Here are Live vs Backtest results for a 1s timeframe. Overall it throws up more questions than answers. As this is being run on a 1s TF the manually coded trailing stop should update quickly and keep up with the market movement (I hope). However there are a few problems:

1)Only one trade is taken in Live on the 8th, after that, no further trades are executed in Live for the next week which is really strange.

2) The trades for the 8th don’t match up – but that could be because for some reason the backtest takes multiple positions (opening and closing) starting from 08.05 whereas Live only takes 1 position.

3) The last trade on the 8th – exit @ 080602- matches up perfectly. But that could be a coincidence.

There is still some problem with the tick by tick backtest engine it seems unless someone can spot what the problem is.

// Definición de los parámetros del código
DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada

// La posición se cierra a las 17:29 p.m. si no toca ni stop ni take.
DEFPARAM FlatAfter =163000

once ordersize=1
// No se abren nuevas posiciones después de la vela que se cierra a las 09:06

if time=080000 then
val0800=close
endif

if time=080500 then
val0805=close
endif

HoraEntradaLimite = 080559//080600
// El análisis de mercado empieza en la vela de 5 minutos que cierra a las 09:05
HoraInicio = 080500

// Órdenes máximas
if Ordersize>18 then
Ordersize=18
endif

// Riesgo, multiplicador de contratos.

n=4//6

// Condiciones para el analisis.

if Time >= HoraInicio and time <= HoraEntradaLimite then

// Condiciones de entrada de posiciones largas.

c1 = val0800 < val0805-1//open < close-1
if not onmarket then
IF c1 THEN
IF PositionPerf(1) < 0 THEN
OrderSize = OrderSize/2//+1
if ordersize<1 then
ordersize=1
ENDIF
ELSIF PositionPerf(1) > 0 THEN
OrderSize =OrderSize+2
endif
// Si la primera barra del día de 5 min es positiva, compramos.
buy ordersize*n shares at market
endif

// Condiciones de entrada de posiciones cortas.

c2= val0800 > val0805-1//open > close-1
if not onmarket then
IF c2 THEN
iF PositionPerf(1) < 0 THEN
OrderSize = OrderSize/2//+1
if ordersize<1 then
ordersize=1
ENDIF
ELSIF PositionPerf(1) > 0 THEN
OrderSize =OrderSize+2
ENDIF
// Si la primera barra del día de 5 min es negativa, vendemos.
sellshort ordersize*n shares at market
endif
endif
endif
endif


//trailing stop function
trailingstart = 5 //trailing will start @trailinstart points profit
trailingstep = 1 //trailing step to move the "stoploss"

//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF

//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
newSL = newSL+trailingstep*pipsize
ENDIF
ENDIF

//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
newSL = newSL-trailingstep*pipsize
ENDIF
ENDIF

//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF

SET STOP PLOSS 5.5

Intraday-1s-live-vs-btest.jpg