits, but
you can also add you own.

If, like any self-respecting strategy modeler should, you spend a reasonable
amount of time constantly researching new strategies and tinkering, our hope is
that the Engine will become your inseparable go-to tool to test the validity of
your creations, as once your tests are conclusive, you will be able to run this
code as a study to generate the alerts required to put it in real-world use,
whether for discretionary trading or to interface with an execution bot/app. You
may also find the backtesting results the Engine produces in study mode enough
for your needs and spend most of your time there, only occasionally converting to
strategy mode in order to backtest using TV backtesting.

As you will quickly grasp when you bring up this script’s Settings, this is a
complex tool. While you will be able to see results very quickly by just putting it
on a chart and using its built-in strategies, in order to reap the full benefits of
the PineCoders Engine, you will need to invest the time required to understand
the subtleties involved in putting all its potential into play.

Disclaimer: use the Engine at your own risk.

Before we delve in more detail, here’s a bird’s eye view of the Engine’s features:

 More than 40 built-in strategies,

 Customizable components,
 Coupling with your own external indicator,
 Simple conversion from Study to Strategy modes,
 Post-Exit analysis to search for alternate trade outcomes,
 Use of the Data Window to show detailed bar by bar trade information and global
statistics, including some not provided by TV backtesting,
 Plotting of reminders and generation of alerts on in-trade events.
By combining your own strats to the built-in strats supplied with the Engine, and
then tuning the numerous options and parameters in the Inputs dialog box, you
will be able to play what-if scenarios from an infinite number of permutations.

USE CASES
You have written an indicator that provides an entry strat but it’s missing other
components like a filter and a stop strategy. You add a plot in your indicator that
respects the Engine’s External Signal Protocol, connect it to the Engine by simply
selecting your indicator’s plot name in the Engine’s Settings/Inputs and then run
tests on different combinations of entry stops, in-trade stops and profit taking
strats to find out which one produces the best results with your entry strat.

You are building a complex strategy that you will want to run as an indicator
generating alerts to be sent to a third-party execution bot. You insert your code
in the Engine’s modules and leverage its trade management code to quickly move
your strategy into production.
 You have many different filters and want to explore results using them separately
or in combination. Integrate the filter code in the Engine and run through
different permutations or hook up your filtering through the external input and
control your filter combos from your indicator.

You are tweaking the parameters of your entry, filter or stop strat. You integrate
it in the Engine and evaluate its performance using the Engine’s statistics.

You always wondered what results a random entry strat would yield on your
markets. You use the Engine’s built-in random entry strat and test it using
different combinations of filters, stop and exit strats.

You want to evaluate the impact of fees and slippage on your strategy. You use
the Engine’s inputs to play with different values and get immediate feedback in
the detailed numbers provided in the Data Window.

You just want to inspect the individual trades your strategy generates. You
include it in the Engine and then inspect trades visually on your charts, looking at
the numbers in the Data Window as you move your cursor around.

You have never written a production-grade strategy and you want to learn how.
Inspect the code in the Engine; you will find essential components typical of what
is being used in actual trading systems.

You have run your system for a while and have compiled actual slippage
information and your broker/exchange has updated his fees schedule. You enter
the information in the Engine and run it on your markets to see the impact this
has on your results.

FEATURES
Before going into the detail of the Inputs and the Data Window numbers, here’s a
more detailed overview of the Engine’s features.

Built-in strats
The engine comes with more than 40 pre-coded strategies for the following
standard system components:

 Entries,
 Filters,
 Entry stops,
 2 stage in-trade stops with kick-in rules,
 Pyramiding rules,
 Hard exits.
While some of the filter and stop strats provided may be useful in production-
quality systems, you will not devise crazy profit-generating systems using only the
entry strats supplied; that part is still up to you, as will be finding the elusive
combination of components that makes winning systems. The Engine will,
however, provide you with a solid foundation where all the trade management
nitty-gritty is handled for you. By binding your custom strats to the Engine, you
will be able to build reliable systems of the best quality currently allowed on the
TV platform.
 On-chart trade information
As you move over the bars in a trade, you will see trade numbers in the Data
Window change at each bar. The engine calculates the P&L at every bar,
including slippage and fees that would be incurred were the trade exited at that
bar’s close. If the trade includes pyramided entries, those will be taken into
account as well, although for those, final fees and slippage are only calculated at
the trade’s exit.
You can also see on-chart markers for the entry level, stop positions, in-trade
special events and entries/exits (you will want to disable these when using the
Engine in strategy mode to see TV backtesting results).

