IMPORTANT : BIG BUG ON SPREAD !

zilliq · Sat, 01 Jan 2022 14:18:35 +0000

Hi Guys, First : Happy new year to all ! Second: I discover this morning a big bug who can concern you, notably if you do backtest on Forex The bug is on the spread You can try .. First : I do a backtest with a spread of 0 /no spread: I had 74,16 % winning trades, +3870 euros and so on Second : I do the same backtest with a spread of 0.9, classical on Forex, and I had the same results…74,16 % winning trades, +3870 Third: But now, just put the spread to 1 (0.1 more only), and now the results are catastrophic ! So, I think there is a big big bug on the plateform and the spread. If you put 0.5, 0.8, or 0.9, the plateform replace by 0 / no spread ! Of course it’s very important because if you have wonderful results on backtest and you put your algo on real you will never have the same results because the results on your backtest were the same as No spread and completely overestimated Hope it can help you, and hope PRT correct this big but who is present since many years I think, so strange noone detect it Bye Zilliq

This topic has 65 replies, 10 voices, and was last updated 2 years ago by zilliq.

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01/05/2022 at 5:08 PM #184653

zilliq

PeterSt wrote:

// Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Conditions pour ouvrir une position acheteuse indicator1 = SuperTrend[3,10] c1 = (close > indicator1) indicator2 = MACD[9,18,3](close) c2 = (indicator2 CROSSES OVER 0) IF c1 AND c2 THEN BUY 1 SHARES AT MARKET ENDIF // Conditions pour ouvrir une position en vente à découvert indicator3 = SuperTrend[3,10] c3 = (close < indicator3) indicator4 = MACD[9,18,3](close) c4 = (indicator4 CROSSES UNDER 0) IF c3 AND c4 THEN SELLSHORT 1 SHARES AT MARKET ENDIF SET STOP pLOSS 3 SET TARGET pPROFIT 2

EUR/USD 1 s with the same code

No spread and spread=0.9

Same number of trades 2752 and same gain 6720

zilliq

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01/05/2022 at 5:41 PM #184657

PeterSt

Your pProfit code (2nd example). 1 second.
Notice that this trade starts flat after the first candle. This allows you to see the spread in PositionPerf.
Also notice that I grab the profit (PositionPerf) after this first (flat) bar. This is the yellow line (white is 0 profit).

How many more examples do you need ?** I can’t make more of the same because I am out of ideas to explain it.

**): If I say that ghosts exist and make a photo of one, you should admit that they exist (I did not fake). If you say that ghosts don’t exist and don’t provide a photo because you could not find a ghost, you prove nothing. But I did … And you just don’t know where to find the ghosts. You could learn how to do it, though.
:-))

PeterSt

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01/05/2022 at 5:51 PM #184662

zilliq

I will test it.

But as you see on my trials, same number of trade, same gain, whatever the spread, you see it’s not normal

Or how can you explain it, because it’s not normal

zilliq

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01/05/2022 at 6:13 PM #184664

PeterSt

zilliq wrote:

Or how can you explain it, because it’s not normal

I can explain it by your code which is incorrect in the first place. Try this adapted version (EUR/USD set number of units to 10K (1 second) for some profit :

// Définition des paramètres du code
DEFPARAM CumulateOrders = False // Cumul des positions désactivé

// Conditions pour ouvrir une position acheteuse
indicator1 = SuperTrend[3,10]
c1 = (close > indicator1)
indicator2 = MACD[9,18,3](close)
c2 = (indicator2 CROSSES OVER 0)
if not onmarket then

  IF c1 AND c2 THEN
    BUY 1 SHARES AT MARKET
  ENDIF

endif

// Conditions pour ouvrir une position en vente à découvert
indicator3 = SuperTrend[3,10]
c3 = (close < indicator3)
indicator4 = MACD[9,18,3](close)
c4 = (indicator4 CROSSES UNDER 0)

if not onmarket then
  IF c3 AND c4 THEN
    SELLSHORT 1 SHARES AT MARKET
  ENDIF
endif

SET STOP $loss 10000

SET TARGET pPROFIT 2

Graph 0
Graph PositionPerf coloured (220,200,0)

// Définition des paramètres du code

DEFPARAM CumulateOrders = False // Cumul des positions désactivé

// Conditions pour ouvrir une position acheteuse

indicator1 = SuperTrend[3,10]

c1 = (close > indicator1)

indicator2 = MACD[9,18,3](close)

c2 = (indicator2 CROSSES OVER 0)

if not onmarket then

IF c1 AND c2 THEN

BUY 1 SHARES AT MARKET

ENDIF

endif

// Conditions pour ouvrir une position en vente à découvert

indicator3 = SuperTrend[3,10]

c3 = (close < indicator3)

indicator4 = MACD[9,18,3](close)

c4 = (indicator4 CROSSES UNDER 0)

if not onmarket then

IF c3 AND c4 THEN

SELLSHORT 1 SHARES AT MARKET

ENDIF

endif

SET STOP $loss 10000

SET TARGET pPROFIT 2

Graph 0

Graph PositionPerf coloured (220,200,0)

