Cumulate orders and stops & targets

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Viewing 15 posts - 16 through 30 (of 35 total)
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  • 02/07/2018 at 9:55 AM #61831
    Nicolas

    Sorry, I made a “ready made” answer by drinking my coffee and I did not read all of your messages. Indeed, all orders should have the same profit of 20 points (and the same for stoploss). I wonder if this is not the tick-by-tick backtest engine .. because each order is tested in the lower timeframes and that for a timeframe 1 minute, the lower bars must be rebuilt on the fly because it is not about timeframe “standards” ..  (custom XX seconds timeframe).. But that’s just a guess on my part .. I just called ITF about it, I send them the subject link for them to bring us answers!

    To advance the subject: is the problem the same in a timeframe 5 minutes for example?

    02/07/2018 at 9:58 AM #61832
    verdi55

    I have not tested in higher time frames. But in the 1-minute chart, I tested with and without tick-by-tick mode, and the erorrs are exactly the same. In this case, it is clearly not related to tick-by-tick.

    02/07/2018 at 10:00 AM #61833
    Nicolas

    EDIT: Problem persist on a 5 minutes TF too, picture attached. Entry date are not correct for the cumulated orders, probacktest is considering that orders have opened and exit on the same bars while it is not the case (and that’s why it counts 0 bars in the Closed positions list). I don’t understand why MFE could be higher than the takeprofit though.. I did not include any spread in the test.

    02/07/2018 at 12:01 PM #61850
    Vonasi

    So what happens in real life? I’m not running any strategies at the moment with cumulate positions so can not check. I have one on forward testing in my demo account with cumulate positions and a fixed SET TARGET  %PROFIT level that is closing each position individually at individual target levels. What would happen in real life though – would IG set one take profit level for all positions based on the average position?

    02/07/2018 at 12:11 PM #61851
    verdi55

    The manual is unclear on this topic. It says :

    SET TARGET PROFIT x: Set a profit target to close the position x units from the average position price.
    SET TARGET pPROFIT x: Set a profit target to close the position x points from the average position price.
    SET TARGET %PROFIT x: Set a profit target to close the position when profit reaches x% (brokerage fees
    not included).

     

    So, is there a difference between “set target pprofit” and “set target %profit” ?

    “set target pprofit” sets one single limit for all positions x units away from the average position price, but “set target %profit” sets individual limits for each position ?

    We need to know this, and it should be clarified in the manual, as the backtests are also inconclusive.

    02/08/2018 at 12:28 PM #62003
    Nicolas

    It works nicely in demo/real (picture attached of 3 cumulated orders with correct takeprofit and stoploss 20 points away from the orders entries), there is indeed something not correctly calculated in backtests with cumulated orders.

    1 user thanked author for this post.
    avatar verdi55
    02/08/2018 at 12:35 PM #62005
    verdi55

    So I guess this means that

    set stop ploss 20

    or

    set target pprofit 20

    will place stops and limits 20 points away from the opening price of every individual position, not 20 points away from the average position price of multiple open positions, as the manual states.

    May I ask @ilaria to correct the manual accordingly, please ?

    02/08/2018 at 12:40 PM #62006
    Vonasi

    So can we say that the backtest overall profit/loss results are accurate but it is just the closed positions report that is wrong?

    02/08/2018 at 12:41 PM #62007
    verdi55
    Vonasi wrote:

    So can we say that the backtest overall profit/loss results are accurate but it is just the closed positions report that is wrong?

    Who knows… Get your pens and paper out, I’d say, and check…

    02/08/2018 at 12:50 PM #62008
    Nicolas
    verdi55 wrote:

    will place stops and limits 20 points away from the opening price of every individual position, not 20 points away from the average position price of multiple open positions, as the manual states.

    Yes, that’s the case for IG servers, as I stated many times before here and there in different topics. Average position price is for prorealtime software paper trading as it was initially developed for this (automatic trading has went live through IG / PRT-CFD only since version 10). Ilaria is not in charge of the documentation 🙂 But it should be modified to reflect this behavior for real live trading.

    02/08/2018 at 12:56 PM #62010
    verdi55
    Nicolas wrote:

    Average position price is for prorealtime software paper trading as it was initially developed for this (automatic trading has went live through IG / PRT-CFD only since version 10). Ilaria is not in charge of the documentation 🙂 But it should be modified to reflect this behavior for real live trading.

    Well, ok, if there is anyone telling PRT to change the manual, and if it really happens, that should be fine. We don’t blame the messengers…

    02/15/2018 at 11:50 AM #62813
    Ulrike

    Hi verdi55,

    In order to allow us to analyze your platform, please send us a technical report by following these instructions:

    – Display the backtest on your chart and open the “detailed report” window with the list of closed positions, then go to the “Help” menu on the ProRealTime toolbar.
    – Click on “Technical support”
    – Give as many details as possible, explain the issue you are having in the text box and mention the name of the code you are referring to.
    – To receive in depth assistance, it is necessary to analyze the code itself which is encrypted on our servers. To allow our technicians temporary access, please check the box marked “I authorize the decryption of the codes…”
    – Click “Send report”

    This will send us a report containing technical information concerning your platform, which will allow our technical team to run a diagnostic analysis of the issue you have come across.

    02/15/2018 at 12:22 PM #62817
    Nicolas

    @Ulrike

    I already sent an “internal” report, FYI.

    02/16/2018 at 9:03 AM #62890
    Nicolas

    I got explanations about this difference between the detailed report and the positions displayed on the graph!

    This is actually a display problem, nothing more … If we take the average of the closing gains / losses for all orders accumulated we get the real gain / loss of each order. The difference is therefore only in the display of each order in the report, but the gains / losses of the report are correct.
    I checked on the reports posted here previously by verdi and myself.

    This detailed display concern for cumulative orders will be part of an upcoming correction.

    1 user thanked author for this post.
    avatar Vonasi
    03/24/2019 at 2:59 PM #94559
    warren78

    Thanks Nicolas for the answer. I’d be interested to have a set target pprofit command that applies to the average price in case of cumulative orders.

    But I don’t know how to proceed….is there any workaround to do so….?

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