Equity Curve shows Profit, Detailed Report shows a Loss
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- This topic has 5 replies, 2 voices, and was last updated 4 years ago by GraHal.
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10/04/2019 at 5:54 PM #109287
Hi
I get an Equity Curve that shows a Profit but the Detailed Report shows a Loss with this Ichimoku strategy below: Pls see image.
I was testing on the hourly £/$ between the 25th Jan 2018 and the 4th Oct 2019 with a 3.8 pip spread.
Any reason why?
Cheers
Bard190531 Ichomoku1234567891011121314151617181920212223242526272829303132333435363738394041424344Defparam CumulateOrders = false // Cumulating positions deactivated//Defparam flatafter = 164500//VARIABLESonce StartE = 070000 //start time for opening positionsonce StartL = 230000 //ending time for opening positions (only trading in the morning)once N = 1 // initieel aantal contractenOTD = Barindex - TradeIndex(5) > IntradayBarIndex // limits the (opening) trades till 1 per day//once Spread = 6 //total spread buy and sell, the actual price is always in between !once SL = round(close * 75/10000) //Setting Stop loss //Dynamic for indices // 100/10000 = 1%S = 8 //4M = 24 //12L = 48 //48// Ichimoku settingsTenkanSen = (highest[S](high)+lowest[S](low))/2 // default setting S = 9KijunSen = (highest[M](high)+lowest[M](low))/2 // default setting M = 26SenkouSpanA = (Tenkansen[M]+Kijunsen[M])/2 // default setting M = 26SenkouSpanB = (highest[L](High[M])+lowest[L](Low[M]))/2 //default setting L = 52KumoBorderLong = Max(SenkouSpanA, SenkouSpanB) //KumoBorderShort = Min(SenkouSpanA, SenkouSpanB) ////graph KumoBorderShortIf TenkanSen crosses over KijunSen then // base for counting bars when crossing takes placeCondLong = 1elseCondLong = 0endifIf TenkanSen crosses under KijunSen thenCondShort = 1elseCondShort = 0endif//graph cond1Lif time >= StartE And time <= StartL and OTD and not onmarket thenIF summation[2](CondLong) = 1 and summation[2](CondShort) = 0 and Close > KumoBorderLong then // Default summation[4]BUY N shares AT MARKETSET STOP ploss SLendifIF summation[2](CondLong) = 0 and summation[2](CondShort) = 1 and Close < KumoBorderShort THEN //SELLSHORT N shares AT MARKET //short sell conditieSET STOP pLOSS SLendifendif10/04/2019 at 6:38 PM #10929110/04/2019 at 6:52 PM #10929210/13/2019 at 10:29 PM #110064Hi @GraHal sorry for the delay getting back to you and thanks for taking a look at this. I can’t now seem to replicate it today. No idea what actually happened as normally the equity curve and detailed reports always match up!
I stripped out the time of day trades could take place and number of trades restrictions and optimised the s, m, and l values, leaving the Stop at 2.5% and still couldn’t get any great returns on 1 and 4 hourly but 9, 13, and 44 on a daily time frame at £10/tick produced 43% returns. with a 28% drawdown.
However I tried just optimising the stop loss only and leaving the default settings of 9, 26 and 52 and it worked okay: Optimised stop of 0.5% stop loss (Daily £/$, 25th Jan 2018 to 3rd Oct 2019). I think there are better Ichimoku strategies on this forum.
Ichimoku1234567891011121314151617181920212223242526272829303132333435363738394041Defparam CumulateOrders = false // Cumulating positions deactivatedCapital = 10000 + strategyprofit //Current profit made by the closed trades of the running strategy.N = 5*Capital / Closeonce SL = round(close * Stoploss/10000) //Setting Stop loss //Dynamic for indices // 100/10000 = 1%S = 9 //4M = 26 //12L = 52 //48// Ichimoku settingsTenkanSen = (highest[S](high)+lowest[S](low))/2 // default setting S = 9KijunSen = (highest[M](high)+lowest[M](low))/2 // default setting M = 26SenkouSpanA = (Tenkansen[M]+Kijunsen[M])/2 // default setting M = 26SenkouSpanB = (highest[L](High[M])+lowest[L](Low[M]))/2 //default setting L = 52KumoBorderLong = Max(SenkouSpanA, SenkouSpanB) //KumoBorderShort = Min(SenkouSpanA, SenkouSpanB) ////graph KumoBorderShortIf TenkanSen crosses over KijunSen then // base for counting bars when crossing takes placeCondLong = 1elseCondLong = 0endifIf TenkanSen crosses under KijunSen thenCondShort = 1elseCondShort = 0endifif not onmarket thenIF CondLong = 1 and CondShort = 0 and Close > KumoBorderLong then // Default summation[4]BUY N shares AT MARKETSET STOP ploss SLendifIF CondLong= 0 and CondShort = 1 and Close < KumoBorderShort THEN //SELLSHORT N shares AT MARKET //short sell conditieSET STOP pLOSS SLendifendif10/13/2019 at 10:33 PM #110065No idea what actually happened
Was it not what I offered in the post below … it seemed to fit exactly to what you were saying where the symptoms??
Yeah that Short is giving the profit, all other trades are losers??
10/13/2019 at 10:39 PM #110066as normally the equity curve and detailed reports always match up!
Only if there is no open trade.
The Detailed Report shows figures for closed trades only.
Equity Curve shows figures for closed trades AND any Open Trades.
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