Trailing stop in Backtesting

• 05/06/2016 at 12:52 PM #6517
  klaus

  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

  

  klaus

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  05/08/2016 at 12:32 PM #6571
  Nicolas

  Hello Klaus,

  This difference occur because conditions are only tested once per bar. In the backtest, trailing stop move stoploss to a price that will be tested only one time each time a new bar will open. In real time, your stoploss will be executed instantly by the broker because your SL is written in his order book.

  In a near future, backtest will be improved to be more accurate and better reflect real time trading.

  

  Nicolas

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  05/09/2016 at 7:11 AM #6593
  klaus

  Hi Nicolas,

   

  thanks for the explanation, i just tested again. What I see is, that the close of an order is done random since it’s not always the price at the close of a candle. Just want to find out under which conditions a close is done. In the attached example the trailing stop was 10 points.

   

   

  

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  05/09/2016 at 8:54 AM #6598
  Nicolas

  It’s because trailing are made on the same candle that the trade opened and Probacktest has no clue of how the ticks went on this candle in real time.

  

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  05/09/2016 at 9:20 AM #6606
  klaus

  Thanks Nicolas,

  I understood, the ticks are not known. If the trailing stop is reached at the end of the candle, the order will be closed. What I would like to know, at what price the order is closed. Is it the closing price of the candle, or something calculated based on various factors?

  By the way, I am new in this forum and have to say it’s very useful. Especially your assistance and knowledge

  

  klaus

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  05/09/2016 at 11:07 AM #6608
  Nicolas

  The order is closed at the price level the trailing stop has moved your stoploss to. But if you are trading (for example) the 1 hour timeframe, your stoploss may has occurred between the beginning of the candle and its end. Since there is no way actually to know at what time it occurred, the backtest only test if the stoploss price was between the high and low of the candlestick and close your trade at the next open bar (in backtest only).

  

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  05/10/2016 at 3:17 PM #6694
  klaus

  short info about progress:

  I modified the program. removed trailing stop and instead check at next open bar if trailing level is reached and closed order. But the result of this version is different to the trailing stop version. Unfortunately. Maybe my mistake have to check code again.

  

  klaus

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  05/10/2016 at 4:43 PM #6702
  Nicolas

  If you can post your code here, I could have a look about what’s going wrong.

  

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  05/10/2016 at 4:59 PM #6704
  klaus

  Hi Nicolas,

  thanks a lot for your help. I’ll return home tomorrow. then will post ist.

   

  cu Klaus

  

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  05/11/2016 at 7:18 AM #6748
  klaus

  Here it is Nicolas,

  the program run on DAX in 15 minute timeframe

  this is with trailing stop

  ordersize=1 i1=3 i2=6 i3=9 ADXLimit=30 //----------------------------------------------- ema = ExponentialAverage[22](Close) ema2 = ExponentialAverage[5](Close) Previousema = ExponentialAverage[22][1] //----------------------------------------------- Indicator1 = MACDline[i1,i2,i3](close) Indicator2 = ExponentialAverage[10](MACDline[i1,i2,i3](close)) PreviousIndicator1 = MACDline[i1,i2,i3][1] PreviousIndicator2 = ExponentialAverage[9](MACDline[i1,i2,i3][1]) c2=indicator1-indicator2 Previousc2=PreviousIndicator1-PreviousIndicator2 //----------------------------------------------- myADX=ADX[5] //----------------------------------------------- if hour>7 and hour <18 then if myADX>ADXLimit then if ema2<close or Previousc2>0 and c2<0 and Previousema>ema then if LongOnMarket then sell at Market endif SELLSHORT ordersize CONTRACTS AT MARKET endif if ema2>close or Previousc2<0 and c2>0 and Previousema<ema then if ShortOnMarket then ExitShort at Market endif BUY ordersize CONTRACTS AT MARKET endif endif ENDIF //----Close order in case ..... if LongOnMarket and c2<0 then sell at Market endif if ShortOnMarket and c2>0 then ExitShort at Market endif set stop trailing 9 Set Target Profit 50

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44

  ordersize=1 i1=3 i2=6 i3=9 ADXLimit=30 //----------------------------------------------- ema = ExponentialAverage[22](Close) ema2 = ExponentialAverage[5](Close) Previousema = ExponentialAverage[22][1] //----------------------------------------------- Indicator1 = MACDline[i1,i2,i3](close) Indicator2 = ExponentialAverage[10](MACDline[i1,i2,i3](close)) PreviousIndicator1 = MACDline[i1,i2,i3][1] PreviousIndicator2 = ExponentialAverage[9](MACDline[i1,i2,i3][1]) c2=indicator1-indicator2 Previousc2=PreviousIndicator1-PreviousIndicator2 //----------------------------------------------- myADX=ADX[5] //----------------------------------------------- if hour>7 and hour <18 then if myADX>ADXLimit then if ema2<close or Previousc2>0 and c2<0 and Previousema>ema then if LongOnMarket then sell at Market endif SELLSHORT ordersize CONTRACTS AT MARKET endif if ema2>close or Previousc2<0 and c2>0 and Previousema<ema then if ShortOnMarket then ExitShort at Market endif BUY ordersize CONTRACTS AT MARKET endif endif ENDIF //----Close order in case ..... if LongOnMarket and c2<0 then sell at Market endif if ShortOnMarket and c2>0 then ExitShort at Market endif set stop trailing 9 Set Target Profit 50

