Stop Loss when position is opened with more than one contract

DreaC · 2021-07-22T09:35:48+00:00

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

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07/22/2021 at 10:35 AM #173987 quote
DreaC
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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
07/22/2021 at 1:53 PM #173998 quote

robertogozzi
Moderator

Legend

How did you set your SL?

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

DreaC
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Stop loss 60

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

robertogozzi
Moderator

Legend

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.

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

DreaC
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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

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

robertogozzi
Moderator

Legend

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

07/23/2021 at 4:43 PM #174062 quote
DreaC
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Average
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?
07/23/2021 at 5:24 PM #174065 quote
robertogozzi
Moderator

Legend
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.
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Stop Loss when position is opened with more than one contract

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This topic contains 7 replies,
has 2 voices, and was last updated by robertogozzi
5 years, 2 months ago.

Topic Details

Forum:	ProBuilder: Indicators & Custom Tools
Language:	English
Started:	07/22/2021
Status:	Active
Attachments:	No files