Known differences between PRT LIVE and PRT DEMO

VN · Thu, 26 Mar 2020 00:24:43 +0000

Hi all, there are quite a number of people raising queries on discrepancies they are seeing in backtesting results between a strategy being backtested under the demo prt platform and the same strategy backtested on the live prt platform for the same time period. From what I have gathered there seems to be a number of reasons: 1) difference between the bid/offer spread between the two platforms. demo runs on a fixed spread but live uses the spread as it is published by the broker which can fluctuate throughout the day 2) I use a multi time frame function in my strategy and apparently there is a difference in the MTF engine between Live and Demo which can produce different results I would be very grateful if someone experienced enough on this topic can summarise clearly what the main differences are so that people know what to expect when they switch between the two environments.

This topic has 35 replies, 7 voices, and was last updated 4 years ago by VN.

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03/28/2020 at 5:36 PM #123739

GraHal

VN wrote:

AutoTrade has nn open position running

I guess you meant no open position (not nn) open position? So the position got closed within the 13:06 bar by a Stop or Limit Order? I guess all this is happening on a 1 min TF?

Are you able to test out your theory about the 6th Indicator (False on backtest, but True on AutoTrade) by having only that Indicator running in a Strategy?

No worries about results, ideally with settings to get plenty of trades … just a test case to isolate the problem Indicator?

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03/28/2020 at 6:39 PM #123746

VN

GraHal wrote:

VN wrote:

AutoTrade has nn open position running

I guess you meant no open position (not nn) open position? So the position got closed within the 13:06 bar by a Stop or Limit Order? I guess all this is happening on a 1 min TF? No, that was a typo, that should say “an open position”. The position got closed at the end of 13:09 bar and done so correctly..

Are you able to test out your theory about the 6th Indicator (False on backtest, but True on AutoTrade) by having only that Indicator running in a Strategy? That is a plausable test, but if the difference is due to an indicator close discrepancy as i think it could be then there is no guarantee the market will line up in the same setup again in the future so as to produce such a difference. If it happened once it is plausable it could happen again perhaps..

VN
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03/28/2020 at 6:46 PM #123748

GraHal

VN wrote:

If it happened once it is plausable it could happen again perhaps..

Yes it is worth knowing if it is a recurrent / repeated phenomena … as then there should be more interest (from PRT) in getting to the source of the Issue?

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03/28/2020 at 6:59 PM #123749

VN

A PRT developer should be able to answer the question I posed in post #123665 that i made. They would know how the AutoTrade engine is configured versus backtest mode and understanding this is absolute key for this query. Is this forum website not monitored by anyone from PRT development do you know?

VN
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03/29/2020 at 11:09 AM #123784

Vonasi

PRT does not monitor this forum. They do monitor the ‘Platform Support’ forum however.

I do not think that they would be able to easily answer the question in your previous post without much more information.

You say that you cannot use GRAPH in a live strategy which is true but this does not stop you from creating a stand alone indicator that you leave running live alongside your strategy. This indicator can have all the indicators and conditions to exactly simulate those in your strategy. You can perhaps set it to return a 1 or a zero for each condition so that when you see a missed trade you can see which conditions were missed and then at least narrow it down to an issue with a particular indicator or condition. If you use MTF in your strategy then you will have to keep charts of each time frame open with individual indicators on each of those charts depending on which indicators are used on which charts. Bare in mind that with an indicator it is the value one candle back that you are interested in as this is the decision candle with trades being opened on the next candle open.

Also bare in mind that it is possible with some indicators to get different results due simply to the bar that you first start them on.

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Vonasi
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03/30/2020 at 11:28 AM #123916

VN

yes I agree given the limitations the only way is to hopefully get some clarity is to run a reduced version of the strategy with less indicators at a time and see if that gives more information..

VN
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Known differences between PRT LIVE and PRT DEMO

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