Backtest results change when I stop using variables

• 09/29/2019 at 10:57 AM #108743
  Mike

  When I back test with 5 variables I get a profit of £130k.  When I change the variables to their optimised absolute values within the code (ready to Automatic Trade) I get £18k.  When I change 1 absolute value back to a variable (which I have left “sitting” in the variable optimisation section) I get £130.

  Can anyone advise me what I might be doing wrong.

  Thanks

  Mike

  

  Mike

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  09/29/2019 at 12:02 PM #108746
  Mike

  This is a tick by tick mode “problem”.  Even with variables set to fixed values the tick by tick mode does not activate.

  I thought clicking on each line of the optimisation report was supposed to activate tick by tick mode.  It seems not.  Can anyone advise how to get reliable test results?

  Thanks

  Mike

  

  Mike

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  09/29/2019 at 2:13 PM #108751
  GraHal

  Have you got tick by tick selected?

  

  GraHal

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  09/29/2019 at 2:17 PM #108752
  Mike

  Yes.  I realise that Optimisation does not use tick by tick, although I have ticked that option.  I thought that clicking on the apparently optimal set of variables would “drill down” into a tick by tick test.

  

  Mike

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  09/29/2019 at 2:24 PM #108754
  GraHal

  Mike wrote:

  I thought that clicking on the apparently optimal set of variables would “drill down” into a tick by tick test.

  You are correct.

  I bet you feel like you are going mad / why does stuff like this happen to me?? 🙂  I often think the same when weird stuff happens to me!

  I can’t think of anything else to offer, but I would test your code if you post it on here and then we can see if I get the same result as you?

  I’ll keep thinking also.

   

   

  

  GraHal

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  09/29/2019 at 2:28 PM #108755
  Mike

  Thanks

  I’ll quadruple check my settings and then assuming I’ve not been a total twat I’ll post the code.  Yes – thought I was losing it 🙂 All problems solved on Saturday and all back today! Great!

  Thanks for taking the time to reply on Sunday.

  Code to follow

  

  Mike

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  09/29/2019 at 2:28 PM #108756
  GraHal

  Is the 130k read only from the Opti Table and then when you click on that line you get 18K on  the equity curve?

  You also get 18K when you put values in the code and then run the Backtest?

  EDIT /PS

  Just thought of this … Optimisation does not take account of a final Open trade, but running a Backtest and seeing  the equity curve does take account of an Open Trade.

  Unless you are using huge Lot Size I cannot see an Open trade losing 112K??

  

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  09/29/2019 at 2:40 PM #108757
  Mike

  £130 was top of the opti list.  When I click that line it shows £130 on the Detailed Report and on the Equity Curve.  This is consistent for any line I select.

  When I replace the variables in the code with the absolute values of the optimised test I get 18k.  This is with tick by tick selected.  When I de-select tick by tick witht the absolute values hard coded I get…..yep £130

  This is where I concluded that it was a tick by tick problem…

  Still quadruple checking the setup 🙂

  

  Mike

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  09/29/2019 at 2:48 PM #108759
  Mike

  In response to your PS – no, the equity curve looks great as it’s a nice steady uptrend, on the tick by tick and on the £130.  Trade size is £400 – £600.  Just that the tick by tick appears to get stopped out way sooner than the opt result (just based on looking at the first few trades)

   

  

  Mike

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  09/29/2019 at 2:55 PM #108762
  Mike