You can try all sorts of spreads (even 4 still makes profit but keep in touch with the drawdown) and most will give a different result. Those who don’t should be explained by yourself (it is 100% normal and depends on trade lengths and what not). The difference with jumping remains (rounding).
Attached is for 0,8 and you can try it yourself. Do notice that I start somewhere in time which in my case is somewhere before 12:35 today (implied by the 10K units of 1 sec). See attachment 2.
Attachment 3 is your bonus because you can see it makes exactly the same profit per trade (I promised that in my one-but last post – this is because you SET the profit to be 2) BUT there are quite some more trades. And surprise … the spread is now 1,2 instead of 0,8. Not a bug, just something to understand.
More bonus in the last attachment, where I set the pProfit to 4. double the profit ! … well, almost, because it is only per trade and the trades take longer now, thus less trades in the same time span. Still one trade more with profit ($400 total). Easy money !

haha
Good luck now. I hope it helps and is more clear now. Don’t let people steal this strategy. 🙂

PeterSt

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01/05/2022 at 6:14 PM #184669

zilliq

I’m sorry, I can’t explain more

new trial EUR/USD 1 s 10 USD/pip

Positionperf below

As you see, even with a spread of 0.9

One lose : Gain reduce by 10 USD only and 2 wins 2*10 USD

I do the same trial without spread and obtain the same result

// Définition des paramètres du code
DEFPARAM CumulateOrders = False // Cumul des positions désactivé

once dep=1
// Conditions pour ouvrir une position acheteuse
indicator1 = SuperTrend[3,10]
c1 = (close > indicator1)
indicator2 = MACD[9,18,3](close)
c2 = (indicator2 CROSSES OVER 0)

IF c1 AND c2 and dep=1 THEN
BUY 1 SHARES AT MARKET
ENDIF

// Conditions pour ouvrir une position en vente à découvert
indicator3 = SuperTrend[3,10]
c3 = (close < indicator3)
indicator4 = MACD[9,18,3](close)

c4 = (indicator4 CROSSES UNDER 0)

IF c3 AND c4 and dep=1 THEN
SELLSHORT 1 SHARES AT MARKET
ENDIF

SET STOP pLOSS 1

SET TARGET pPROFIT 3

if not onmarket and onmarket[1] then
dep=0
endif

graph positionperf
graph 0

zilliq

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Topics: 58

Replies: 683

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01/05/2022 at 6:29 PM #184671

zilliq

PeterSt wrote:

zilliq wrote:

Or how can you explain it, because it’s not normal

I can explain it by your code which is incorrect in the first place. Try this adapted version (EUR/USD set number of units to 10K (1 second) for some profit :

// Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Conditions pour ouvrir une position acheteuse indicator1 = SuperTrend[3,10] c1 = (close > indicator1) indicator2 = MACD[9,18,3](close) c2 = (indicator2 CROSSES OVER 0) if not onmarket then IF c1 AND c2 THEN BUY 1 SHARES AT MARKET ENDIF endif // Conditions pour ouvrir une position en vente à découvert indicator3 = SuperTrend[3,10] c3 = (close < indicator3) indicator4 = MACD[9,18,3](close) c4 = (indicator4 CROSSES UNDER 0) if not onmarket then IF c3 AND c4 THEN SELLSHORT 1 SHARES AT MARKET ENDIF endif SET STOP $loss 10000 SET TARGET pPROFIT 2 Graph 0 Graph PositionPerf coloured (220,200,0)

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// Définition des paramètres du code

DEFPARAM CumulateOrders = False // Cumul des positions désactivé

// Conditions pour ouvrir une position acheteuse

indicator1 = SuperTrend[3,10]

c1 = (close > indicator1)

indicator2 = MACD[9,18,3](close)

c2 = (indicator2 CROSSES OVER 0)

if not onmarket then

IF c1 AND c2 THEN

BUY 1 SHARES AT MARKET

ENDIF

endif

// Conditions pour ouvrir une position en vente à découvert

indicator3 = SuperTrend[3,10]

c3 = (close < indicator3)

indicator4 = MACD[9,18,3](close)

c4 = (indicator4 CROSSES UNDER 0)

if not onmarket then

IF c3 AND c4 THEN

SELLSHORT 1 SHARES AT MARKET

ENDIF

endif

SET STOP $loss 10000

SET TARGET pPROFIT 2

Graph 0

Graph PositionPerf coloured (220,200,0)

You can try all sorts of spreads (even 4 still makes profit but keep in touch with the drawdown) and most will give a different result. Those who don’t should be explained by yourself (it is 100% normal and depends on trade lengths and what not). The difference with jumping remains (rounding).

Attached is for 0,8 and you can try it yourself. Do notice that I start somewhere in time which in my case is somewhere before 12:35 today (implied by the 10K units of 1 sec). See attachment 2.

Attachment 3 is your bonus because you can see it makes exactly the same profit per trade (I promised that in my one-but last post – this is because you SET the profit to be 2) BUT there are quite some more trades. And surprise … the spread is now 1,2 instead of 0,8. Not a bug, just something to understand.

More bonus in the last attachment, where I set the pProfit to 4. double the profit ! … well, almost, because it is only per trade and the trades take longer now, thus less trades in the same time span. Still one trade more with profit ($400 total). Easy money !

haha

Good luck now. I hope it helps and is more clear now. Don’t let people steal this strategy. 🙂

I use exactly the same code as you post

Same gain, same number of trades, same graph, with a spread of 0 or 0.9. For you it’s normal ?

EUR/USD 1 s

zilliq

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Topics: 58

Replies: 683

Been thanked: 152 times

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