BackTesting Reliability

• 05/30/2016 at 12:06 PM #8357
  rundof

  Hi,
  I’m using quite recently the ProRealTime platform (provided by IGMarkets) in order to run my automatic trading systems.
  Unfortunately, what I got is an unreliable BackTesting system because BackTesting results I got was rather different respect to real execution, specifically, I got two operations which went in LOSS int the real execution while ProRealTime Backtesting provided GAIN as results. I tested my strategies at worst condition in terms of spread (real spread of used cross was 0.8/1.5 pips while I used 2 pips for BackTesting).

  So, my questions is: Is BackTesting of ProRealTime reliable ?
  Are there some specific options/constraints to be taken into account in order to get a reliable BackTesting ?

  Thanks so much for your support.
  Best Regards,
  Francesco

  

  rundof

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  05/30/2016 at 12:35 PM #8360
  Nicolas

  Hi Rundof,

  This is a usual question asked on the forums.

  Currently, Probacktest only deals with conditions one time per bar. So if takeprofit or stoploss price levels were met in the same bar (between high and low), the backtester don’t have any ideas of what would happen first : stoploss or takeprofit? So takeprofit is always tested in first in the backtester. Of course, in real time it should have been different, that’s why you notice some differences between your test and the real time execution.

  This is currently being improved at PRT company, for the backtester to reflect more precisely real time condition. We should expect this feature in the next release of the platform.

  

  Nicolas

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  05/30/2016 at 12:50 PM #8367
  rundof

  Hi Nicolas,

  Thanks for your reply.

  So, currently, is there no way to perform a reliable BackTesting with ProRealTime ?

  Thanks so much in advance,

   

   

  

  rundof

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  05/30/2016 at 12:53 PM #8369
  Nicolas

  This “problem” occurs when the takeprofit and stoploss price levels are in the same bar. So you can avoid this by enlarging their values or trade small timeframe. You can also avoid using SET TARGET and SET STOP, this should reduce this well-known phenomena.

  

  Nicolas

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  05/31/2016 at 12:45 PM #8528
  rundof

  Hi Nicolas,

   

  Thanks for your reply.

  So, I was wondering if there is a way in ProRealTime  to close the position if “Current Profit”/”Current loss” is greater/less than specific value.

  In MQ4 code for MT4 platform, we have the specific functions which provides current equity , profit, balance and so on, so above operation can be performed easily.

  Are there specific ProRealTime instructions to do the same ?

  Because , as you suggested, I’m going to unset SL/TP in order to cover the issue you explained me, but I have to include a “closing mechanism” on my automatic strategy.

  Thanks so much for your help

   

  

  rundof

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  06/01/2016 at 12:02 AM #8555
  grizzly

  Hi Nicholas ,

  Do you know when version 10.3 will be released addressing this issue ?

   

  Thanks

  

  grizzly

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  06/01/2016 at 5:40 AM #8558
  rundof

  No I meant with current version…if it is possible to close position when specific equity or profit or loss is achieved without setting of TP kr SL.

  

  rundof

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  06/01/2016 at 8:29 AM #8560
  Nicolas

  Yes of course rundof, you can use POSITIONPERF for example and STRATEGYPROFIT.

   

  

  Nicolas

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  06/01/2016 at 2:41 PM #8588
  K12AN

  Do we know when the next release is due – which will address/correct this issue.

  I have seen the same thing and its very frustrating. I’m testing in demo mode and making losses. When back testing the same period there are profits.

  

  K12AN

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  02/12/2017 at 6:40 AM #24827
  wreini1982

  Dear all,

  I suffering the same problems seems like some other members, maybe some more members can give feedback.

  I tried to compare now the different systems, see attached pictures, some more follow.

  For explanation:

  left = real trading

  middle = backtesting with tick by tick in version V10.3

  right = backtesting with V10.2 without back by test

  It is the DAX M15

  I will stop now trading the system in reality and make it manually again and will observe it in Demo mode for longer time, because deviation is still little big.

  Also I will check other strategy from users, because maybe my programming have a failure.

  

  wreini1982

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  02/12/2017 at 6:41 AM #24830
  wreini1982

  2 picture:

  For explanation:

  left = real trading

  middle = backtesting with tick by tick in version V10.3

  right = backtesting with V10.2 without back by test

  It is the DAX M15

  

  wreini1982

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  02/12/2017 at 6:42 AM #24833
  wreini1982

  3 picture

  For explanation:

  left = real trading

  middle = backtesting with tick by tick in version V10.3

  right = backtesting with V10.2 without back by test

  It is the DAX M15

  

  wreini1982

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