The MarketDelta Blog

(This is a continuation in our blog series on creating a trading system from start to finish. Want to see more? Click here for our main RTL support page, which links to all the articles in this series and many more tutorials. Questions? Click here for the RTL Community Forum where you can get help on your programming.)

In our previous article of this series, we introduced the backtesting engine in MarketDelta and completed a simple 250-day backtest of the strategy discussed so far. The results were quite decent, especially considering that the exit strategy we tested used simple end-of-day exits with no trade management.

Today we consider what effect new profit target rules will have on our system; we exit the trade after a 5-point profit target is met. We will look at many additional exit strategies in the coming weeks, so stay tuned.

Our previous backtest included 4 rules:

1. The long entry
2. The Short entry
3. The end-of-day long exit
4. The end-of-day short exit (called a “cover”)

When we add the profit target rules, we need to keep all these rules, because if the profit target is not met, we still need to exit at the end of the day.

We will add 2 new rules:

1. Long exit after a 5-point profit
2. Short cover exit after a 5-point profit

Profit target rules are quite simple, and they use the ENTRY token to determine the exit price.

Click the “New” button right above the Signal list to create each new signal.

Our long exit simply looks like this:

And the short exit is nearly the same, but uses “covershort” as the rule action:

The rules appear in the list, however, since each bar evaluates the rules from the top rule to the bottom rule, the ordering is important. We don’t want the end-of-bar rule to trigger and then another rule also trigger on the same bar at the end of the day. So make sure those two last-bar exit rules remain at the end of the list. Our six rules now show in the System window:

As we can see, this simple 5-point forced exit has increased our net profit significantly over the 250-day backtest period:

A sample trade, after adding the system to a chart:

Of course, adding this profit target means that we miss out on larger trades that could go more than 5 points; but we also gain winners from trades that made money but gave it up by the end of the day.

In the next article we will show how you add stop loss rules, and in the following article we introduce optimization so we can determine the best levels for both stops and targets.

Note: All backtesting examples are for illustrative purposes only and not a recommendation to trade these signals.