Customization
You can couple your own strats to the Engine in two ways:
1. By inserting your own code in the Engine’s different modules. The modular
design should enable you to do so with minimal effort by following the
instructions in the code.
2. By linking an external indicator to the engine. After making the proper
selections in the engine’s Settings and providing values respecting the engine’s
protocol, your external indicator can, when the Engine is used in Indicator mode
only:

 Tell the engine when to enter long or short trades, but let the engine’s in-trade stop and
exit strats manage the exits,
 Signal both entries and exits,
 Provide an entry stop along with your entry signal,
 Filter other entry signals generated by any of the engine’s entry strats.

Conversion from strategy to study

TradingView strategies are required to backtest using the TradingView
backtesting feature, but if you want to generate alerts with your script, whether
for automated trading or just to trigger alerts that you will use in discretionary
trading, your code has to run as a study since, for the time being, strategies can’t
generate alerts. From hereon we will use indicator as a synonym for study.
Unless you want to maintain two code bases, you will need hybrid code that
easily flips between strategy and indicator modes, and your code will need to
restrict its use of strategy() calls and their arguments if it’s going to be able to
run both as an indicator and a strategy using the same trade logic. That’s one of
the benefits of using this Engine. Once you will have entered your own strats in
the Engine, it will be a matter of commenting/uncommenting only four lines of
code to flip between indicator and strategy modes in a matter of seconds.
Additionally, even when running in Indicator mode, the Engine will still provide
you with precious numbers on your individual trades and global results, some of
which are not available with normal TradingView backtesting.

Post-Exit Analysis for alternate outcomes (PEA)

While typical backtesting shows results of trade outcomes, PEA focuses on what
could have happened after the exit. The intention is to help traders get an idea
of the opportunity/risk in the bars following the trade in order to evaluate if
their exit strategies are too aggressive or conservative.
After a trade is exited, the Engine’s PEA module continues analyzing outcomes
for a user-defined quantity of bars. It identifies the maximum opportunity and
 risk available in that space, and calculates the drawdown required to reach the
highest opportunity level post-exit, while recording the number of bars to that
point.
Typically, if you can’t find opportunity greater than 1X past your trade using a
few different reasonable lengths of PEA, your strategy is doing pretty good at
capturing opportunity. Remember that 100% of opportunity is never capturable.
If, however, PEA was finding post-trade maximum opportunity of 3 or 4X with
average drawdowns of 0.3 to those areas, this could be a clue revealing your
system is exiting trades prematurely. To analyze PEA numbers, you can
uncomment complete sets of plots in the Plot module to reveal detailed global
and individual PEA numbers.

Statistics
The Engine provides stats on your trades that TV backtesting does not provide,
such as:

 Average Profitability Per Trade (APPT), aka statistical expectancy, a crucial value.
 APPT per bar,
 Average stop size,
 Traded volume .
It also shows you on a trade-by-trade basis, on-going individual trade results and
data.

In-trade events
In-trade events can plot reminders and trigger alerts when they occur. The built-
in events are:

 Price approaching stop,

 Possible tops/bottoms,
 Large stop movement (for discretionary trading where stop is moved manually),
 Large price movements.

Slippage and Fees

Even when running in indicator mode, the Engine allows for slippage and fees to
be included in the logic and test results.

Alerts
The alert creation mechanism allows you to configure alerts on any combination
of the normal or pyramided entries, exits and in-trade events.

