Realtime trailing-stop not consistent to backtest

• 05/16/2019 at 11:53 AM #98603
  Paul

  The trailing stop I use is not consistent in real trading. I can’t figure out the reason, because sometimes it is and sometimes it isn’t! The backtest shows it correct.

  The cause is the trailing stop and there’s no profit-target.

  The question is, why is it selling at 0.35% sharp while that’s the level the trailing-stop should kick in? It works beautifully in the backtest, but it has to work realtime the same, all the time!

  The “underlaying” only purpose is to make this code adjustable for other markets.

  On 13 and 14th it worked correctly.

  In the screenshots there are 2 different strategies and both executed at the same time or about.

  once enablets = 1 // trailing stop once displayts = 1 // trailing stop ts1=0.35 ts2=0.30 ts3=0.20 switch =ts3+ts2 switch2=ts2+ts1 underlaying=100

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  once enablets = 1 // trailing stop once displayts = 1 // trailing stop   ts1=0.35 ts2=0.30 ts3=0.20   switch =ts3+ts2 switch2=ts2+ts1   underlaying=100

   

  if enablets then if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3 endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice1=0 minprice1=close priceexit1=0 maxprice2=0 minprice2=close priceexit2=0 maxprice3=0 minprice3=close priceexit3=0 a1=0 a2=0 a3=0 pp=0 endif if longonmarket then pp=((close/tradeprice(1))-1)*100 if pp>=ts1 then a1=1 endif if pp>=switch then a2=1 endif if pp>=switch2 then a3=1 endif elsif shortonmarket then pp=((close/tradeprice(1))-1)*-100 if pp>=ts1 then a1=1 endif if pp>=switch then a2=1 endif if pp>=switch2 then a3=1 endif endif //first leg long if longonmarket then maxprice1=max(maxprice1,close) if a1 then if maxprice1-tradeprice(1)>=(trailingstop1) then priceexit1=maxprice1-(trailingstop1/(underlaying/100))*pointsize endif endif endif //first leg short if shortonmarket then minprice1=min(minprice1,close) if a1 then if tradeprice(1)-minprice1>=(trailingstop1) then priceexit1=minprice1+(trailingstop1/(underlaying/100))*pointsize endif endif endif //2nd leg long if longonmarket then maxprice2=max(maxprice2,high) if a2 then if maxprice2-tradeprice(1)>=(trailingstop2) then priceexit2=maxprice2-(trailingstop2/(underlaying/100))*pointsize endif endif endif //2nd leg short if shortonmarket then minprice2=min(minprice2,low) if a2 then if tradeprice(1)-minprice2>=(trailingstop2) then priceexit2=minprice2+(trailingstop2/(underlaying/100))*pointsize endif endif endif //3rd leg long if longonmarket then maxprice3=max(maxprice3,high) if a3 then if maxprice3-tradeprice(1)>=(trailingstop3) then priceexit3=maxprice3-(trailingstop3/(underlaying/100))*pointsize endif endif endif //3rd leg short if shortonmarket then minprice3=min(minprice3,low) if a3 then if tradeprice(1)-minprice3>=(trailingstop3) then priceexit3=minprice3+(trailingstop3/(underlaying/100))*pointsize endif endif endif //first leg exit if longonmarket and priceexit1>0then sell at priceexit1 stop endif if shortonmarket and priceexit1>0then exitshort at priceexit1 stop endif //2nd leg exit if longonmarket and priceexit2>0then sell at priceexit2 stop endif if shortonmarket and priceexit2>0 then exitshort at priceexit2 stop endif //3rd leg exit if longonmarket and priceexit3>0then sell at priceexit3 stop endif if shortonmarket and priceexit3>0 then exitshort at priceexit3 stop endif if displayts then graphonprice priceexit1 coloured(0,0,255,255) as "trailingstop1" graphonprice priceexit2 coloured(0,0,255,255) as "trailingstop2" graphonprice priceexit3 coloured(0,0,255,255) as "trailingstop3" endif endif

