probacktest and real trading difference!! why?!

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  • 10/12/2017 at 12:40 PM #49127 quote
    PEDRAM.JOKAR
    Participant
    Average

    hi everyone

    my result of probacktest tick by tick moded and real working system as per attached. why there is difference between real automated system trading and probacktest. how can we trust reliability of our trading system?!

    actually in my system i look for small pips as TP. entry at my preferred buy limit and sell limit orders every 1h candle. and position will close after 1h candle finished.

    my code as per below.

    Defparam Cumulateorders=false

price=close-(0.5*AverageTrueRange[10](close))
buy 1 contracts at price limit


price=close+(0.5*AverageTrueRange[10](close))
sellshort 1 contracts at price limit
if barindex-tradeindex=0 then
exitshort at market
sell at market
endif
set target pprofit 3
set stop ploss 150
    Screen-Shot-2017-10-12-at-7.20.57-PM.png Screen-Shot-2017-10-12-at-7.20.57-PM.png Screen-Shot-2017-10-12-at-7.28.08-PM.png Screen-Shot-2017-10-12-at-7.28.08-PM.png
    10/12/2017 at 12:42 PM #49130 quote
    PEDRAM.JOKAR
    Participant
    Average

    sorry. the code actually traded after 10th October time 11 am as per charts attached.

    10/12/2017 at 5:47 PM #49170 quote
    Despair
    Blocked
    Master

    If you use limit/stop orders in your code the backtest will always differ to some extend from live results. The reason for this is that in backtest you will receive a fill for your limit/stop order “when touched”. This rarely happens in live trading. Price usually has to trade through your limited for your order to be filled.

    10/12/2017 at 8:42 PM #49207 quote
    Nicolas
    Keymaster
    Master

    Did you include spread in your backtests?

    10/13/2017 at 2:36 AM #49222 quote
    PEDRAM.JOKAR
    Participant
    Average

    actually, not with spread in backtest. but some entry is not taken in real. how? is what despair said technically true?

    10/13/2017 at 2:37 AM #49223 quote
    PEDRAM.JOKAR
    Participant
    Average

    how if i use this system for 5 different markets at the same time can disrupt the system action?

    10/13/2017 at 9:41 AM #49239 quote
    Despair
    Blocked
    Master

    1.) What Despair said, is true. No shit. 😉

    2.) You can run your system on as many markets as PRT allows without them interfering each other.

    10/13/2017 at 9:49 AM #49242 quote
    PEDRAM.JOKAR
    Participant
    Average

    Please see the file attached. why there is no buy limit order at the same time?

    Screen-Shot-2017-10-13-at-4.47.52-PM.png Screen-Shot-2017-10-13-at-4.47.52-PM.png
    10/13/2017 at 9:51 AM #49244 quote
    PEDRAM.JOKAR
    Participant
    Average
    1. this on i alrdy knew! 😉 just want to know his idea. anyway, shld i forget this system then as not as good as backtest to me?!
    10/13/2017 at 10:03 AM #49246 quote
    Despair
    Blocked
    Master

    Maybe you try to go down to a shorter timeframe instead of trying to open and close trades on the same bar.

    10/16/2017 at 7:23 AM #49465 quote
    Nicolas
    Keymaster
    Master
    PEDRAM.JOKAR wrote:

    actually, not with spread in backtest

    This is where you should start from to understand why there are differences between your backtests and the real time trading. The spread between Ask and Bid should always be set in your backtest, find what is the average spread for the instrument at your broker website.

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probacktest and real trading difference!! why?!


ProBuilder: Indicators & Custom Tools

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PEDRAM.JOKAR @pedram-jokar Participant
Summary

This topic contains 10 replies,
has 3 voices, and was last updated by Nicolas
8 years, 5 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 10/12/2017
Status: Active
Attachments: 3 files
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