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Trailing stop in Backtesting

klaus · 2016-05-06T11:52:42+00:00

Dear all, I wrote a system which behaves completely different in Backtesting and Proorder. I think it’s due to the fact of using trailing stop. Does somebody know when a trailing stop is executed in backtesting? to my knowledge in ProOrder it is executed when the situation occurs. e.g. Program runs in 15 min timeframe and trailing stop is reached within the 15 minutes then it’s immediately executed. thanks for your help Klaus

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ProOrder: Automated Strategies & Backtesting
Trailing stop in Backtesting

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07/18/2016 at 7:43 AM #10544 quote

klaus
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Absent1988,

you are right, I had similar results. After Backtesting I already $ signs in my eyes. 🙂

Running the system in real life the behaviour was completely different and producing only losses

07/18/2016 at 11:06 AM #10551 quote

absent1980
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Average

Thanks fro your reply. We may as well stop using trailing stops in backtesting if this is the case. Not much point.

07/18/2016 at 1:43 PM #10557 quote

klaus
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hopefully the PRT developers find a better way to implement trailing stops in Backtesting
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Trailing stop in Backtesting

ProOrder: Automated Strategies & Backtesting

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klaus @klaus Participant

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This topic contains 17 replies,
has 3 voices, and was last updated by klaus
10 years, 2 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	05/06/2016
Status:	Active
Attachments:	No files

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Trailing stop in Backtesting

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Trailing stop in Backtesting ProOrder: Automated Strategies & Backtesting

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Trailing stop in Backtesting

ProOrder: Automated Strategies & Backtesting