Backtesting results
A few words on the numbers calculated in the Engine. Priority is given to numbers
not shown in TV backtesting, as you can readily convert the script to a strategy if
you need them.
We have chosen to focus on numbers expressing results relative to X (the trade’s
risk) rather than in absolute currency numbers or in other more conventional but
less useful ways. For example, most of the individual trade results are not shown
in percentages, as this unit of measure is often less meaningful than those
expressed in units of risk (X). A trade that closes with a +25% result, for example,
is a poor outcome if it was entered with a -50% stop. Expressed in X, this trade’s
P&L becomes 0.5, which provides much better insight into the trade’s outcome. A
trade that closes with a P&L of +2X has earned twice the risk incurred upon
entry, which would represent a pre-trade risk:reward ratio of 2.
The way to go about it when you think in X’s and that you adopt the sound risk
management policy to risk a fixed percentage of your account on each trade is to
equate a currency value to a unit of X. E.g. your account is 10K USD and you
decide you will risk a maximum of 1% of it on each trade. That means your unit of
X for each trade is worth 100 USD. If your APPT is 2X, this means every time you
risk 100 USD in a trade, you can expect to make, on average, 200 USD.
By presenting results this way, we hope that the Engine’s statistics will appeal to
those cognisant of sound risk management strategies, while gently leading traders
who aren’t, towards them.
We trade to turn in tangible profits of course, so at some point currency must
come into play. Accordingly, some values such as equity, P&L, slippage and fees
are expressed in currency.
Many of the usual numbers shown in TV backtests are nonetheless available, but
they have been commented out in the Engine’s Plot module.

Position sizing and risk management

All good system designers understand that optimal risk management is at the very
heart of all winning strategies. The risk in a trade is defined by the fraction of
current equity represented by the amplitude of the stop, so in order to manage
risk optimally on each trade, position size should adjust to the stop’s amplitude.
Systems that enter trades with a fixed stop amplitude can get away with
calculating position size as a fixed percentage of current equity. In the context of
a test run where equity varies, what represents a fixed amount of risk translates
into different currency values.
Dynamically adjusting position size throughout a system’s life is optimal in many
ways. First, as position sizing will vary with current equity, it reproduces a
behavioral pattern common to experienced traders, who will dial down risk when
confronted to poor performance and increase it when performance improves.
Second, limiting risk confers more predictability to statistical test results. Third,
position sizing isn’t just about managing risk, it’s also about maximizing
opportunity. By using the maximum leverage (no reference to trading on margin
here) into the trade that your risk management strategy allows, a dynamic
position size allows you to capture maximal opportunity.
To calculate position sizes using the fixed risk method, we use the following
formula: Position = Account * MaxRisk% / Stop%[, which calculates a position size
taking into account the trade’s entry stop so that if the trade is stopped out, 100
USD will be lost. For someone who manages risk this way, common instructions to
invest a certain percentage of your account in a position are simply worthless, as
they do not take into account the risk incurred in the trade.

The Engine lets you select either the fixed risk or fixed percentage of equity
position sizing methods. The closest thing to dynamic position sizing that can
currently be done with alerts is to use a bot that allows syntax to specify position
size as a percentage of equity which, while being dynamic in the sense that it will
adapt to current equity when the trade is entered, does not allow us to modulate
position size using the stop’s amplitude. Changes to alerts are on the way which
should solve this problem.
In order for you to simulate performance with the constraint of fixed position
sizing, the Engine also offers a third, less preferable option, where position size
is defined as a fixed percentage of initial capital so that it is constant throughout
the test and will thus represent a varying proportion of current equity.
Let’s recap. The three position sizing methods the Engine offers are:
1. By specifying the maximum percentage of risk to incur on your remaining
equity, so the Engine will dynamically adjust position size for each trade so that,
combining the stop’s amplitude with position size will yield a fixed percentage of
risk incurred on current equity,
2. By specifying a fixed percentage of remaining equity. Note that unless your
system has a fixed stop at entry, this method will not provide maximal risk
control, as risk will vary with the amplitude of the stop for every trade. This
method, as the first, does however have the advantage of automatically adjusting
position size to equity. It is the Engine’s default method because it has an
equivalent in TV backtesting, so when flipping between indicator and strategy
mode, test results will more or less correspond.
3. By specifying a fixed percentage of the Initial Capital. While this is the least
preferable method, it nonetheless reflects the reality confronted by most system
designers on TradingView today. In this case, risk varies both because the fixed
position size in initial capital currency represents a varying percentage of
remaining equity, and because the trade’s stop amplitude may vary, adding
another variability vector to risk.
Note that the Engine cannot display equity results for strategies entering
trades for a fixed amount of shares/contracts at a variable price.

