Backtest shows wrong results
-
Hello,
I’m running a system with a partial close code that shows that it’s closing positions in backtesting, but it doesn’t happen when live. How could this happen? Spread is the same, or even lower live, but this keeps happening. The stoploss also resets itself at completely the wrong level for no apparent reason. It’s quite maddening!
This is a revised version of my code.
defparam cumulateorders = false DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 10000 OK = time >= 153000 AND time <= 220000 // if OK and onmarket then set stop loss sl endif indicator3 = AVERAGE[50] indicator4 = AVERAGE[200] c5 = indicator3 crosses over indicator4 c6 = indicator3 crosses under indicator4 //B/S If not onmarket and c5 then buy positionsize contract at market set stop loss sl endif If not onmarket and c6 then sellshort positionsize contract at market set stop loss sl endif //SL TIMEFRAME(1hour) sl = PositionPrice + AverageTrueRange[14](close)*pipsize timeframe(default) //MaTrailing minDistance = 12 If LongOnMarket then TP = Close + average[450](close) If TP > 0 then SELL AT min(close-minDistance*pointsize,average[450]) stop Endif Endif If ShortOnMarket then TP = Close - average[450](close) If TP > 0 then EXITSHORT AT min(close-minDistance*pointsize,average[450]) stop Endif Endif //PartialClose timeframe(2hour) // partial close ONCE partialclose = 1 ONCE PerCent = 0.25 //25% = positions to close ONCE PerCentGain = 0.005 //0.5% increase ONCE MinLotSize = 0.5 //0.5 lots minimum ONCE Increments = 1 // if partialclose and OnMarket then ExitQuantity = max(ExitQuantity[1],abs(CountOfPosition) * PerCent) LeftQty = max(MinLotSize,abs(CountOfPosition) - ExitQuantity) CloseQuantity = abs(CountOfPosition) - LeftQty CloseQuantity2 = abs(CountOfPosition) - LeftQty else CloseQuantity = 0 Increments = 1 endif // IF LongOnMarket and close >= (PositionPrice + AverageTrueRange[14](close)*pipsize) AND Flag THEN SELL CloseQuantity Contracts AT Market Flag = 0 Increments = Increments + 1 endif IF ShortOnMarket and close <= (PositionPrice - AverageTrueRange[14](close)*pipsize) AND Flag2 THEN exitshort CloseQuantity2 Contracts AT Market Flag2 = 0 Increments = Increments + 1 endif IF Not OnMarket THEN Flag = 1 Flag2 = 1 ENDIF TIMEFRAME(default) //BE if flag = 0 or flag2 = 0 then set stop breakeven endifI’ve attached a couple of pictures that show this issue when the system is live. As you can see in the first picture the system should’ve sold a portion of the position and then moved the stop to breakeven. Instead I logged in to see it had set the stop loss to a completely different, made up level faaar away. I closed it manually. In the second picture you can see that when live the system doesn’t close the positions at nearly the same level as in back test. How is this possible?
I found another example. Again the system should’ve partially closed the open position in the afternoon, but didn’t, and instead closed the entire position when it hit the ma 450. Again, costing me money.
Hello @JS, Yes, that’s the intention, though I don’t mind changing it if it fixes the problem with the SL. See the first picture I’ve attached to this post. It show’s the SL yesterday being put at 21082, though according to the backtest it should’ve been set to roughly 12010. That’s changed then, yes. See the second attached picture which shows another system of mine partially closing the position as it should.
- You must be logged in to reply to this topic.
Author
Summary
This topic contains 28 replies,
has 7 voices, and was last updated by
2 years, 11 months ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 03/10/2023 |
| Status: | Active |
| Attachments: | 7 files |
