Backtesting logic

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  • 06/07/2016 at 9:53 AM #8911 quote
    K12AN
    Participant
    Junior

    Backtesting has obvious limitations as we are using OHLC bars/Static and not tick data. I have seen that trailing stops backtesting results are very misleading.

    I am now only using SL (not trailing). However, there is still the issue that in back testing, if I am long and the candle is green – it is assuming that I made a profit…even if there was a low which could have triggered my stop before my target profit is achieved. I think I have understood this correctly? I would be grateful if the logic could be explained if I have it wrong.

    It seems that backtesting consistently produces the best case scenario….is there a way to change the settings to show the worse case? i.e. my SL would always be triggered before my TP. This would help me in adjusting my SL and TP levels.

    06/07/2016 at 9:57 AM #8915 quote
    Nicolas
    Keymaster
    Master

    Takeprofit is tested first, so if price takeprofit level were met during the bar your trade is a gain, even if the SL level would have been met before it in a real time market. But since we don’t have ticks informations, no one can’t say what would happen.

    But.. this is something that will be changed in the next release of prorealtime. Candlesticks OHLC will be tested in every inferior timeframe, in backtest, to see if stoploss triggered before takeprofit and vice-versa.

    06/07/2016 at 10:07 AM #8918 quote
    K12AN
    Participant
    Junior

    That’s excellent news Nicolas and I believe it will help both clients and PRT.

    Do you have a release date for the next release? or an estimate?

    06/07/2016 at 11:04 AM #8934 quote
    Nicolas
    Keymaster
    Master

    No I’m sorry I don’t have any ETA for this major update. But be sure I’ll give everyone news when I have some!

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Backtesting logic


ProOrder: Automated Strategies & Backtesting

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K12AN @k12an Participant
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This topic contains 3 replies,
has 2 voices, and was last updated by Nicolas
9 years, 8 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 06/07/2016
Status: Active
Attachments: No files
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