Differences in Backtest Results

• 11/15/2018 at 11:48 AM #84909
  TempusFugit

  Hi there,

  Lately I am having serious doubts about the confidence of the backtest results in PRT. Mainly because I found significant differences in backtests that shouldn´t exist.  For instance between real and demo results, in backtest and also in proorder trading. I understand that it´s normal to have some differences but I am talking about serious differences in different systems. Also when I share some systems with a friend that lives in a different timezone, even changing the hours accordingly the difference in results are too high.

  Do you experience same kind of things? Because if I can´t belive the backtest results then my systems are worthless

  

  TempusFugit

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  11/15/2018 at 12:11 PM #84911
  GraHal

  TempusFugit wrote:

  For instance between real and demo results, in backtest

  Do you mean differences between Backtest on your Live Platform and Backtest on your Demo  Platform?  Are both Platforms same settings, time zone and spread etc?

  Why not post screen shots of the differences and (better still) post the code so one of us could also backtest on our Live and Demo Platforms and compare with yours?

  Just ideas to move your issue forward a bit?

   

  

  GraHal

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  11/15/2018 at 12:48 PM #84918
  TempusFugit

  Hi Grahal,

  Yes, differences between Live and Demo Platforms. I haven´t checked all my systems, but some of them have small differences and others biggers, with everything the same of course (system, period, spread…)

  For instance these are the results in Live and Demo for the same system,timezoneperiod/spread…

