Help on analyzing this system

• 04/21/2025 at 8:18 PM #246170
  Schizophunk

  Hi everyone,

  I got this system that it has a nice equity curve, and it is winner every year. However, due to my little experience on algorithmic trading and coding, i have some questions that i will appreciatte whomever can help me with.

  1. The system make some entries that are not reflected in the Positions Bar Graph.
  2. This system has a very tight stop-loss, leaving the profits run away. However, this means many a very low % of winning trades. What do you think about this type of trading systems?
  3. Any improve recomendation (if any).

  3 parabolic SAR with very tight SL

  // Estrategia Parabolic SAR y entradas dinámicas con SL y TP en % // EUR/USD - M60 defparam cumulateorders = false DEFPARAM FLATBEFORE = 010500 DEFPARAM FLATAFTER = 234000 // ====== PARÁMETROS ====== PriceEntryMult1 = 0.1 ProfitTarget1 = 0 // % de beneficio StopLoss1 = 0.002 // % de pérdida // ====== INDICADORES ====== sar1 = SAR[0.01, 0.01, 0.2] sar2 = SAR[0.02, 0.01, 0.3] sarEntry = SAR[0.02, 0.01, 0.1] // ====== SEÑALES ====== longSignal = (close < sar1) and (close < sar2[1]) shortSignal = (close > sar1) and (close > sar2[1]) and not longSignal // ====== PRECIO DE ENTRADA ====== barRange = high - low longEntryPrice = sarEntry[2] - (PriceEntryMult1 * barRange) shortEntryPrice = sarEntry[2] + (PriceEntryMult1 * barRange) //if longSignal THEN //lsignal = 1 //else //lsignal = 0 //ENDIF // //if shortSignal THEN //ssignal = 1 //ELSE //ssignal = 0 //ENDIF //GRAPHONPRICE longEntryPrice //GRAPH lsignal //GRAPH ssignal //GRAPH barRange // ====== ENTRADAS ====== if longSignal then buy 5 contract at longEntryPrice stop set stop %loss StopLoss1 set target %profit ProfitTarget1 endif if shortSignal then sellshort 5 contract at shortEntryPrice stop set stop %loss StopLoss1 set target %profit ProfitTarget1 endif // ====== SALIDA EN VIERNES A LAS 20:40 ====== if (dayofweek = 5 and time >= 204000) then if longonmarket then sell at market endif if shortonmarket then exitshort at market endif endif

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  // Estrategia Parabolic SAR y entradas dinámicas con SL y TP en % // EUR/USD - M60   defparam cumulateorders = false DEFPARAM FLATBEFORE = 010500 DEFPARAM FLATAFTER = 234000   // ====== PARÁMETROS ====== PriceEntryMult1 = 0.1 ProfitTarget1 = 0         // % de beneficio StopLoss1 = 0.002         // % de pérdida   // ====== INDICADORES ====== sar1 = SAR[0.01, 0.01, 0.2] sar2 = SAR[0.02, 0.01, 0.3] sarEntry = SAR[0.02, 0.01, 0.1]   // ====== SEÑALES ====== longSignal = (close < sar1) and (close < sar2[1]) shortSignal = (close > sar1) and (close > sar2[1]) and not longSignal   // ====== PRECIO DE ENTRADA ====== barRange = high - low longEntryPrice = sarEntry[2] - (PriceEntryMult1 * barRange) shortEntryPrice = sarEntry[2] + (PriceEntryMult1 * barRange)   //if  longSignal THEN //lsignal = 1 //else //lsignal = 0 //ENDIF // //if shortSignal THEN //ssignal = 1 //ELSE //ssignal = 0 //ENDIF //GRAPHONPRICE longEntryPrice //GRAPH lsignal //GRAPH ssignal //GRAPH barRange   // ====== ENTRADAS ====== if longSignal then buy 5 contract at longEntryPrice stop set stop %loss StopLoss1 set target %profit ProfitTarget1 endif   if shortSignal then sellshort 5 contract at shortEntryPrice stop set stop %loss StopLoss1 set target %profit ProfitTarget1 endif   // ====== SALIDA EN VIERNES A LAS 20:40 ====== if (dayofweek = 5 and time >= 204000) then if longonmarket then sell at market endif if shortonmarket then exitshort at market endif endif

  Thank you very much to all the community, mostly to all those whom are always helping depite the time it takes. Really appreciating it.