SETTINGS/INPUTS
Because the initial text first published with a script cannot be edited later and
because there are just too many options, the Engine’s Inputs will not be covered
in minute detail, as they will most certainly evolve. We will go over them with
broad strokes; you should be able to figure the rest out. If you have questions,
just ask them here or in the PineCoders Telegram group.

Display
The display header’s checkbox does nothing.
For the moment, only one exit strategy uses a take profit level, so only that one
will show information when checking “Show Take Profit Level”.
Entries
You can activate two simultaneous entry strats, each selected from the same set
of strats contained in the Engine. If you select two and they fire simultaneously,
the main strat’s signal will be used.
The random strat in each list uses a different seed, so you will get different
results from each.
The “Filter transitions” and “Filter states” strats delegate signal generation to
the selected filter(s). “Filter transitions” signals will only fire when the filter
transitions into bull/bear state, so after a trade is stopped out, the next entry
may take some time to trigger if the filter’s state does not change quickly. When
you choose “Filter states”, then a new trade will be entered immediately after
an exit in the direction the filter allows.
If you select “External Indicator”, your indicator will need to generate a +2/-2
(or a positive/negative stop value) to enter a long/short position, providing the
selected filters allow for it. If you wish to use the Engine’s capacity to also derive
the entry stop level from your indicator’s signal, then you must explicitly choose
this option in the Entry Stops section.
Filters
You can activate as many filters as you wish; they are additive. The “Maximum
stop allowed on entry” is an important component of proper risk management. If
your system has an average 3% stop size and you need to trade using fixed
position sizes because of alert/execution bot limitations, you must use this filter
because if your system was to enter a trade with a 15% stop, that trade would
incur 5 times the normal risk, and its result would account for an abnormally high
proportion in your system’s performance.
Remember that any filter can also be used as an entry signal, either when it
changes states, or whenever no trade is active and the filter is in a bull or bear
mode.
Entry Stops
An entry stop must be selected in the Engine, as it requires a stop level before
the in-trade stop is calculated. Until the selected in-trade stop strat generates a
stop that comes closer to price than the entry stop (or respects another one of
the in-trade stops kick in strats), the entry stop level is used.
It is here that you must select “External Indicator” if your indicator supplies a
+price/-price value to be used as the entry stop. A +price is expected for a long
entry and a -price value will enter a short with a stop at price. Note that the
price is the absolute price, not an offset to the current price level.
In-Trade Stops
The Engine comes with many built-in in-trade stop strats. Note that some of them
share the “Length” and “Multiple” field, so when you swap between them, be
sure that the length and multiple in use correspond to what you want for that
stop strat. Suggested defaults appear with the name of each strat in the
dropdown.
In addition to the strat you wish to use, you must also determine when it kicks in
to replace the initial entry’s stop, which is determined using different strats. For
strats where you can define a positive or negative multiple of X, percentage or