  This is the code and my timezone is UTC+00:00 Europe/London

  ///Sistema ME (Market Edge) //EURUSD 1H v2.2 //Por TempusFugit //Ultima revisión: 14-11-2018 //////////////////////////////////////////////// // System parameters DEFPARAM CumulateOrders = False DEFPARAM PRELOADBARS = 2000 //VARIABLES HL = 16 //Hora Entrada Largos HLS = 20 //Hora Salida Largos HS = 7 //Hora Entrada Cortos HSS= 13//Hora Salida Cortos LongStopPercentage = 0.65 LongProfitPercentage = 1.1 ShortStopPercentage = 1.9 ShortProfitPercentage = 0.65 RSL = 85//LIMITE PARA FILTRO RSI-MOMENTUM LARGOS RSS = 70//LIMITE PARA FILTRO RSI-MOMENTUM CORTOS m = 7 //PRIMERA CIFRA DEL MACD PARA FIJAR TENDENCIA XMACD = -0.25 //LIMITE VALOR MACD PARA FILTRAR TENDENCIA // GESTION POSICION POSITIONSIZEINCREASE = 1.4//MULTIPLICADOR PARA TODAS LAS POSICIONES. RSIMAXSIZE = 1.6//Max incremento posicion por RSI-Momentum SHORTINCREASE = 1//Multiplicador para posiciones cortas LIMITEPERDIDAS = 99999 //SI LLEGA A ESTA CANTIDAD DE PERDIDAS EL SISTEMA SE PARA REDUCIRPOSICION = 0.75 //MULTIPLICADOR DE LA POSICION SI EL BENEFICIO ESTA POR DEBAJO DE SU MEDIA NMAPS = 500 //PERIODOS DE LA MEDIA PARA CALCULAR SI SE REDUCE POSICION. MAYOR O MENOR SEGUN LO ACTIVO QUE SEA EL SISTEMA Y DEL TIMEFRAME PERCENTCROSSMA = 0 //PORCENTAJE QUE TIENE QUE SUPERAR EL SPROFIT A SU MEDIA PARA REDUCIR LA POSICION IF STRATEGYPROFIT<-LIMITEPERDIDAS THEN QUIT ENDIF //CALCULO SOBRECORMPRA/SOBREVENTA OVERBOUGHT = RSI[2](close)>RSL OVERSOLD = RSI[2](close)<100-RSS //CALCULO TENDENCIA ALCISTA/BAJISTA b = round(m*26/12) c = round(m*9/12) NOBEAR = MACDline[m,b,c](close)>XMACD/100 NOBULL = MACDline[m,b,c](close)<-XMACD/100 //////////////////POSITION SIZE\\\\\\\\\\\\\\\\\\\\\\ //Position Size by WeekDay.Media de 1.5 por día IF CurrentDayOfWeek=1 THEN LPDAY=0 SPDAY=1 ELSIF CurrentDayOfWeek=2 THEN LPDAY=1 SPDAY=0 ELSIF CurrentDayOfWeek=3 THEN LPDAY=1.9 SPDAY=1.9 ELSIF CurrentDayOfWeek=4 THEN LPDAY=1.8 SPDAY=1.8 ELSIF CurrentDayOfWeek=5 THEN LPDAY=1.8 SPDAY=1.8 ENDIF //Position Size by RSI2 XRSI = RSI[2](close) IF 100-XRSI>=80 THEN LPSRSI = RSIMAXSIZE ELSIF 100-XRSI>=70 THEN LPSRSI = RSIMAXSIZE*0.75 ELSIF 100-XRSI>=60 THEN LPSRSI = RSIMAXSIZE*0.50 ELSE LPSRSI=0 ENDIF IF XRSI>=80 THEN SPSRSI = RSIMAXSIZE ELSIF XRSI>=70 THEN SPSRSI = RSIMAXSIZE*0.75 ELSIF XRSI>=60 THEN SPSRSI = RSIMAXSIZE*0.50 ELSE SPSRSI=0 ENDIF //Cálculo de tamaño de posición sp = strategyprofit IF strategyprofit*(1+(PERCENTCROSSMA/100))<Average[NMAPS](sp) THEN LPOSITIONSIZE = REDUCIRPOSICION*POSITIONSIZEINCREASE*(LPDAY+LPSRSI) SPOSITIONSIZE = SHORTINCREASE*REDUCIRPOSICION*POSITIONSIZEINCREASE*(SPDAY+SPSRSI) ELSE LPOSITIONSIZE = POSITIONSIZEINCREASE*(LPDAY+LPSRSI) SPOSITIONSIZE = SHORTINCREASE*POSITIONSIZEINCREASE*(SPDAY+SPSRSI) ENDIF //////////////CONDICIONES ENTRADA/SALIDA///////////// LongEntry = Hour=HL LongEntry = LongEntry AND NOT OVERBOUGHT LongEntry = LongEntry AND NOBEAR LongEntry = LongEntry AND DAYOFWEEK<>1 //LongEntry = LongEntry AND close>99999999999 ShortEntry = Hour=HS OR (BARINDEX-TRADEINDEX>4 AND Hour=HS+2) ShortEntry = ShortEntry AND NOT OVERSOLD ShortEntry = ShortEntry AND NOBULL ShortEntry = ShortEntry AND DAYOFWEEK<>2 ShortEntry = ShortEntry AND DAY<>1 AND DAY<>2 AND DAY<>24 AND DAY<>29 AND DAY<>31 //ShortEntry = ShortEntry AND close>99999999999 IF LongEntry THEN BUY LPOSITIONSIZE CONTRACTS AT close LIMIT SET STOP LOSS LongStopPercentage*CLOSE/100 SET TARGET PROFIT LongProfitPercentage*CLOSE/100 ENDIF If LongOnMarket AND Hour>=HLS THEN SELL AT close LIMIT ENDIF IF ShortEntry THEN SELLSHORT SPOSITIONSIZE CONTRACTS AT close LIMIT SET STOP LOSS ShortStopPercentage*CLOSE/100 SET TARGET PROFIT ShortProfitPercentage*CLOSE/100 ENDIF IF ShortOnMarket AND Hour>=HSS THEN EXITSHORT AT close LIMIT ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132