  This is the Hard Coded version with the variables as absolutes. Gets £18k

  //DM system code //-------------- //Parameters DEFPARAM CumulateOrders = True //Variables DIThreshold1 = 26 DIThreshold2 = 7 //ATRMultiple =ATRM //ADXLevel = ADXL ADXDays = 11 DIDays = 4 TradeSize = 10//(Risk/(AverageTrueRange[DIDays][1]*ATRMultiple)) //Risk = 1000 //Conditions ADXDownTurn = ADX[ADXDays][1] > DIPlus[DIDays][1] and ADX[ADXDays][1] > DIMinus[DIDays][1] and ADX[ADXDays][1] > ADX[ADXDays][2] and ADX[ADXDays][1] > ADX[ADXDays] EnterLongonX = (DIplus[DIDays][1] crosses over DIminus[DIDays][1] and close > close[1] and DIplus[DIDays](close) > DIThreshold1) EnterLongonCH = (DIplus[DIDays][1] > DIPlus[DIDays][2] and DIplus[DIDays][1] > DIplus[DIDays](close) and DIplus[DIDays](close) > DIThreshold2) and (ADX[ADXDays] > DIPlus[DIDays] or ADX[ADXDays] > DIMinus[DIDays]) //and ADX[ADXDays] > ADXLevel) EnterShortonX = (DIminus[DIDays][1] crosses over DIplus[DIDays][1] and close < close[1] and DIminus[DIDays](close) > DIThreshold1) EnterShortonCH = (DIminus[DIDays][1] > DIminus[DIDays][2]) and (DIminus[DIDays][1] > DIminus[DIDays](close) and DIminus[DIDays](close) > DIThreshold2) and (ADX[ADXDays] > DIPlus[DIDays] or ADX[ADXDays] > DIMinus[DIDays]) //and ADX[ADXDays] > ADXLevel) //Instructions IF EnterLongonX or EnterLongonCH then BUY TradeSize PERPOINT AT MARKET ENDIF IF EnterShortonX or EnterShortonCH then sellshort TradeSize PERPOINT AT MARKET ENDIF //IF EnterLongonCH then //BUY TradeSize PERPOINT AT MARKET //ENDIF //IF EnterShortonCH then //sellshort TradeSize PERPOINT AT MARKET //ENDIF IF ADXDownTurn or EnterShortonX THEN SELL AT MARKET ENDIF IF ADXDownTurn or EnterLongonX THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP pTRAILING 40 // AverageTrueRange[DIDays][1]*ATRMultiple //Alternative ADX Downturn calculations //These replace each other for testing //Testing on a Daily timescale over 3 years (10/16-09/19) produced a marginal gain for the simpler system //ADXDownTurn = ADX[ADXDays][1] > DIPlus[DIDays][1] and ADX[ADXDays][1] > DIMinus[DIDays][1] and ADX[ADXDays][1] > ADX[ADXDays][2] and ADX[ADXDays][1] > ADX[ADXDays] //ADXDownTurn = ADX[ADXDays][1] > DIPlus[DIDays][1] and ADX[ADXDays][1] > DIMinus[DIDays][1] and ADX[ADXDays][2] > ADX[ADXDays][3] and ADX[ADXDays][2] > ADX[ADXDays][4] and ADX[ADXDays][2] > ADX[ADXDays][1] and ADX[ADXDays][2] > ADX[ADXDays] //Peaks (I cannot yet code this) //if DIMinus[DiDays][1] > DIMinus[DiDays][2] and DIMinus[DiDays][1] > DIMinus[DiDays] then //DMP = DIMinus[DIDays]

  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 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68