fixed value for a kick-in strat, a positive value is above the trade’s entry fill and
a negative one below. A value of zero represents breakeven.
Pyramiding
What you specify in this section are the rules that allow pyramiding to happen. By
themselves, these rules will not generate pyramiding entries. For those to
happen, entry signals must be issued by one of the active entry strats, and
conform to the pyramiding rules which act as a filter for them. The “Filter must
allow entry” selection must be chosen if you want the usual system’s filters to
act as additional filtering criteria for your pyramided entries.
Hard Exits
You can choose from a variety of hard exit strats. Hard exits are exit strategies
which signal trade exits on specific events, as opposed to price breaching a stop
level in In-Trade Stops strategies. They are self-explanatory. The last one
labelled When Take Profit Level (multiple of X) is reached is the only one that
uses a level, but contrary to stops, it is above price and while it is relative
because it is expressed as a multiple of X, it does not move during the trade. This
is the level called Take Profit that is show when the “Show Take Profit Level”
checkbox is checked in the Display section.
While stops focus on managing risk, hard exit strategies try to put the emphasis
on capturing opportunity.
Slippage
You can define it as a percentage or a fixed value, with different settings for
entries and exits. The entry and exit markers on the chart show the impact of
slippage on the entry price (the fill).
Fees
 Fees, whether expressed as a percentage of position size in and out of the trade
or as a fixed value per in and out, are in the same units of currency as the capital
defined in the Position Sizing section. Fees being deducted from your Capital,
they do not have an impact on the chart marker positions.
In-Trade Events
These events will only trigger during trades. They can be helpful to act as
reminders for traders using the Engine as assistance to discretionary trading.
Post-Exit Analysis
It is normally on. Some of its results will show in the Global Numbers section of
the Data Window. Only a few of the statistics generated are shown; many more
are available, but commented out in the Plot module.
Date Range Filtering
Note that you don’t have to change the dates to enable/diable filtering. When
you are done with a specific date range, just uncheck “Date Range Filtering” to
disable date filtering.
Alert Triggers
Each selection corresponds to one condition. Conditions can be combined into a
single alert as you please. Just be sure you have selected the ones you want to
trigger the alert before you create the alert. For example, if you trade in both
directions and you want a single alert to trigger on both types of exits, you must
select both “Long Exit” and “Short Exit” before creating your alert.
Once the alert is triggered, these settings no longer have relevance as they have
been saved with the alert.
When viewing charts where an alert has just triggered, if your alert triggers on
more than one condition, you will need the appropriate markers active on your
chart to figure out which condition triggered the alert, since plotting of markers
is independent of alert management.
Position sizing
You have 3 options to determine position size:
1. Proportional to Stop -> Variable, with a cap on size.
2. Percentage of equity -> Variable.
3. Percentage of Initial Capital -> Fixed.
External Indicator
This is where you connect your indicator’s plot that will generate the signals the
Engine will act upon. Remember this only works in Indicator mode.