  ///Sistema ME (Market Edge) //EURUSD 1H v2.2 //Por TempusFugit //Ultima revisión: 14-11-2018 //////////////////////////////////////////////// // System parameters DEFPARAM CumulateOrders = False DEFPARAM PRELOADBARS = 2000   //VARIABLES HL = 16 //Hora Entrada Largos HLS = 20 //Hora Salida Largos HS = 7 //Hora Entrada Cortos HSS= 13//Hora Salida Cortos LongStopPercentage = 0.65 LongProfitPercentage = 1.1 ShortStopPercentage = 1.9 ShortProfitPercentage = 0.65 RSL = 85//LIMITE PARA FILTRO RSI-MOMENTUM LARGOS RSS = 70//LIMITE PARA FILTRO RSI-MOMENTUM CORTOS m = 7 //PRIMERA CIFRA DEL MACD PARA FIJAR TENDENCIA XMACD = -0.25 //LIMITE VALOR MACD PARA FILTRAR TENDENCIA   // GESTION POSICION POSITIONSIZEINCREASE = 1.4//MULTIPLICADOR PARA TODAS LAS POSICIONES. RSIMAXSIZE = 1.6//Max incremento posicion por RSI-Momentum SHORTINCREASE = 1//Multiplicador para posiciones cortas LIMITEPERDIDAS = 99999 //SI LLEGA A ESTA CANTIDAD DE PERDIDAS EL SISTEMA SE PARA REDUCIRPOSICION = 0.75 //MULTIPLICADOR DE LA POSICION SI EL BENEFICIO ESTA POR DEBAJO DE SU MEDIA NMAPS = 500 //PERIODOS DE LA MEDIA PARA CALCULAR SI SE REDUCE POSICION. MAYOR O MENOR SEGUN LO ACTIVO QUE SEA EL SISTEMA Y DEL TIMEFRAME PERCENTCROSSMA = 0 //PORCENTAJE QUE TIENE QUE SUPERAR EL SPROFIT A SU MEDIA PARA REDUCIR LA POSICION     IF STRATEGYPROFIT<-LIMITEPERDIDAS THEN QUIT ENDIF   //CALCULO SOBRECORMPRA/SOBREVENTA OVERBOUGHT = RSI[2](close)>RSL OVERSOLD = RSI[2](close)<100-RSS   //CALCULO TENDENCIA ALCISTA/BAJISTA b = round(m*26/12) c = round(m*9/12) NOBEAR = MACDline[m,b,c](close)>XMACD/100 NOBULL = MACDline[m,b,c](close)<-XMACD/100   //////////////////POSITION SIZE\\\\\\\\\\\\\\\\\\\\\\ //Position Size by WeekDay.Media de 1.5 por día IF CurrentDayOfWeek=1 THEN LPDAY=0 SPDAY=1 ELSIF CurrentDayOfWeek=2 THEN LPDAY=1 SPDAY=0 ELSIF CurrentDayOfWeek=3 THEN LPDAY=1.9 SPDAY=1.9 ELSIF CurrentDayOfWeek=4 THEN LPDAY=1.8 SPDAY=1.8 ELSIF CurrentDayOfWeek=5 THEN LPDAY=1.8 SPDAY=1.8 ENDIF   //Position Size by RSI2 XRSI = RSI[2](close)   IF 100-XRSI>=80 THEN LPSRSI = RSIMAXSIZE ELSIF 100-XRSI>=70 THEN LPSRSI = RSIMAXSIZE*0.75 ELSIF 100-XRSI>=60 THEN LPSRSI = RSIMAXSIZE*0.50 ELSE LPSRSI=0 ENDIF   IF XRSI>=80 THEN SPSRSI = RSIMAXSIZE ELSIF XRSI>=70 THEN SPSRSI = RSIMAXSIZE*0.75 ELSIF XRSI>=60 THEN SPSRSI = RSIMAXSIZE*0.50 ELSE SPSRSI=0 ENDIF   //Cálculo de tamaño de posición sp = strategyprofit IF strategyprofit*(1+(PERCENTCROSSMA/100))<Average[NMAPS](sp) THEN LPOSITIONSIZE = REDUCIRPOSICION*POSITIONSIZEINCREASE*(LPDAY+LPSRSI) SPOSITIONSIZE = SHORTINCREASE*REDUCIRPOSICION*POSITIONSIZEINCREASE*(SPDAY+SPSRSI) ELSE LPOSITIONSIZE = POSITIONSIZEINCREASE*(LPDAY+LPSRSI) SPOSITIONSIZE = SHORTINCREASE*POSITIONSIZEINCREASE*(SPDAY+SPSRSI) ENDIF   //////////////CONDICIONES ENTRADA/SALIDA///////////// LongEntry = Hour=HL LongEntry = LongEntry AND NOT OVERBOUGHT LongEntry = LongEntry AND NOBEAR LongEntry = LongEntry AND DAYOFWEEK<>1 //LongEntry = LongEntry AND close>99999999999   ShortEntry = Hour=HS OR (BARINDEX-TRADEINDEX>4 AND Hour=HS+2) ShortEntry = ShortEntry AND NOT OVERSOLD ShortEntry = ShortEntry AND NOBULL ShortEntry = ShortEntry AND DAYOFWEEK<>2 ShortEntry = ShortEntry AND DAY<>1 AND DAY<>2 AND DAY<>24 AND DAY<>29 AND DAY<>31 //ShortEntry = ShortEntry AND close>99999999999   IF LongEntry  THEN BUY LPOSITIONSIZE CONTRACTS AT close LIMIT SET STOP LOSS LongStopPercentage*CLOSE/100 SET TARGET PROFIT LongProfitPercentage*CLOSE/100 ENDIF   If LongOnMarket AND Hour>=HLS THEN SELL AT close LIMIT ENDIF   IF ShortEntry THEN SELLSHORT SPOSITIONSIZE CONTRACTS AT close LIMIT SET STOP LOSS ShortStopPercentage*CLOSE/100 SET TARGET PROFIT ShortProfitPercentage*CLOSE/100 ENDIF   IF ShortOnMarket AND Hour>=HSS THEN EXITSHORT AT close LIMIT ENDIF

