Hi All – I have tested the trailing code function that Nicolas suggested and volpiemanuele also tested earlier in #23493 with the following conclusions – Note that we are comparing the original Dax-5-min-v2 strategy with a 5 point trailing stop (labelled v3 in my screenshots below and left pic)  with the same strategy using Nicolas trailing stop code (5pt trailing start, 5pt trailing step and 5pt stop loss) – labelled v3.2 in my screenshots and is right pic. Please also note that the actual p&l numbers and differences in stats between the two versions are less relevant here as we are purely testing functionality for this purpose.

1) The results for the coded trailing stop (3.2) are actually not that bad, the drawdown amount and % is quite large so there needs to be some tweaking and testing done but there is some promise.

2) Revised 3.2 produces more realistic results eg. the average time in positions seems correct eg 44s in losing positions vs 0s shown in v3 which is clearly incorrect

3) In the orders list you can see that both versions produce almost identical entry points but vastly different exit prices – suggesting indeed a problem with the way the trailing stop works in original v3 and confirming all our thoughts from earlier.

4) In the closed positions list – with the original v3 embedded PRT trailing stop code the difference between MFE (max favourable execution) and MAE (max adverse execution) ALWAYS EQUALS THE Abs performance (ie P&L) but in the revised coded version 3.2 there is usually a difference suggesting that the trailing function is working properly. This is how it should be as in real trading since a position will never always go straight to the stop loss or take profit limit, as we all know as markets constantly move up/down and never in a straight line. This gives me confidence that Nicolas’s trailing stop code indeed seems correct and is working like it should, it’s the inbuilt trailing stop function in PRT which is incorrectly executed.

Based on the above I would not trust results using the PRT trailing stop function but if you need that ability in any of your strategies please use the written code provided above earlier. Also, I feel that the original strategy Raul has suggested when he started this thread is still worth pursuing based on the revised results but with amended coding and backtesting now we are aware of the issues and limitations. I notice that it has been suggested to use 1sec timeframe which seems like something worth looking into and a step in the right direction. It’s a process, we need to be patient.

Oh dear, I have to agree, Raul I’ve just looked at another one of your earlier strategies in my live results from today to check and come across exactly the same problem you highlighted above. The strategy uses 10pt take profit and 5 point stop loss (ie no trailing). As you can see from the screenshot, the backtest ignores the stop loss completely and returns the 10pt take profit. In reality in the live graph as you can see the 5pt stop loss is triggered – as it correctly should be as the market went through that level. My logical conclusion from this – I don’t think its the stop loss or take profit function that doesn’t work – if it was then it would affect pretty much every strategy here. It’s the tick by tick backtest function that definitely does not work properly (it’s essentially back to same “zero bar” problem we had before v 10.3) or if it does, it’s intermittent so best not to rely on it until PRT finds the cause and fixes it. This does not look good unfortunately I must say. P.S – I have the tick by tick box turned on and re-run the backtest a few times just to make sure that there are no fake results. Edit – I have just tested the strategy with the tick by tick turned off and it provides the same results for today as above (which is obviously wrong) so it’s definitely a problem with the tick by tick module ie its basically being ignored. But not all the results are the same so it’s being used for some trades but not others which is even more strange…..