DATA WINDOW INFORMATION

The top part of the window contains global numbers while the individual trade
information appears in the bottom part. The different types of units used to
express values are:

 curr: denotes the currency used in the Position Sizing section of Inputs for the Initial
Capital value.
 quote: denotes quote currency, i.e. the value the instrument is expressed in, or the right
side of the market pair (USD in EURUSD ).
 X: the stop’s amplitude, itself expressed in quote currency, which we use to express a
trade’s P&L, so that a trade with P&L=2X has made twice the stop’s amplitude in profit.
This is sometimes referred to as R, since it represents one unit of risk. It is also the unit
of measure used in the APPT, which denotes expected reward per unit of risk.
 X%: is also the stop’s amplitude, but expressed as a percentage of the Entry Fill.
The numbers appearing in the Data Window are all prefixed:
 “ALL:” the number is the average for all first entries and pyramided entries.
 ”1ST:” the number is for first entries only.
 ”PYR:” the number is for pyramided entries only.
 ”PEA:” the number is for Post-Exit Analyses

Global Numbers
Numbers in this section represent the results of all trades up to the cursor on the chart.
Average Profitability Per Trade (X): This value is the most important gauge of your
strat’s worthiness. It represents the returns that can be expected from your strat for
each unit of risk incurred. E.g.: your APPT is 2.0, thus for every unit of currency you
invest in a trade, you can on average expect to obtain 2 after the trade. APPT is also
referred to as “statistical expectancy”. If it is negative, your strategy is losing, even if
your win rate is very good (it means your winning trades aren’t winning enough, or your
losing trades lose too much, or both). Its counterpart in currency is also shown, as is the
APPT/bar, which can be a useful gauge in deciding between rivalling systems.
Profit Factor: Gross of winning trades/Gross of losing trades. Strategy is profitable when
>1. Not as useful as the APPT because it doesn’t take into account the win rate and the
average win/loss per trade. It is calculated from the total winning/losing results of this
particular backtest and has less predictive value than the APPT. A good profit factor
together with a poor APPT means you just found a chart where your system
outperformed. Relying too much on the profit factor is a bit like a poker player who
would think going all in with two’s against aces is optimal because he just won a hand
that way.
Win Rate: Percentage of winning trades out of all trades. Taken alone, it doesn’t have
much to do with strategy profitability. You can have a win rate of 99% but if that one
trade in 100 ruins you because of poor risk management, 99% doesn’t look so good
anymore. This number speaks more of the system’s profile than its worthiness. Still, it
can be useful to gauge if the system fits your personality. It can also be useful to traders
intending to sell their systems, as low win rate systems are more difficult to sell and
require more handholding of worried customers.
Equity (curr): This the sum of initial capital and the P&L of your system’s trades,
including fees and slippage.
Return on Capital is the equivalent of TV’s Net Profit figure, i.e. the variation on your
initial capital.
Maximum drawdown is the maximal drawdown from the highest equity point until the
drop . There is also a close to close (meaning it doesn’t take into account in-trade
variations) maximum drawdown value commented out in the code.
The next values are self-explanatory, until:
PYR: Avg Profitability Per Entry (X): this is the APPT for all pyramided entries.
PEA: Avg Max Opp . Available (X): the average maximal opportunity found in the Post-
Exit Analyses.
PEA: Avg Drawdown to Max Opp . (X): this represents the maximum drawdown (incurred
from the close at the beginning of the PEA analysis) required to reach the maximal
opportunity point.

Trade Information
Numbers in this section concern only the current trade under the cursor. Most of them
are self-explanatory. Use the description’s prefix to determine what the values applies
to.
PYR: Avg Profitability Per Entry (X): While this value includes the impact of all current
pyramided entries (and only those) and updates when you move your cursor around, P&L
only reflects fees at the trade’s last bar.
PEA: Max Opp . Available (X): It’s the most profitable close reached post-trade,
measured from the trade’s Exit Fill, expressed in the X value of the trade the PEA
follows.
PEA: Drawdown to Max Opp . (X): This is the maximum drawdown from the trade’s Exit
Fill that needs to be sustained in order to reach the maximum opportunity point, also
expressed in X. Note that PEA numbers do not include slippage and fees.
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.
An example of a script issuing a signal for the Engine is published by PineCoders.

RECOMMENDATIONS TO ASPIRING SYSTEM DESIGNERS

Stick to higher timeframes. On progressively lower timeframes, margins decrease and
fees and slippage take a proportionally larger portion of profits, to the point where they
can very easily turn a profitable strategy into a losing one. Additionally, your margin for
error shrinks as the equilibrium of your system’s profitability becomes more fragile with
the tight numbers involved in the shorter time frames. Avoid <1H time frames.

Know and calculate fees and slippage. To avoid market shock, backtest using
conservative fees and slippage parameters. Systems rarely show unexpectedly good
returns when they are confronted to the markets, so put all chances on your side by
being outrageously conservative—or a the very least, realistic. Test results that do not
include fees and slippage are worthless. Slippage is there for a reason, and that’s
because our interventions in the market change the market. It is easier to find alpha in
illiquid markets such as cryptos because not many large players participate in them. If
your backtesting results are based on moving large positions and you don’t also add the
inevitable slippage that will occur when you enter/exit thin markets, your backtesting
will produce unrealistic results. Even if you do include large slippage in your settings, the
Engine can only do so much as it will not let slippage push fills past the high or low of the
entry bar, but the gap may be much larger in illiquid markets.

Never test and optimize your system on the same dataset, as that is the perfect recipe
for overfitting or data dredging, which is trying to find one precise set of
rules/parameters that works only on one dataset. These setups are the most fragile and
often get destroyed when they meet the real world.

