Stop Loss when position is opened with more than one contract

• 07/22/2021 at 10:35 AM #173987
  DreaC

  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

   

   

  

  DreaC

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  07/22/2021 at 1:53 PM #173998
  robertogozzi

  How did you set your SL?

   

  

  robertogozzi

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  07/22/2021 at 2:14 PM #174004
  DreaC

  Stop loss 60

  

  DreaC

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  07/22/2021 at 3:13 PM #174005
  robertogozzi

  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.

   

  

  robertogozzi

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  07/22/2021 at 8:43 PM #174015
  DreaC

  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

  

  DreaC

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  07/22/2021 at 8:57 PM #174016
  robertogozzi

  Only checking the code while replicating trades may help finding out the reason.

   

  

  robertogozzi

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  07/23/2021 at 4:43 PM #174062
  DreaC

  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?

  

  DreaC

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  07/23/2021 at 5:24 PM #174065
  robertogozzi

  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

  1	SET STOP $LOSS X

  (the same for $PROFIT) where X is the money (just numbers, no currency symbol) you are willing to risk.

  

  robertogozzi

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