Trailing stop in Backtesting

klaus · Fri, 06 May 2016 11:52:42 +0000

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

This topic has 17 replies, 3 voices, and was last updated 7 years ago by klaus.

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

klaus

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

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

absent1980

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

absent1980
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07/18/2016 at 1:43 PM #10557

klaus

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

klaus
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