End of Day PRT closes trades on last bar.

• 07/05/2018 at 2:49 PM #75348
  Vonasi

  I’m testing out the new MTF on an end of day PRT account but I noticed that no matter what I did the last quarters results were terrible so I looked closer at the chart. On the last bar of the chart all trades are closed for no reason. The strategy is also trying a partial closure idea but even without this all trades are closed on the last bar.

  The criteria for closing positions is as follows:

  count = 0 for z = 1 to countofposition if onmarket and close > highest[z](high[1]) then count = z endif next sell count contracts at market

  1 2 3 4 5 6 7 8

  count = 0 for z = 1 to countofposition if  onmarket and close > highest[z](high[1]) then count = z endif next   sell count contracts at market

  and the last bar does not meet this criteria. The graph below the equity curve shows the value of count and it can also clearly be seen that the close of the second to last bar is not higher than the preceding highs.

  

  Why does it close all the trades?

  

  Vonasi

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  07/05/2018 at 2:55 PM #75352
  Nicolas

  Yes, it acts like this if you have not subscribed to real time data (intraday). Otherwise, you’ll be able to follow an automated strategy on your screen without paying any fee for the data.

  2 users thanked author for this post.

  robertogozzi, Vonasi

  

  Nicolas

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  07/05/2018 at 3:11 PM #75360
  Vonasi

  Thanks for clearing that up although it does then also mean that any meaningful back-testing is not possible. If you happen to be holding a large position on the last candle then the results will look terrible as you will suddenly have a big loser in the results whereas if you had no positions on the last candle then you get accurate results. This means that optimizing any variables to any accuracy is impossible.

  

  Vonasi

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  07/05/2018 at 4:24 PM #75368
  Nicolas

  Don’t include the current day in your backtest period to see what happens.

  

  Nicolas

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  07/05/2018 at 4:49 PM #75371
  Vonasi

  Nicolas wrote:

  Don’t include the current day in your backtest period to see what happens.

  That was my first thought and so I put the code within this condition:

  if opendate <> 20180705 then (my strategy) endif

  1 2 3

  if opendate <> 20180705 then (my strategy) endif

  …but it crashes out and asks me to send a report. I then noticed that the last candle on the chart is in fact 20180703. I changed the date but it was the same result.

  

  Vonasi

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  07/05/2018 at 5:05 PM #75376
  Nicolas

  I’m talking about this setting in ProBacktest:

  

  

  Nicolas

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  07/05/2018 at 5:11 PM #75381
  Vonasi

  Nicolas wrote:

  I’m talking about this setting in ProBacktest:

  Far too obvious and simple – but unfortunately it does not fix the problem – it just closes all trades a day earlier!

  

  Vonasi

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  07/05/2018 at 6:20 PM #75389
  Nicolas

  Ok, I know we discussed that before somewhere in the forums, but it was a long time ago.. and maybe in French.. I’ll try to dig into the forums tomorrow.

  

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  07/05/2018 at 6:38 PM #75391
  Vonasi

  Don’t waste too much time on it – it was just something that I observed that I thought was a bit odd.

  Using the end of day platform for MFT testing is more like a taster menu rather than a proper restaurant meal. Hopefully we will have the Michelin starred restaurant soon!

  I think most people will wait for it to become available on the proper PRT demo platform before getting properly involved in testing and coding with it. Today has been fun but also slightly frustrating due to the limitations of end of day testing.

  

  Vonasi

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  07/06/2018 at 10:33 AM #75442
  Nicolas

  Do you have real time Forex feed? on your EOD account?

  

  Nicolas

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  07/06/2018 at 12:34 PM #75469
  Vonasi

  Nicolas wrote:

  Do you have real time Forex feed? on your EOD account?

  No I don’t think so – I assume that is a pay option and I just wanted to try out MTF with no costs!

  

  Vonasi

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