PRT Backtest results

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06/23/2016 at 1:00 PM #9746 quote

davidp13
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Hi all,

I have noticed a change in the backtest results of a few of my systems. Is anything wrong with PRT backtest results that anyone know of?

Thanks

06/23/2016 at 1:16 PM #9748 quote

Big Hug
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You might want to check the start time of each back test that you run.

Modify Pro BackTest

Then in the new window on the right hand side “Time Period”

06/23/2016 at 4:58 PM #9761 quote

davidp13
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Hmm thanks, but that is not the issue.

The DD and DD% on the backtest results look suspicious. If I export all my trades into excel and calculate the Max DD then i get a way different value leading me to believe something is wrong.

Anyone else pick this up?

06/23/2016 at 9:15 PM #9780 quote

Big Hug
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I’m wondering –

I think PRT calculate the DD from the top of the equity curve – not just a single trade.

Just a thought…….

06/24/2016 at 12:25 PM #9793 quote

davidp13
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and the problem is demo vs. life…

06/24/2016 at 3:22 PM #9805 quote

Nicolas
Keymaster

Master

Spread and overnight fees maybe?

06/24/2016 at 6:10 PM #9818 quote

davidp13
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Nope, 100% demo vs. live account

06/24/2016 at 6:40 PM #9819 quote

Nicolas
Keymaster

Master

What difference do you spot exactly between your own calculations and Probacktest? Do the difference came up recently?

06/25/2016 at 6:48 AM #9827 quote

davidp13
Participant

Average

[attachment file=”RightDD.png”]
[attachment file=9828]

you can see the massive difference between the two. The black image is from the demo account and it all started when they introduced the new launch method for PRT. So basically not using the JAVA aplet anymore. This is on IG though.

WrongDD.png

06/25/2016 at 6:49 AM #9830 quote

davidp13
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[attachment file=9831]

RightDD.png

06/25/2016 at 9:28 AM #9834 quote

Nicolas
Keymaster

Master

I see in the white screenshot that for the same ZAR gain, the percentage result is double compared to the same amount in the black screenshot. Is the initial balance the same in the 2 backtests?

06/25/2016 at 9:51 AM #9835 quote

davidp13
Participant

Average

exactly the same. the issue is between demo vs live PRT. not the same at all

06/25/2016 at 10:01 AM #9836 quote

Nicolas
Keymaster

Master

It’s not only about dd% then.. Gain percentage is also different. I do not have any other explanation right now. I’ll try to get information by Monday, have a great weekend in the meantime.

06/26/2016 at 6:28 AM #9847 quote

grizzly
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What instrument is this on?

06/26/2016 at 7:02 AM #9851 quote

davidp13
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SA40
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