issue with trailing stop in backtests

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  • 02/17/2017 at 1:40 PM #25402 quote
    JL1640
    Blocked
    Average

    Set stop trailing does not respect the minimum distance (eg 4 points for index)

    That distance is severely present for ProOrder orders (which can cause automatic trading to crash with uncontrollable losses) and manual orders

    When I asked PRT if this distance was programmable for backtest they replied: “We confirm that the tick-by-tick backtests behave in the same way as the traditional backtest, which will not take into account the minimum distances stops since this parameter is directly managed by IG and is not fixed. “

    The backtest tick by tick (or not) does not behave in the same way as backtest, especially for trailing stops
    The spread managed by IG can be tuned in the backtest so there is no reason why the stop distance is not so

    So be careful the backtests are for this also still different from the reality IG which imposes minimum distances for the stops

    02/17/2017 at 2:31 PM #25404 quote
    Nicolas
    Keymaster
    Master

    Thanks but this is already your third post about the same thing. As I replied already in one of them and directly into various other threads that deal with this backtests behaviors, the trailing stop that IG servers are operating is not the same as how it is simulated in probacktest. This is currently being recoded by the PRT techies and it will be released in March as I heard from them. I’m hoping, just like you, that it will be more accurate to the real behavior of how IG deal with the ‘set trailing’ instruction.

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issue with trailing stop in backtests


ProOrder: Automated Strategies & Backtesting

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JL1640 @jl1640 Blocked
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This topic contains 1 reply,
has 2 voices, and was last updated by Nicolas
9 years ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/17/2017
Status: Active
Attachments: No files
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