LookBack, UnstablePeriod

LookBack

Number of bars that are executed before Zorro can begin to trade (default = 80). Required for most indicators or other functions that need a certain amount of previous price history for their calculations. If left at the default value, it is automatically adapted to the needed lookback period by subsequent indicators. Otherwise set it to a value that is sure to cover the longest period of all used indicators, assets, and time frames. Set it to 0 when the script needs no lookback period. The maximum lookback period for live trading is one year. Backtests can have any lookback period as long as it does not exceed the total number of bars.

LookBackNeeded

Initially 0; automatically set by any indicator or function to the maximum lookback period needed so far (see example). If LookBack is at its default and only a single asset is used, LookBack is automatically set to LookBackNeeded. If LookBack is set to a value less than LookBackNeeded, an error message is printed and the script terminates if not restarted (see example).

UnstablePeriod

Runs recursive TA-Lib indicators over the given period (default = 40) at any call. Background: Some indicators are influenced by an infinite number of past bars. They are recursive or cumulative - indicators "with memory". Examples are the EMA (Exponential Moving Average) and the ATR (Average True Range). They use their previous bar's value in their algorithm, which in turn use the value of their previous bars, and so forth. This way a given value will have influence on all the subsequent values. In contrast, a simple moving average (SMA) only reflects the average of its time period, without any influence from bars further in the past.
Because a price series is always finite and starts at a certain point, the effect of missing past bars is the more significant, the closer to the start a recursive indicator is calculated. Thus a trade strategy using the EMA or derived indicators (such as the MACD) could behave different dependent on its bar number. The UnstablePeriod value allows to strip off such initial unstable period and remove the influence of all bars prior to this period. This way indicators are guaranteed to behave the same way regardless of the amount of past data. For coming as close to the real cumulative formula as possible, strip off as much data as you can afford. Using 40 bars (default) is reasonable for most indicators.

LookBackResolution

Candle resolution of the historical data that is loaded at trading start for filling the lookback period, in minutes. Also used for assetHistory. At 0 (default), the resolution is equivalent to BarPeriod. If BarOffset is active or .t1 data is used, the lookback resolution is accordingly increased. Set LookBackResolution to 1, 5, 15, 30, 60, 240, or 1440 for enforcing a higher or lower resolution of the lookback data. A higher lookback resolution can replicate the backtest better when tick functions are used, a lower resolution can help with long lookback periods when the broker history is limited.

TradesPerBar

Maximum number of trades and series per bar, or 0 (default) for automatically estimating the maxima. Determines the allowed total number of trades when multiplied with the assets and bars of the simulation. Opening more trades causes an Error 049 message, .more series cause Error 041 Set this to a higher value when the strategy needs to enter an unusual number of trades or create an unusual number of series, as for special systems such as grid trading, or for training an advise function. Set it to a low value, such as 1, for saving memory when the system does not trade more often than once per bar on average.

MinutesPerDay

Minimum daily trading time of the least traded asset in minutes (default = 360, i.e. 60 minutes * 6 hours). Internally used for determining the maximum lookback time. Set this to a lower value when Error 047 indicates that the lookback period gets not enough historical bars at trading start. This can be the case when an asset is only traded a few hours per day, or when you use a bar function that produces only a few bars per day.

Type:

int

Remarks:

All variables on this page must be set before loading an asset.
The number of the first bar at which a trade can be entered is greater or equal to Lookback. All trades are skipped before that bar.
If LookBack is not set by script, it is automatically set to the maximum time period of all used indicators, and a message "Lookback set to nnnn bars" is printed to the window and log file. Automatic setting is not always possible, for instance when different time frames are used, when indicator time periods change in the training run, or when different assets require different lookback periods. In that case set LookBack by script to the maximum needed value.
If a particular StartDate is used, the lookback period is placed before the start date. The simulation must then begin at least N days before StartDate, where N can be estimated from LookBack * BarPeriod/MinutesPerDay * 365/252.
If indicators get their data from other indicators - for instance, taking the a SMA of another SMA, or normalizing the value of an indicator - LookBack should be set to at least the sum of the maximum time periods of the nested indicators.
!! Setting Lookback to 0 overrides all internal lookback checks. You must be sure that a lookback period is really not needed. Otherwise the script can try to access nonexiting history, causing an error or a crash.
When using series with an offset (f.i. myseries+n), make sure that LookBack is always higher than the required lookback period of the series plus UnstablePeriod plus the highest offset. Otherwise the series length can be exceeded, resulting in a script error at runtime.
When optimizing the time period of an indicator, make sure that LookBack is big enough to cover the maximum time period of the optimize range, plus the UnstablePeriod when the indicator is recursive. Do not optimize the LookBack period itself, since it must not change anymore after loading the first asset.
UnstablePeriod is only used for recursive TA-Lib indicators. For other recursive indicators such as LowPass, DominantPeriod, UO, etc. LookBack serves as unstable period.
In [Trade] mode, price history covering the LookBack duration is downloaded from the server immediately before trading starts. Due to weekends and market hours, the lookback duration is normally longer than LookBack * BarPeriod. The downloaded history usually exceeds the lookback duration by a safety margin, but does not exceed 1 year. A longer lookback duration requires the PRELOAD flag and available price history. A too long lookback period will be indicated with a warning message.
When trading multiple assets, the lookback period can be truncated for assets that have no price data at lookback begin. Use the COMMONSTART flag to enforce full lookback periods for all assets. Otherwise, use AssetFirstBar to check when the lookback period is over for a particular asset.

Example:

// restart script when lookback period is exceeded
void run()
{
  LookBack = max(30,LookBackNeeded);
  ...
  SMA(seriesC(),50); // need more than 30 bars!
  if(LookBack < LookBackNeeded)
    return quit("+Restart with new LookBack");
  ...
}