STRATEGYPROFIT when cumulating= true
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- This topic has 23 replies, 5 voices, and was last updated 4 years ago by Finning.
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07/31/2018 at 10:58 PM #77226
Hello all,
STRATEGYPROFIT doesn’t seem to return the correct values when a system cumulates positions…is this a known issue?
Ta
08/01/2018 at 12:29 AM #77227It’s impossible to talk about something without having the full code and history.
I suggest that you add
1graph StrategyProfitin your strategy and then debug it, before entering and after exiting a trade, using the ProBackTest variable’s window.
08/01/2018 at 7:41 AM #7723408/01/2018 at 9:53 AM #77259Yes, it works fine for strategies that don’t cumulate orders, but for cumulating strategies, its not correct…
08/01/2018 at 10:01 AM #77262but for cumulating strategies, its not correct…
In what way not correct? I have never noticed any issues and most of my strategies accumulate positions.
08/01/2018 at 10:16 AM #77267when i graph strategyprofit for a non-cumulating strategy, it matches the equity curve perfectly, as you would expect. When I graph it for a cumulating strategy, it does not match the equity curve of the strategy…the graph rises and falls at the right points, but not by the right amounts
08/01/2018 at 10:22 AM #77271A picture paints a thousand words!
The equity curve will show all the draw downs while a graph of STRATEGYPROFIT won’t as it just shows the difference in overall profit at a candles close and will only change if positions are closed and the value altered.
08/01/2018 at 10:34 AM #7727408/01/2018 at 11:35 AM #77285yes i understand that. I’m saying that it seems that my graph updates the wrong totals when positions close when a strategy is cumulating orders…
08/01/2018 at 11:48 AM #77288A picture paints a thousand words! use something like ‘Lightshot’ to take a screen shot so we can see the differences.
Are you closing all of the positions at the same time with a SELL AT MARKET or using partial closure? If you have SET instructions for a stop loss or take profit with accumulating positions then it will be partial closure.
08/01/2018 at 12:01 PM #77292Im using SELL AT instructions to close… you can the strategyprofit rises and falls in the right places, but the totals are off… over this period the strategy lost -56, but the strategyprofit says +472
08/01/2018 at 1:09 PM #7730308/01/2018 at 1:11 PM #7730808/01/2018 at 1:33 PM #77311GRAPH is the last line…
When you say SET instructions, do you mean anything other than a SELL at MARKET? I do have defined stop losses in place (eg SELL AT breakevenLevel STOP), and you are right that these don’t seem to be included in strategy profit..well spotted..
Is there a way I can include them? strategyprofit isn’t much use without them…. its weird this only happens for cumulating strategies
08/01/2018 at 2:35 PM #77320STOP and LIMIT orders are the same as SET in the sense that they close a position mid candle and it seems this is not being included in the calculation so you may have discovered a bug with the new PRT engine. I would send a help request report into PRT via your platform and in the description direct them to this topic. You may also want to post in the Platform Support section a quick description of the problem and a link to here as PRT only monitor that section of the forums. Mention that you have sent a report or they will just ask you to send one!
I have had some issues with accumulating strategies recently – mainly the optimize results window showing all the same results when variable position size is used. PRT may have one or two bugs to iron out.
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