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Unusual Trailing Stop Results (huge gains for unknown reason)

slvr67 · 2017-11-26T20:18:02+00:00

I would like help understanding the results I got while using two types of trailing stops – %trailing and $trailing. While back testing a strategy of mine I decided to try implementing a trailing stop to see if it would improve results. I used the program’s optimization feature to find the best trailing stop. The program chose a %trailing stop of approximately “0.05”. This resulted in huge, unrealistic gains while reporting that it was only in the market less than 2% of the time, even though it was averaging around 2 trades a day. I knew that the results were garbage, so I thought maybe the low percentage was the problem and decided to use a $trailing stop instead. The program’s optimization chose a stop of “0.01”. But again, I got unrealistically huge gains while in the market less than 2% of the time. I also thought it was odd that it was trading about 2 times a day even though I was on a daily period, not an hour or minute period. The unrealistic gains seem to work on any security and whether going long or short. Here’s the code that’s causing the weird results: DEFPARAM CumulateOrders = False // Cumulating positions deactivated positionsize = 1 //percentstop = .05 dollarstop = .01 //BUY positionsize CONTRACTS AT MARKET SELLSHORT positionsize CONTRACTS AT MARKET //SET STOP %TRAILING percentstop SET STOP $TRAILING dollarstop I’m new to Prorealtime and have only been back testing a month so pardon me if this topic has already been addressed but I would really appreciate an explanation of what is going on and what I’m doing wrong.

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Unusual Trailing Stop Results (huge gains for unknown reason)

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12/02/2017 at 8:32 AM #54508 quote

Madrosat
Participant

Master

Bonjour
Yes an exemple on thursday 17 00 00 and I have a lot of
Personally I think is not a problem of time , there is a problem in their backtest, I’m not a programmer but could not they introduce a condition like
“if trade long and if close < open then no gain”
if short trade and if close > open then no gain ????
Have a good day

GRAPH-pour-Nicolas.-4-PNG.png

12/02/2017 at 10:11 AM #54514 quote

Madrosat
Participant

Master

an other exemple
exemple récent où le backtest donne un trade gagnant alors que c’est impossible qu’il soit gagnant.
Bonne journée
Madrosat

GRAPH-pour-Nicolas.-6-PNG.png
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Unusual Trailing Stop Results (huge gains for unknown reason)

Platform Support: Charts, Data & Broker Setup

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slvr67 @slvr67 Participant

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This topic contains 16 replies,
has 4 voices, and was last updated by Madrosat
8 years, 10 months ago.

Topic Details

Forum:	Platform Support: Charts, Data & Broker Setup
Language:	English
Started:	11/26/2017
Status:	Active
Attachments:	6 files

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Unusual Trailing Stop Results (huge gains for unknown reason)

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Unusual Trailing Stop Results (huge gains for unknown reason) Platform Support: Charts, Data & Broker Setup

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Unusual Trailing Stop Results (huge gains for unknown reason)

Platform Support: Charts, Data & Broker Setup