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  if enablets then   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3 endif   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice1=0 minprice1=close priceexit1=0   maxprice2=0 minprice2=close priceexit2=0   maxprice3=0 minprice3=close priceexit3=0   a1=0 a2=0 a3=0   pp=0 endif   if longonmarket then pp=((close/tradeprice(1))-1)*100 if pp>=ts1 then a1=1 endif if pp>=switch then a2=1 endif if pp>=switch2 then a3=1 endif elsif shortonmarket then pp=((close/tradeprice(1))-1)*-100 if pp>=ts1 then a1=1 endif if pp>=switch then a2=1 endif if pp>=switch2 then a3=1 endif endif   //first leg long if longonmarket then maxprice1=max(maxprice1,close) if a1 then if maxprice1-tradeprice(1)>=(trailingstop1) then priceexit1=maxprice1-(trailingstop1/(underlaying/100))*pointsize endif endif endif //first leg short if shortonmarket then minprice1=min(minprice1,close) if a1 then if tradeprice(1)-minprice1>=(trailingstop1) then priceexit1=minprice1+(trailingstop1/(underlaying/100))*pointsize endif endif endif   //2nd leg long if longonmarket then maxprice2=max(maxprice2,high) if a2 then if maxprice2-tradeprice(1)>=(trailingstop2) then priceexit2=maxprice2-(trailingstop2/(underlaying/100))*pointsize endif endif endif //2nd leg short if shortonmarket then minprice2=min(minprice2,low) if a2 then if tradeprice(1)-minprice2>=(trailingstop2) then priceexit2=minprice2+(trailingstop2/(underlaying/100))*pointsize endif endif endif   //3rd leg long if longonmarket then maxprice3=max(maxprice3,high) if a3 then if maxprice3-tradeprice(1)>=(trailingstop3) then priceexit3=maxprice3-(trailingstop3/(underlaying/100))*pointsize endif endif endif //3rd leg short if shortonmarket then minprice3=min(minprice3,low) if a3 then if tradeprice(1)-minprice3>=(trailingstop3) then priceexit3=minprice3+(trailingstop3/(underlaying/100))*pointsize endif endif endif   //first leg exit if longonmarket and priceexit1>0then sell at priceexit1 stop endif if shortonmarket and priceexit1>0then exitshort at priceexit1 stop endif   //2nd leg exit if longonmarket and priceexit2>0then sell at priceexit2 stop endif if shortonmarket and priceexit2>0 then exitshort at priceexit2 stop endif   //3rd leg exit if longonmarket and priceexit3>0then sell at priceexit3 stop endif if shortonmarket and priceexit3>0 then exitshort at priceexit3 stop endif   if displayts then graphonprice priceexit1 coloured(0,0,255,255) as "trailingstop1" graphonprice priceexit2 coloured(0,0,255,255) as "trailingstop2" graphonprice priceexit3 coloured(0,0,255,255) as "trailingstop3" endif endif

   

  Any idea’s?

  wait… could the cause be there’s no space between > 0 and then?

  priceexit1>0then

  that the backtest still works correctly, but realtime doesn’t?

  

  Paul

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  05/16/2019 at 12:17 PM #98608
  GraHal

  Paul wrote:

  priceexit1>0then

  Whenever I make that error (??then with no space) PRT flags up a syntax error message when I try to run backtest.

  Also an ! box shows in the left hand margin next to the line with the error?

  EDIT / PS

  Ha … strangely I don’t get a syntax error or the ! box … I just tried your code above on my platform.

  

  GraHal

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  05/16/2019 at 12:27 PM #98614
  GraHal

  Deleted, sorry

  

  GraHal

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  05/16/2019 at 12:43 PM #98616
  Paul

  find & replace …same here! That’s strange indeed! and no error in backtest or setting it up live.

   

  Most likely that’s the cause and at the moment i’am just a bit annoyed with myself for letting that happen! An error notice would’ve been nice in the backtest.

  Strangly I can look so many times to a code and then only to notice it when posting here 🙂

   

  

  Paul

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  05/16/2019 at 12:50 PM #98618
  GraHal

  Paul wrote:

  Strangly I can look so many times to a code and then only to notice it when posting here

  Yeah same here … for me it is partly because the code appears with much more clarity / contrast on the PRC webpage and I always feel like I have catteracts / cloudy vision on the PRT coding window.

  All these failings will be sorted in version 11 ! ??

  

  GraHal

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  05/16/2019 at 12:58 PM #98619
  Paul

  haha spot on & well said! I hope so in V11.

  

  Paul

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  05/17/2019 at 8:02 AM #98692
  Nicolas

  Coding issues topic should not be placed in the ProRealTime support forum, but in each independent forum depending of the subject: ProBuilder, ProBacktest or ProScreener. Thanks in advance 😉

  

  Nicolas

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  05/21/2019 at 11:30 AM #98986
  Paul

  fixed the issue above, but again realtime is not consistent with the backtest for the trailing stop!

  2 positions, different strategies about same time/level entry.

