Realtime trailing-stop not consistent to backtest

Paul · Thu, 16 May 2019 10:53:58 +0000

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 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?

This topic has 17 replies, 4 voices, and was last updated 4 years ago by stefou102.

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05/28/2019 at 7:04 PM #99622

Paul

nope don’t have that. Normal load times and then the trailing stop is correctly displayed.

I thought maybe some parts of the code is in the wrong place in your strategy or wrong underlaying value but that doesn’t seem to cause a backtest to load infinite.

Can you post an example of your code?

Paul
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05/28/2019 at 9:16 PM #99628

stefou102

ok no your code is not to blame, I think there is bug with the backtest engine. Will post it once I figure out what exact part of my code makes it fail

stefou102
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05/28/2019 at 10:04 PM #99634

stefou102

By the way, Did you already try to define your 3 trailing steps in fonction of the volatility? Something a bit stable like High-low of the day vs Average of the past High – low for exemple?

stefou102
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