  //DM system code //--------------   //Parameters   DEFPARAM CumulateOrders = True   //Variables   DIThreshold1 = 26 DIThreshold2 = 7 //ATRMultiple =ATRM //ADXLevel = ADXL ADXDays = 11 DIDays = 4 TradeSize = 10//(Risk/(AverageTrueRange[DIDays][1]*ATRMultiple)) //Risk = 1000   //Conditions   ADXDownTurn = ADX[ADXDays][1] > DIPlus[DIDays][1] and ADX[ADXDays][1] > DIMinus[DIDays][1] and ADX[ADXDays][1] > ADX[ADXDays][2] and ADX[ADXDays][1] > ADX[ADXDays]   EnterLongonX = (DIplus[DIDays][1] crosses over DIminus[DIDays][1] and close > close[1] and DIplus[DIDays](close) > DIThreshold1) EnterLongonCH = (DIplus[DIDays][1] > DIPlus[DIDays][2] and DIplus[DIDays][1] > DIplus[DIDays](close) and DIplus[DIDays](close) > DIThreshold2) and (ADX[ADXDays] > DIPlus[DIDays] or ADX[ADXDays] > DIMinus[DIDays]) //and ADX[ADXDays] > ADXLevel)   EnterShortonX = (DIminus[DIDays][1] crosses over DIplus[DIDays][1] and close < close[1] and DIminus[DIDays](close) > DIThreshold1) EnterShortonCH = (DIminus[DIDays][1] > DIminus[DIDays][2]) and (DIminus[DIDays][1] > DIminus[DIDays](close) and DIminus[DIDays](close) > DIThreshold2) and (ADX[ADXDays] > DIPlus[DIDays] or ADX[ADXDays] > DIMinus[DIDays]) //and ADX[ADXDays] > ADXLevel)   //Instructions IF EnterLongonX or EnterLongonCH then BUY TradeSize PERPOINT AT MARKET ENDIF   IF EnterShortonX or EnterShortonCH then sellshort TradeSize PERPOINT AT MARKET ENDIF   //IF EnterLongonCH then //BUY TradeSize PERPOINT AT MARKET //ENDIF   //IF EnterShortonCH then //sellshort TradeSize PERPOINT AT MARKET //ENDIF   IF ADXDownTurn or EnterShortonX THEN SELL AT MARKET ENDIF   IF ADXDownTurn or EnterLongonX THEN EXITSHORT AT MARKET ENDIF   // Stops and targets SET STOP pTRAILING 40 // AverageTrueRange[DIDays][1]*ATRMultiple   //Alternative ADX Downturn calculations //These replace each other for testing //Testing on a Daily timescale over 3 years (10/16-09/19) produced a marginal gain for the simpler system   //ADXDownTurn = ADX[ADXDays][1] > DIPlus[DIDays][1] and ADX[ADXDays][1] > DIMinus[DIDays][1] and ADX[ADXDays][1] > ADX[ADXDays][2] and ADX[ADXDays][1] > ADX[ADXDays] //ADXDownTurn = ADX[ADXDays][1] > DIPlus[DIDays][1] and ADX[ADXDays][1] > DIMinus[DIDays][1] and ADX[ADXDays][2] > ADX[ADXDays][3] and ADX[ADXDays][2] > ADX[ADXDays][4] and ADX[ADXDays][2] > ADX[ADXDays][1] and ADX[ADXDays][2] > ADX[ADXDays]   //Peaks (I cannot yet code this) //if DIMinus[DiDays][1] > DIMinus[DiDays][2] and DIMinus[DiDays][1] > DIMinus[DiDays] then //DMP = DIMinus[DIDays]

   

  

  Mike

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  09/29/2019 at 3:05 PM #108763
  GraHal

  If you export (to an .itf file)  the code with all the Opti values still set up etc and post that then I can import with all yuor settings and I can pop it on my Platform in less than 1 minute and it ensures I get all settings same as you.

   

  

  GraHal

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  09/29/2019 at 3:09 PM #108764
  Mike

  Here’s the one with the variable

  

  Mike

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  09/29/2019 at 3:10 PM #108766
  Mike

  hard coded numbers in this one

  

  Mike

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  09/29/2019 at 3:14 PM #108768
  GraHal

  Mike wrote:

  Just that the tick by tick appears to get stopped out way sooner than the opt result (just based on looking at the first few trades)

  Above sounds like it is blowing your account??

  I imported your hard coded version and it is doing just that … using all 10k starting capital.

  You have not said what market, timeframe etc?

  Why don’t you try below …

  DEFPARAM CumulateOrders = FALSE //(instead of True)

  1	DEFPARAM CumulateOrders = FALSE  //(instead of True)

   

   

   

  

  GraHal

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  09/29/2019 at 3:23 PM #108770
  Mike

  Sorry – I did not make my comment clear. My account (£10k) doesn’t get blow. I just meant that, eg Trade number 2 makes much more on Opt than it does in hard code as the tick by tick takes it out during day 1, whereas on Opti it runs for 3 days for a nice wee profit.

  Dow Jones Industrial on Daily

  I set “True” because I started testing this from 2014 and the DJI was trending up, so adding to my positions produced more profit. I’m now testing in choppy waters so I’ll re-run with False

  Thanks

  False = =£125 and £18 (False makes more sense logically in choppy market and it may be a way to simplify the manual testing that I seem to be destined to do). No pressure but I’m hoping for some magic 🙂

  

  Mike

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