  One strategy get’s out at the wrong level, but both have same trailing-stop.

   

  In the backtest I have the same wrong result as realtime when I set settings to show only 25 units (everything lower than 10000 units ).

  Only from 10000 bars or higher it shows the trailing-stop as intended.

  Both strategy’s have

  defparam preloadbars = 10000

  1	defparam preloadbars = 10000

   

  Could it be that I’ve to increase that level?

   

  

  Paul

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  05/21/2019 at 11:34 AM #98988
  Paul

  pic compare; show units in backtest less than 10000 and bigger.

  

  Paul

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  05/21/2019 at 12:27 PM #98999
  Nicolas

  Position prices in backtests are always set at the exact price you are calculating the entries and exit, while in real time that prices could differ due to spread and slippage (with many different cause of slippage).

  

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  05/21/2019 at 12:45 PM #99005
  Paul

  yeah though the market continued to go up after 0.35% gain but it sold at 0.35% give or take (because of slippage/positionprice/spread).

  I reworked the trailing stop a bit (same results in backtest), set the preloadbars to 50000 and post back after live results.

   

  // trailing stop once enablets = 1 // trailing stop once displayts = 1 // trailing stop ts1=0.35 ts2=0.30 ts3=0.20 switch =ts2+ts3 switch2=ts1+ts2 underlaying=100 // underlaying security / index / forex // profittargets and stoploss have to match the lines // not to be optimized // 0.01 forex [i.e. gbpusd=0.01] // 1.00 securities [i.e. aapl=1 ; // 100.00 indexes [i.e. dax=100] // 100=xauusd // 100=cl us crude if enablets then if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3 endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice1=0 minprice1=close priceexit1=0 maxprice2=0 minprice2=close priceexit2=0 maxprice3=0 minprice3=close priceexit3=0 a1=0 a2=0 a3=0 pp=0 endif if onmarket then pp=(positionperf*100) if pp>=ts1 then a1=1 endif if pp>=switch then a2=1 endif if pp>=switch2 then a3=1 endif endif // setup long if longonmarket then maxprice1=max(maxprice1,close) maxprice2=max(maxprice2,high) maxprice3=max(maxprice3,high) if a1 then if maxprice1-tradeprice(1)>=(trailingstop1) then priceexit1=maxprice1-(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if maxprice2-tradeprice(1)>=(trailingstop2) then priceexit2=maxprice2-(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if maxprice3-tradeprice(1)>=(trailingstop3) then priceexit3=maxprice3-(trailingstop3/(underlaying/100))*pointsize endif endif endif // setup short if shortonmarket then minprice1=min(minprice1,close) minprice2=min(minprice2,low) minprice3=min(minprice3,low) if a1 then if tradeprice(1)-minprice1>=(trailingstop1) then priceexit1=minprice1+(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if tradeprice(1)-minprice2>=(trailingstop2) then priceexit2=minprice2+(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if tradeprice(1)-minprice3>=(trailingstop3) then priceexit3=minprice3+(trailingstop3/(underlaying/100))*pointsize endif endif endif // exit long if longonmarket then if priceexit1>0 then sell at priceexit1 stop endif if priceexit2>0 then sell at priceexit2 stop endif if priceexit3>0 then sell at priceexit3 stop endif endif // exit short if shortonmarket then if priceexit1>0 then exitshort at priceexit1 stop endif if priceexit2>0 then exitshort at priceexit2 stop endif if priceexit3>0 then exitshort at priceexit3 stop endif endif if displayts then graphonprice priceexit1 coloured(0,0,255,255) as "trailingstop1" graphonprice priceexit2 coloured(0,0,255,255) as "trailingstop2" graphonprice priceexit3 coloured(0,0,255,255) as "trailingstop3" endif endif