   

   

   

  

  TempusFugit

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  11/15/2018 at 1:01 PM #84922
  TempusFugit

  I forgot… for EUR/USD 1h, spread 0,9

  

  TempusFugit

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  11/15/2018 at 9:01 PM #84953
  GraHal

  On my Demo Platform on EURUSD 1H with spread = 0.9 100k bars I get results attached … number of trades < half what you get!

  The plot thickens, I am thinking what might be the reason.

  I cannot test on Live sorry as I have my Live Platform disabled.

  

  GraHal

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  11/20/2018 at 4:34 PM #85342
  TempusFugit

  Because of  these inconsistencies now I am running some systems both in Demo and Live at the same time and as expected there are some differences in the results of the trades (no exactly the same prices of entry/exit –> normal/expected) but also a few trades that doesn´t match between Live/Demo (WHY???). Very few days running both systems so I can tell yet how often or if it occurs only in some systems but I can tell that it happens.

  Am I the only one with these inconsistencies?

  

  TempusFugit

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  11/20/2018 at 5:33 PM #85345
  GraHal

  TempusFugit wrote:

  Am I the only one with these inconsistencies?

  I doubt it very much, but others are not checking the same inconsistency that you are?

  We are all trying to deal with other inconsistencies … roll on Version 11.3 and this will be all behind us (I bet NOT!? 🙁 )

  

  GraHal

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  09/01/2020 at 10:07 PM #143155
  Jiankyr82

  I see clearly at same period GraHal differences between demo and live in orders.

  meaning it’s opening a buy while the criteria not match. Demo works fine…

   

  

  Jiankyr82

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