Difference in outcome backtest and automated trading
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Maybe turn on “tick by tick” and then see that the system doesn’t work that way?
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Here are some clues about differences https://www.prorealcode.com/topic/backtesting-and-demo-account-algo-doesnt-match-live-algo/#post-175691.
Try changing line 33 with a greater value, such as 10 or 20.
A better solution would be to use a custom made trailing stop. here is the easiest to use https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/. Just comment out line 33, then append lines 17 through 56 from the code snippet. Its settings are 20 and 5, you may also try 20 and 10 or 20 and 20, etc…
In this spreadsheet https://docs.google.com/spreadsheets/d/1rgboqj7sVwsP9ZRhOduOefye48QMWC07jWVXCl-KJPU/edit#gid=0, maintained by , you will find so many links to useful code snippets.
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That code was not made for that, it immediately sets the SL at breakeven once there is enough profit.
This is another snippet you that does what you mean:
123456789101112131415161718192021222324252627// Trailng STOP starting from the actual SL and increasing TrailingStep pips each time the profit// rises by TrailingInc pips//ONCE SL = 400ONCE TrailingStep = 50ONCE TrailingInc = TrailingStep * 2//IF LongOnMarket AND Not LongOnMarket[1] THENNewSL = TradePrice - SL * PipSizeELSIF ShortOnMarket AND Not ShortOnMarket[1] THENNewSL = TradePrice + SL * PipSizeENDIF//IF LONGONMARKET THENIF close >= NewSL + TrailingInc * PipSize THENNewSL = NewSL + TrailingInc * PipSizeENDIFELSIF SHORTONMARKET THENIF close <= NewSL - TrailingInc * PipSize THENNewSL = NewSL - TrailingInc * PipSizeENDIFENDIF//IF NewSL > 0 THENSELL AT NewSL STOPEXITSHORT AT NewSL STOPENDIF2 users thanked author for this post.
I think 20 trades per day in a 1 hour time frame only sounds practical if the trade evaluation is done in a smaller time frame like 5 minutes or 1 minute.
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Hi there Martin,
1234567891011121314151617181920212223242526272829303132333435363738394041424344454647484950515253545556575859606162636465666768697071// Definitie van code parametersDEFPARAM CumulateOrders = False // Opstapelen posities gedeactiveerd// Het systeem zal alle lopende orders annuleren en alle posities sluiten om 0:00. Er zijn geen nieuwe toegestaan totdat na de "FLATBEFORE" tijd.DEFPARAM FLATBEFORE = 000000// Annuleer alle lopende orders en sluit alle posities op de "FLATAFTER" tijdDEFPARAM FLATAFTER = 171500// Voorkomt dat het systeem nieuwe instaporders plaatst of de positie vergroot voor een specifieke tijd.noEntryBeforeTime = 000000timeEnterBefore = time >= noEntryBeforeTime// Voorkomt dat het systeem nieuwe instaporders plaatst of de positie vergroot na een specifieke tijd.noEntryAfterTime = 163000timeEnterAfter = time < noEntryAfterTime// Condities om long posities te openenindicator1 = CALL "MAGICAL TREND"[13, 1.5](close)c1 = (close > indicator1)IF not onmarket and c1 AND timeEnterBefore AND timeEnterAfter THEN // !BUY 1 CONTRACT AT MARKETENDIF// Condities om short posities te openenindicator2 = CALL "MAGICAL TREND"[13, 1.5](close)c2 = (close < indicator2)IF not c1 and not OnMarket and c2 AND timeEnterBefore AND timeEnterAfter THEN // !SELLSHORT 1 CONTRACT AT MARKETENDIF//************************************************************************//trailing stop functiontrailingstart = 20 //trailing will start @trailinstart points profittrailingstep = 10 //trailing step to move the "stoploss"//reset the stoploss valueIF NOT ONMARKET THENnewSL=0ENDIF//manage long positionsIF LONGONMARKET THEN//first move (breakeven)IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THENnewSL = tradeprice(1)+trailingstep*pipsizeENDIF//next movesIF newSL>0 AND close-newSL>=trailingstep*pipsize THENnewSL = newSL+trailingstep*pipsizeENDIFENDIF//manage short positionsIF SHORTONMARKET THEN//first move (breakeven)IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THENnewSL = tradeprice(1)-trailingstep*pipsizeENDIF//next movesIF newSL>0 AND newSL-close>=trailingstep*pipsize THENnewSL = newSL-trailingstep*pipsizeENDIFENDIF//stop order to exit the positionsIF newSL>0 THENSELL AT newSL STOPEXITSHORT AT newSL STOPENDIF//************************************************************************I applied two small changes at the // ! lines. Now it works technically OK. Whether functionally is up to you.
Notice that in Backtest it was already wrong; please observe the immediate exits in your original code.I hope this helps you !
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PS: I would never having those pending stop (at the end of your code) commands unconditionally. This is because they inherently contradict. So make that under a condition LongOnMarket and ShortOnMarket respectively and it will be better again.
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Apologies if already been discussed, but do you have the exact same spread set in the backtesting engine as in Live (varies over 24 hours)?
Apart from a few points + or – in profit, differing spreads (backtest to Live) could even affect trades being placed or not (depending on code).
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