Hi Nicolas,
Apologies for the delay, it took me some time to put together the detail you requested. Yes the strategy utilises pending stop orders. So please see attached the PRT executed screenshot of the relevant trades. I have then put together in excel every single action in the account for these trades (if you would like the excel sheet itself please let me know, I wasn’t sure if you are allowed to upload here). I have carefully found and grouped together each trade’s action activity in time order and in alternate colour for each set of trades so it is easier on the eye to follow. Hope this is what you require. Let me know if you need anything else.
With regards to your other question, yes I agree with your conclusion (given the exceptions of spread and slippage etc that we know about) that the issue seems to lie with how the trailing stops are implemented and executed. The position opening orders seem to work ok within tolerance limits of Live vs Backtest. This is also proven by the fact that if you look at my previous screenshot, the big issue is usually always with the closing – ie. trailing stop trades rather than the opening ones.
Many thanks for looking into it.
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