   

  and this one with the simulation

  ordersize=1 i1=3 i2=6 i3=9 ADXLimit=30 //----------------------------------------------- ema = ExponentialAverage[22](Close) ema2 = ExponentialAverage[5](Close) Previousema = ExponentialAverage[22][1] //----------------------------------------------- Indicator1 = MACDline[i1,i2,i3](close) Indicator2 = ExponentialAverage[10](MACDline[i1,i2,i3](close)) PreviousIndicator1 = MACDline[i1,i2,i3][1] PreviousIndicator2 = ExponentialAverage[9](MACDline[i1,i2,i3][1]) c2=indicator1-indicator2 Previousc2=PreviousIndicator1-PreviousIndicator2 //----------------------------------------------- myADX=ADX[5] //---- try to simulate trailing stop of 9 points if LongOnMarket and close<tradeprice-9 then sell at Market endif If ShortOnMarket and close>tradeprice+9 then ExitShort at Market endif //----------------------------------------------- if hour>7 and hour <18 then if myADX>ADXLimit then if ema2<close or Previousc2>0 and c2<0 and Previousema>ema then if LongOnMarket then sell at Market endif SELLSHORT ordersize CONTRACTS AT MARKET endif if ema2>close or Previousc2<0 and c2>0 and Previousema<ema then if ShortOnMarket then ExitShort at Market endif BUY ordersize CONTRACTS AT MARKET endif endif ENDIF //----Close order in case ..... if LongOnMarket and c2<0 then sell at Market endif if ShortOnMarket and c2>0 then ExitShort at Market endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49

  ordersize=1 i1=3 i2=6 i3=9 ADXLimit=30 //----------------------------------------------- ema = ExponentialAverage[22](Close) ema2 = ExponentialAverage[5](Close) Previousema = ExponentialAverage[22][1] //----------------------------------------------- Indicator1 = MACDline[i1,i2,i3](close) Indicator2 = ExponentialAverage[10](MACDline[i1,i2,i3](close)) PreviousIndicator1 = MACDline[i1,i2,i3][1] PreviousIndicator2 = ExponentialAverage[9](MACDline[i1,i2,i3][1]) c2=indicator1-indicator2 Previousc2=PreviousIndicator1-PreviousIndicator2 //----------------------------------------------- myADX=ADX[5] //---- try to simulate trailing stop of 9 points if LongOnMarket and close<tradeprice-9 then sell at Market endif If ShortOnMarket and close>tradeprice+9 then ExitShort at Market endif //----------------------------------------------- if hour>7 and hour <18 then if myADX>ADXLimit then if ema2<close or Previousc2>0 and c2<0 and Previousema>ema then if LongOnMarket then sell at Market endif SELLSHORT ordersize CONTRACTS AT MARKET endif if ema2>close or Previousc2<0 and c2>0 and Previousema<ema then if ShortOnMarket then ExitShort at Market endif BUY ordersize CONTRACTS AT MARKET endif endif ENDIF //----Close order in case ..... if LongOnMarket and c2<0 then sell at Market endif if ShortOnMarket and c2>0 then ExitShort at Market endif

   

   

  

  klaus

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  05/11/2016 at 9:01 AM #6767
  Nicolas

  Thanks for the code. What you have written between the lines 19 to 26 is a basic stoploss test at 9 points from the order open price. There is no ‘trailing’ here 😉

  I’ll post a complete trailing stop code later in this thread.

   

  

  Nicolas

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  05/11/2016 at 9:45 AM #6777
  klaus

  yes, the idea was to simulate what backtest is doing, as you described in one of the previous posts.

  nice try. 🙂

   

  

  klaus

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  05/11/2016 at 10:14 AM #6782
  Nicolas

  I have just written an article about trailing stop implementation into a strategy, please find it here :

  http://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/

  If you need assistance, just ask! 🙂

  

  Nicolas

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  05/12/2016 at 7:45 AM #6855
  klaus

  Nicolas,

  I tested your manual trailing stop. Results are quiet different from real trailing stop.

  Just read your reply on “Backtest vs Real trading limits and stops”. This explains why we never will have same results

  ok. Lets wait for another version of prt.

  anyhow, thanks for your help

  cu Klaus

  

  klaus

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  07/17/2016 at 4:43 PM #10521
  absent1980

  Hi Klaus,

  How different were your results? In my case it made relatively profitable system to be a significant loss system. Both, i believe, based on the end of bar information and real performance is a big question.

  

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