  Regards.

  

  Schizophunk

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  04/21/2025 at 8:33 PM #246173
  GraHal

  Check that you have Tick by Tick enabled as shown at the red arowhead on attached.

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  Schizophunk

  

  GraHal

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  04/22/2025 at 5:01 AM #246189
  JS

  Hi,
  Why is “ProfitTarget1=0” set to zero? (no profit?)
  The “StopLoss1=0.002” is expressed as a percentage using the “Set Stop %Loss”…
  Suppose the current price is 1.15, then 0.002% equals (1.15 / 100 * 0.002) = 0.000023 pips…
  The minimum stop distance at IG for mini EUR/USD is 0.0002 pips…
  You also have to take into account the spread, which is at least 1 pip…
  When I run the system with realistic values, unfortunately, it quickly runs out of capital…

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  Schizophunk

  

  JS

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  04/22/2025 at 11:35 AM #246208
  Schizophunk

  Hi guys,

  Thank you very much for your time,

  Check that you have Tick by Tick enabled as shown at the red arowhead on attached.

  I can not find that option in my ProRealTime Complete. See the attachement “tickbytick”. However, I think it is enabled, due the trades get executed in the middle of the candles, isnt?

  Why is “ProfitTarget1=0” set to zero? (no profit?)

  I realized doing some tests that removing the ProfitTarget the systems is more profiable, but i wanted to leave the option.

  The minimum stop distance at IG for mini EUR/USD is 0.0002 pips…
  You also have to take into account the spread, which is at least 1 pip…
  When I run the system with realistic values, unfortunately, it quickly runs out of capital…

  Sorry, maybe i expressed in wrongly. But the point is that I realized that with super tight SL (2 to 5 pips), the system is profitable. I changed the code to SL in pips and set 5. Also I added the minimum commision of ProRealTime for this product, and 0.1 spread. Find the attachements “SL5pipsonly” and “equity curve”.

  Again thank you very much guys.

  

  Schizophunk

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  04/22/2025 at 12:07 PM #246212
  GraHal

  If you want to post your latest code (we can’t copy & paste from the image)  then I would test on my Platform and maybe JS would also.
  Re Tick by Tick mode … what version Complete are you running … as all versions should show Tick by Tick options box??

  What Instrument are you testing on which has a spread of 0.1 points (which you show in backtest settings).

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  GraHal

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  04/22/2025 at 1:07 PM #246218
  justisan

  hi,

  according your printscreens I would conclude that you don’t have tick by tick data because you did not purchase real time data for this instrument / exchange on which you are running the backtest – only if you purchase the real time data the portal will show you “tick by tick” option, otherwise not. other than that I will probably not contribute to this discussion as the strategy is linked to an indicator. anyway, here my usuall “warning” 😀 be afraid, be very afraid of such smooth equity curves 😉

  regards

  j

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  justisan

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  04/22/2025 at 2:31 PM #246221
  JS

  @GraHal, you can ask ChatGPT (free version) to extract the code from the picture…

   

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  JS

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  04/22/2025 at 2:57 PM #246223
  Schizophunk

  Hi guys,

  Find the code herebelow to copypaste.

