DEFPARAM preloadbars 10000 function acting like an indicator

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Viewing 12 posts - 1 through 12 (of 12 total)
  • 04/27/2021 at 8:47 AM #168146
    Kovit

    Hi Nicolas and other moderators,

    I appreciate that the DEFPARAM code isn’t really an indicator but as its having an impact on my backtest result and acting like an indicator I thought it may be relevant for this section of the forum.

    I’m still getting wildly different reporting of trades when backtesting and then switching between 100k units (5 Trades & gain £307), 50k units (17 Trades gain £1380) for the same unchanged strategy testing in v11 instead of 10.3 but accept this is just how it is, maybe this will get resolved in V12.

    My logic was to try and lock the 50k units results in with a DEFPARAM preloadbars of 50k but then remembered it’s limited to 10,000 units, trying Defparam 10,000 units anyway I noticed that is has a vastly detrimental effect to the backtest figure. Please see attached screenshots.

    Can someone please explain the logic of this as it’s hurting my head, the only thing I could think of is that it’s acting like a defparam resctricted hours and cutting the trades short somehow?

    Thanks in advance,

    Kovit

    04/27/2021 at 9:20 AM #168153
    robertogozzi

    Post your topic in the correct forum:
    _ ProRealTime Platform Support: only platform related issues.
    _ ProOrder: only strategy topics.
    _ ProBuilder: only indicator topics.
    _ ProScreener: only screener topics
    _ General Discussion: any other topics.
    _ Welcome New Members: for new forum members to introduce themselves.

    Moved to ProOrder support.

    Thank you 🙂

     

    04/27/2021 at 9:26 AM #168154
    Kovit

    lol I knew it, no worries thanks Roberto. 🙂

     

    04/27/2021 at 9:28 AM #168156
    Kovit

    Any thoughts as to why this might be happening, have you encountered it before with your own strategies ?

    04/27/2021 at 10:13 AM #168164
    Kovit

    Might be worth everyone checking their strategy results on a 50k backtest with and without this applied.

    04/27/2021 at 11:52 AM #168167
    GraHal

    I quickly scanned your OP … if you use a variable that uses period, for example, 5000 and you use default Preload bars of 2000 then for the first 3000 bars of running your variable is not calculating … may this be the cause of your Issue?

    04/27/2021 at 12:17 PM #168170
    Kovit

    Thanks Grahal,

    I think it’s safer for me just not to use the preload at all I don’t see any benefit. Backtesting is inconsistent and variable enough without adding extra uncertainty into the mix.

    Case in point, I just switched back to 10.3 and the same strategy over 50k bars on NAS is showing 61 trades with no losses, instead of 19 trades with 3 losses. I give up. lol

    Come on v12, reliable consistent backtest figures that don’t vary ftw lol

     

     

    04/27/2021 at 12:29 PM #168178
    Kovit

    Scratch that, I was looking at the same version but with added trailing stop code.

    04/27/2021 at 12:31 PM #168179
    Nicolas

    So the strategies were different on each version?

    04/27/2021 at 12:56 PM #168188
    GraHal
    Kovit wrote:

    showing 61 trades with no losses

    You sure you had tick by tick enabled?

     

    04/27/2021 at 12:59 PM #168189
    Kovit

    No the strategies were the same, its just the version I backtested on 10.3 had trailing stop code attached to the end of it, which cleared the 3 losses which the strategy would have experienced without it.

    Having defaram enabled on all versions either through v10.3 or v11, with or without trailing stop code appears to negatively impact it.

    I do have a period reference as GraHal mentioned but my understanding was defaram preloadbars was just a facility to improve speed of loading and backtest rather than something which would affect the gain or number of losses.

     

    04/27/2021 at 1:33 PM #168196
    Kovit

    I suppose as long as people use shorter term indicators that they are confident would normally display within the 10,000 preloadbars or less it shouldnt be an issue for them to use it.

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