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  // trailing stop once enablets  = 1 // trailing stop once displayts = 1 // trailing stop   ts1=0.35 ts2=0.30 ts3=0.20   switch =ts2+ts3 switch2=ts1+ts2   underlaying=100   // underlaying security / index / forex // profittargets and stoploss have to match the lines // not to be optimized // 0.01 forex [i.e. gbpusd=0.01] // 1.00 securities [i.e. aapl=1 ; // 100.00 indexes [i.e. dax=100] // 100=xauusd // 100=cl us crude     if enablets then   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3 endif   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice1=0 minprice1=close priceexit1=0   maxprice2=0 minprice2=close priceexit2=0   maxprice3=0 minprice3=close priceexit3=0   a1=0 a2=0 a3=0   pp=0 endif   if onmarket then pp=(positionperf*100) if pp>=ts1 then a1=1 endif if pp>=switch then a2=1 endif if pp>=switch2 then a3=1 endif endif   // setup long if longonmarket then maxprice1=max(maxprice1,close) maxprice2=max(maxprice2,high) maxprice3=max(maxprice3,high) if a1 then if maxprice1-tradeprice(1)>=(trailingstop1) then priceexit1=maxprice1-(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if maxprice2-tradeprice(1)>=(trailingstop2) then priceexit2=maxprice2-(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if maxprice3-tradeprice(1)>=(trailingstop3) then priceexit3=maxprice3-(trailingstop3/(underlaying/100))*pointsize endif endif endif   // setup short if shortonmarket then minprice1=min(minprice1,close) minprice2=min(minprice2,low) minprice3=min(minprice3,low) if a1 then if tradeprice(1)-minprice1>=(trailingstop1) then priceexit1=minprice1+(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if tradeprice(1)-minprice2>=(trailingstop2) then priceexit2=minprice2+(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if tradeprice(1)-minprice3>=(trailingstop3) then priceexit3=minprice3+(trailingstop3/(underlaying/100))*pointsize endif endif endif   // exit long if longonmarket then if priceexit1>0 then sell at priceexit1 stop endif if priceexit2>0 then sell at priceexit2 stop endif if priceexit3>0 then sell at priceexit3 stop endif endif   // exit short if shortonmarket then if priceexit1>0 then exitshort at priceexit1 stop endif if priceexit2>0 then exitshort at priceexit2 stop endif if priceexit3>0 then exitshort at priceexit3 stop endif endif   if displayts then graphonprice priceexit1 coloured(0,0,255,255) as "trailingstop1" graphonprice priceexit2 coloured(0,0,255,255) as "trailingstop2" graphonprice priceexit3 coloured(0,0,255,255) as "trailingstop3" endif endif

   

  

  Paul

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  05/22/2019 at 1:19 PM #99159
  Paul

  Happend again and I don’t know how to fix. Backtest does it correct, live-trading does not.

  Running two separate strategies version v1 and v2 which are identical besides exit-times on Friday and trailing-stop.

  adjusted preloadbars to 50000.

  v1 uses trailing-top 0.35% then 0.25% then 0.20% (switch to lower trailing-stop when gain > 0.45% and again when gain > 0.55%)

  v2 uses trailing-top 0.40% then 0.30%  then 0.20% (switch to lower trailing-stop when gain > 0.55% and again when gain > 0.60%)

   

  I adjusted the entry-price in the backtest to match the price in live trading so the real trade performance is correct.

  v1 exits when position-performance > 0.35% (time 11.26) and is sold at the close of next bar at time 11.27

  v2 exits when position-performance > 0.40% (time 11.26) and is sold at the close of next bar at time 11.27 (this version had positive slippage that’s why it reached 0.40% at the same time as v1)

   

  So one thing for sure. It’s directly related to the trailing stop.

  Is this a coding issue or is IG handeling of the stops incorrect? Because I can’t see the reason why it exits immediately when the first performance gains criteria are reached!

  

  Paul

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  05/24/2019 at 11:57 AM #99352
  Paul

  Seems to be solved after making small adjustments.

  I guess that when only the first trade in any backtest is wrong, then live trading is not reliable.

  The problem was not with IG handeling of the stops, but the code.

   

  

  Paul

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  05/28/2019 at 5:51 PM #99616
  Paul

  Here’s the correction I made.

  if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3 endif

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  if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3 endif

  is replaced by (or changed back to the original)

  trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3

  1 2 3

  trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3

  The difference in the backtest is the handling of the first trade but only when that trade uses a trailing-stop!

  The error became visible in live trading,  the trade didn’t activate the proper trailing-stop but exited on the level the trailing-stop should start.

  Besides this, it was missing some pointsize reference as below

  if maxprice1-tradeprice(1)>=(trailingstop1)*pointsize then priceexit1=maxprice1-(trailingstop1/(underlaying/100))*pointsize endif endif

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  if maxprice1-tradeprice(1)>=(trailingstop1)*pointsize then priceexit1=maxprice1-(trailingstop1/(underlaying/100))*pointsize endif endif

  Hopefully it’s all good from now.

  

  Paul

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  05/28/2019 at 6:28 PM #99618
  stefou102

  Thx Paul for the update. I already tried to test your code with some of my strategies but each time I tried, the backtest load time is infinite. Don’t you have the same issue?

  

  stefou102

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