Try to find datasets yielding more than 100 trades. Less than that and results are not
as reliable.

Consider all backtesting results with suspicion. If you never entertained sceptic
tendencies, now is the time to begin. If your backtest results look really good, assume
they are flawed, either because of your methodology, the data you’re using or the
software doing the testing. Always assume the worse and learn proper backtesting
techniques such as monte carlo simulations and walk forward analysis to avoid the traps
and biases that unchecked greed will set for you. If you are not familiar with concepts
such as survivor bias, lookahead bias and confirmation bias, learn about them.

Stick to simple bars or candles when designing systems. Other types of bars often do
not yield reliable results, whether by design (Heikin Ashi) or because of the way they are
implemented on TV (Renko bars).

Know that you don’t know and use that knowledge to learn more about systems and how
to properly test them, about your biases, and about yourself.

Manage risk first, then capture opportunity.

Respect the inherent uncertainty of the future. Cleanse yourself of the sad arrogance
and unchecked greed common to newcomers to trading. Strive for rationality. Respect
the fact that while backtest results may look promising, there is no guarantee they will
repeat in the future (there is actually a high probability they won’t!), because the future
is fundamentally unknowable. If you develop a system that looks promising, don’t
oversell it to others whose greed may lead them to entertain unreasonable expectations.

Have a plan. Understand what king of trading system you are trying to build. Have a
clear picture or where entries, exits and other important levels will be in the sort of
trade you are trying to create with your system. This stated direction will help you
discard more efficiently many of the inevitably useless ideas that will pop up during
system design.

Be wary of complexity. Experienced systems engineers understand how rapidly

complexity builds when you assemble components together—however simple each one
may be. The more complex your system, the more difficult it will be to manage.

Play!. Allow yourself time to play around when you design your systems. While much
comes about from working with a purpose, great ideas sometimes come out of just trying
things with no set goal, when you are stuck and don’t know how to move ahead. Have
fun!
@LucF

NOTES
While the engine’s code can supply multiple consecutive entries of longs or shorts in
order to scale positions (pyramid), all exits currently assume the execution bot will exit
the totality of the position. No partial exits are currently possible with the Engine.
Because the Engine is literally crippled by the limitations on the number of plots a script
can output on TV; it can only show a fraction of all the information it calculates in the
Data Window. You will find in the Plot Module vast amounts of commented out lines that
you can activate if you also disable an equivalent number of other plots. This may be
useful to explore certain characteristics of your system in more detail.
When backtesting using the TV backtesting feature, you will need to provide the strategy
parameters you wish to use through either Settings/Properties or by changing the default
values in the code’s header. These values are defined in variables and used not only in
the strategy() statement, but also as defaults in the Engine’s relevant Inputs.
If you want to test using pyramiding, then both the strategy’s Setting/Properties and the
Engine’s Settings/Inputs need to allow pyramiding.
If you find any bugs in the Engine, please let us know.

THANKS
To @glaz for allowing the use of his unpublished MA Squize in the filters.
To @everget for his Chandelier stop code, which is also used as a filter in the Engine.
To @RicardoSantos for his pseudo-random generator, and because it’s from him that I
first read in the Pine chat about the idea of using an external indicator as input into
another. In the PineCoders group, @theheirophant then mentioned the idea of using it as
a buy/sell signal and @Simpel_Bart showed a piece of code implementing the idea.
That’s the tortuous story behind the use of the external indicator in the Engine.
To @admin for the Volatility stop’s original code and for the donchian function lifted
from Ichimoku .
To @BobHoward21 for the v3 version of Volatility Stop .
To @scarf and @ImmortalFreedom for the color tuning.
To many other scripters who provided encouragement and suggestions for improvement
during the long process of writing and testing this piece of code.
To J. Welles Wilder Jr. for ATR, used extensively throughout the Engine.
To TradingView for graciously making an account available to PineCoders.
And finally, to all fellow PineCoders for the constant intellectual stimulation; it is a
privilege to share ideas with you all. The Engine is for all TradingView PineCoders, of
course—but especially for you.