Backtest wrong results in hourly

• 10/01/2019 at 1:43 PM #108984
  GL48

  Hi,

  The backtests no longer correspond to Proorder results in time frame 1H , with all my trading systems.
  

  Thanks for your help

   

  

  GL48

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  10/02/2019 at 6:57 AM #109032
  jebus89

  how does it not correspond? Whats going wrong? screenshots? Code?

  Report this in PRT platform to the correct people! 🙂

  

  jebus89

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  10/02/2019 at 8:37 AM #109038
  GL48

  Of course, here are the precisions

  I have a problem with my system tradings which in backtesting gives very different results, these are programs that are also in pro order autotrading, and the operations are not the same anymore. To verify, I copied the version of paper trading to test it in backtesting and the results are different from those that this version has given in pro order for 8 months.

  By observing the backtest of the models with the graph function on the conditions, I realized that the conditions on the indicators are activated in a wrong way.
  On the other hand, the transactions recorded in pro order , are in perfect correspondence with the situation requested on these indicators.
  In the backtests, I encounter this problem of conditions that are activated or not activated incorrectly, on all models, with data 1 hour.

  I created indicators showing the signal conditions of a trading system. I have run different timeframes on this trading system, I found that there is not always correspondence between the conditions of signals internal trading system and external indicators, for timeframes in hours full 1h, 2h, 3h …, 60min, 120 min, 180 min …

  But, there is always perfect match for all other timeframes; tick, sec, (min off full time  15, 30, 90min … ), daily.

  That’s my problem, where can these errors come from, only for the backtests corresponding to the hours?
  

  Many thanks for your help

  

  GL48

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  10/02/2019 at 9:14 AM #109046
  GraHal

  Hi GL48

  What maybe you are confused about is that this website is the not the provider of the PRT Platform … don’t worry a few get confused in a similar way.

  All you need to do is raise a Technical Report (press Ctrl+M) then refer to your post above (link as below) as you have provided all the details in the post above.

  Hope that makes sense, if not just say.

  https://www.prorealcode.com/topic/backtest-wrong-results-in-hourly/#post-109038

   

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  GL48

  

  GraHal

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  10/02/2019 at 9:23 AM #109047
  GraHal

  Press Ctrl+M when you are looking at the PRT Platform on your screen and you will Technical Report as the bottom option on the menu … click Tech Report then follow the instuctions.

  

  GraHal

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  10/02/2019 at 9:35 AM #109052
  GraHal

  We / the Community on here may be able to help, but could you provide screenshots showing the Issue as this will make it easier to understand the Issue.

   

  

  GraHal

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  10/02/2019 at 9:48 AM #109054
  GL48

  Ok, I thank you for your help.

  I’ll send this message to PRT, hoping it can solve this problem quickly,

  I will post screenshots, maybe the community could have a solution.

  Best regards

  

  GL48

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  10/02/2019 at 12:19 PM #109078
  GL48

  Here are the screenshoots,

  For simplicity, I created a simple trading system and the external indicator corresponding to the same signal condition.
  I compare with the internal signal condition in backtest by the graph function.

  There are several errors in hourly, and no errors in 30 minutes.
  As a control, I replaced in this trading system, the signal condition by its equivalent external indicator, and that does not change anything.

   

   

  

  GL48

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  10/02/2019 at 12:31 PM #109082
  GraHal

  Are you referring to differences … one example as shown at the red arrowheads on attached?

  I feel we are the point where we need to see the code of the External Indicator (as you call it).

  Please post code using the blue Insert PRT button on the toolbar above each new message.

  If anybody can see / understand the Issue better than me then by all means step in and help out!? 🙂

  

  GraHal

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  10/02/2019 at 12:42 PM #109085
  Nicolas

  Did you try to graph the average on the price in the backtest, to see if they match with the indicator’s ones?

  graphonprice indicator101 graphonprice indicator111

  1 2	graphonprice indicator101 graphonprice indicator111

  If they don’t match, try to add this at the beginning of the code, to see if that makes a difference or not:

  defparam preloadbars=0

  1	defparam preloadbars=0

   

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  Nicolas

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  10/02/2019 at 2:08 PM #109094
  GL48

  Hi Graham,

  Yes these are the differences, which should not exist because the external indicator is the exact replication of the internal indicators in the trading system. In the trading system, there is a crossover of moving averages, and in the external indicator, the same crossover of moving averages.

  Trading system

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator101=average[25,1] indicator111=average[50,0] c101=indicator101 >= indicator111 IF c101 THEN buy 10000 CASH AT MARKET ENDIF graph(c101) // Conditions to exit long positions IF not c101 THEN sell AT MARKET ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator101=average[25,1] indicator111=average[50,0] c101=indicator101 >= indicator111 IF c101 THEN buy 10000 CASH AT MARKET ENDIF graph(c101) // Conditions to exit long positions IF not c101  THEN sell AT MARKET ENDIF

  external condition indicator

  indicator101=average[25,1] indicator111=average[50,0] signal=indicator101 >= indicator111 if signal=1 then value=1 else value=0 endif return value as "value"

  1 2 3 4 5 6 7 8 9 10

  indicator101=average[25,1] indicator111=average[50,0] signal=indicator101 >= indicator111   if signal=1 then value=1 else value=0 endif return value as "value"

   

   

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  GL48

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  10/02/2019 at 3:14 PM #109108
  GL48

  Hi Nicolas,

  Thank you for your help,

  graphonprice indicator101 and graphonprice indicator111 shows that the values ​​of moving averages calculated in 1H backtest are not equal to their values ​​on the graph, (MA on graph and external indicator are similar).
  Hence the 1 H backtest signals that did not match.

  On the other hand, the values ​​of the moving averages calculated in the 30-minute backtest are equal to their values ​​on the graph, (MA on graph and external indicator are similar).
  Hence, backtest signals that match.

  I added the daily to be sure, with the same result, it is correct.

  I tried to include at the beginning of the trading system, defparam preloadbars = 0, it had no effect.

  The result is very surprising for the 1 H backtest,

   

   

   

   

   

  

  GL48

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  10/02/2019 at 4:52 PM #109117
  GraHal

  Indicator and System are aligned exactly.

  Try yours again using Buy 1 Contract instead of 10000 Cash. I know it doesn’t sound logical but you have to try anything / something and I had to anyway as attached is on my SB Account.

  What Market are you using … I’ll go and check your attachments and try on same market as you.

  

  GraHal

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  10/02/2019 at 4:56 PM #109119
  GraHal

  Ah now we are getting somewhere … on same market I can see a difference. but not on every trigger … weirde and weirder!? 🙂

  

  GraHal

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  10/02/2019 at 5:06 PM #109121
  GraHal

  Seems the Indicator is correct when the MA(25,1) crosses under the MA(50,0)  but the signal in the code does not trigger for another 6 bars / 6 Hours!!!!

  Well Weird!??

  

  GraHal

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