On 21 Oct at 09:30:31 your code … entered with a Buy (Long) then exit with Sell (Long) then entered with a SellShort (Short) … all these actions occured at 09:30:31.
Then at 09:31:57 y0ur code exit the Short with a Buy / ExitShort at a loss.
Anybody see the scenario on the screenshot above any different to what I state above?? 🙂
what does it mean 1 points for backtesting
We need to allow in our backtests for the ‘broker spread’ else our code / backtest results do not emulate Live trading when the broker makes us pay the spread between buy and sell price.
https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/products-markets-and-trading-hours/what-are-igs-indices-spread-bet-product-details
GraHal, that’s I’m asking, why it happened? I mean I understand closing trade by stop loss or profit taking, but what is that with opening and exiting and opening again in the same bar? stop loss and take profit is much higher then 1 point, that is the question.
Regarding points: sure I understand the spread, I meant, 1 points in Prorealcode settings is how much bips compare to let’s say ES mini contract? I tick is 0.25, so, 1 point is 4 ticks here?
why it happened?
Change your Buy and SellShort to ‘at Market’ orders (remove the ‘at Stop Orders’) and if the zero bars trades stop then you know that the ‘at Stop Orders’ are the cause.
Fault finding is a process of elimination.
ES mini contract? I tick is 0.25, so, 1 point is 4 ticks here?
What is the difference between Buy Price and Sell Price quoted by your broker for ES Mini?
why it happened?
Might be useful to check out the Topic on the link below as may be same problem you are experiencing?
0 Second Transaction
What is the difference between Buy Price and Sell Price quoted by your broker for ES Mini?
If ‘ES mini‘ is same as shown on attached, then the spread at 11:16 UK time on 11 Nov 22 is 0.6 points.
Thanks, GraHal, got all your points, really appreciate it.
Have you ever faced with the different results on your trading system when you backtest on Beta version versus previous one? Yesterday I recognized it, maybe because working on seconds time frame data is not stable for backtesting.
Beta version versus previous one
Which Beta version (v12?) and which previous one?
At times I have had different results even overnight (then backtest again the next morning) but I put it down to my imagination and move on!? 🙂
So, in PREMIUM V11.1 I got worser results than in BETA V12. I’ll check data, and all other sutff, but this is really weird.
Maybe the backtest engine in beta v12 is ‘kinder’ to your strategy / code and so gives better results?
Maybe the backtest engine in beta v12 is ‘kinder’ to your strategy / code
I would hope such a phenomenon does not exist. 🙂
So, guys. The reason why in Beta results are better than in V11, is because of wrong data, it’s unbelievable, what a mess. So, I checked randomly data on ES futures (minutes timeframe, coz I don’t have another data with Thinkorswim platform), and difference sometimes reaches for 20 points (!!!). So, decided not to use Beta version at all, be cautious here.
May I ask … is this V12 with PRT-IG or PRT-IB ??
It’s the version offered by ProRealTime, so it uses data from IB (as far as I know).
