Hi everyone,
Have programmed a system that I have backtested and that is now running via ProOrder Automatic Trading. The backtest results are different from the Automatic Trading results. One difference I noted was the behaviour of the Stop Loss in backtesting and automatic trading. When I define a stop loss of 60 points and I enter a position with 2 contracts then the behaviour is as follows:
- in backtestesting the position is closed when a loss of 120 points is reached
- in automatic trading the position is closed when a loss of 30 points is reached
Is this an error in the backtesting software or am I doing something wrong?
Best regards,
Dré
If you are using your strategy with indices (Dax, SP, etc…) where Price-to-Pips ratio is 1:1 , then it’s fine and you shouldn’t have those differences.
If you use it with other instruments with a different ratio, say FX pairs, where it’s usually 1:10000, 60 would be a price difference of 60.12345, which can be fine (well… a bit too large) for Eur/Jpy, but it would be impossible to reach with Eur/Usd.
You should use ploss 60, instead. “p” stands for Pips.
Thank you Roberto for your reply.
I am using it on DOW. But the product I am using is of no importance. The results should be the same for backtesting and for automatic trading
Only checking the code while replicating trades may help finding out the reason.
When I define a stop loss of 60 points and I enter a position with 2 contracts then the behaviour is as follows:
- in backtestesting the position is closed when a loss of 120 points is reached
- in automatic trading the position is closed when a loss of 30 points is reached
What should be the right behaviour?
The SL is set for the whole position, it’s 60 pips, no matter how many contracts.
It’s the number of contracts that work as a multiplier, 1 contract will lose 60 pips, the other contract will loose another 60 pips, but the number of pips cannot change!
You should revert to:
SET STOP $LOSS X
(the same for $PROFIT) where X is the money (just numbers, no currency symbol) you are willing to risk.