  Parabolic SAR

  // Estrategia Parabolic SAR y entradas dinámicas con SL y TP en % // EUR/USD - M60 defparam cumulateorders = false // ====== PARÁMETROS ====== PriceEntryMult1 = 0.1 ProfitTarget1 = 0 // % de beneficio StopLosspips1 = 5 // loss in pips 0.0005 pips // ====== INDICADORES ====== sar1 = SAR[0.01, 0.01, 0.2] sar2 = SAR[0.02, 0.01, 0.3] sarEntry = SAR[0.02, 0.01, 0.1][2] // ====== SEÑALES ====== longSignal = (close < sar1) and (close < sar2[1]) shortSignal = (close > sar1) and (close > sar2[1]) and not longSignal // ====== PRECIO DE ENTRADA ====== barRange = high - low longEntryPrice = sarEntry - (PriceEntryMult1 * barRange) shortEntryPrice = sarEntry + (PriceEntryMult1 * barRange) //GRAPHONPRICE longEntryPrice //GRAPHONPRICE shortEntryPrice //GRAPH barRange // ====== ENTRADAS ====== if longSignal then buy 5 contract at longEntryPrice stop SET STOP PLOSS StopLosspips1 set target %profit ProfitTarget1 endif if shortSignal then sellshort 5 contract at shortEntryPrice stop SET STOP PLOSS StopLosspips1 set target %profit ProfitTarget1 endif // ====== SALIDA EN VIERNES A LAS 20:40 ====== if (dayofweek = 5 and time >= 204000) then if longonmarket then sell at market endif if shortonmarket then exitshort at market endif endif

  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

  // Estrategia Parabolic SAR y entradas dinámicas con SL y TP en % // EUR/USD - M60   defparam cumulateorders = false   // ====== PARÁMETROS ====== PriceEntryMult1 = 0.1 ProfitTarget1 = 0        // % de beneficio StopLosspips1 = 5        // loss in pips 0.0005 pips   // ====== INDICADORES ====== sar1 = SAR[0.01, 0.01, 0.2] sar2 = SAR[0.02, 0.01, 0.3] sarEntry = SAR[0.02, 0.01, 0.1][2]   // ====== SEÑALES ====== longSignal = (close < sar1) and (close < sar2[1]) shortSignal = (close > sar1) and (close > sar2[1]) and not longSignal   // ====== PRECIO DE ENTRADA ====== barRange = high - low longEntryPrice = sarEntry - (PriceEntryMult1 * barRange) shortEntryPrice = sarEntry + (PriceEntryMult1 * barRange)   //GRAPHONPRICE  longEntryPrice //GRAPHONPRICE shortEntryPrice //GRAPH barRange   // ====== ENTRADAS ====== if longSignal then buy 5 contract at longEntryPrice stop SET STOP PLOSS StopLosspips1 set target %profit ProfitTarget1 endif   if shortSignal then sellshort 5 contract at shortEntryPrice stop SET STOP PLOSS StopLosspips1 set target %profit ProfitTarget1 endif   // ====== SALIDA EN VIERNES A LAS 20:40 ====== if (dayofweek = 5 and time >= 204000) then if longonmarket then sell at market endif if shortonmarket then exitshort at market endif endif

   

  

  Schizophunk

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  04/22/2025 at 3:05 PM #246226
  Schizophunk

  Hi @justisan,

  Actually, I just figured out that I have the tick by tick opttiona enabled when i open CFDs forex, but not when futures.

  I am using ProReaLTIme Complete in MacBook M3, with java version 21.0.4(9). I dont know if this is relevant.

  Again guys, thank you for your time

  

  Schizophunk

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  04/22/2025 at 3:20 PM #246228
  JS

  This is the result of the “BackTest tick by tick mode” with 50k units on EUR/USD mini with timeframe 1 hour… (spread 1 pip)…

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  JS

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  04/22/2025 at 3:21 PM #246230
  JS

  Oops, wrong image above…

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  JS

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  04/22/2025 at 3:24 PM #246232
  justisan

  hi, your screeshots indicate that your backtest is on eurusd futures, on cme globex exchange, and that data you use is not real-time. I mean should know if you have real-time data for this exchange or not. for futures definetely you will not have “tick by tick” backtesting option as long as you did not purchase real-time data supply.

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  justisan

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  04/22/2025 at 3:31 PM #246234
  justisan

  by “your” in “your screenshots…” I meant shizophunk, his screenshots

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  justisan

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  04/22/2025 at 4:24 PM #246237
  Schizophunk

  Hi, so if i am understanding well, it is not a good idea to backtest systems with stop orders if you dont have a “tick by tick” data, right?

  And this is basically because you need to know the information inside each candle to know the exact point of execution of your stop orders.

  It is like this?

  

  Schizophunk

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  04/22/2025 at 4:45 PM #246238
  GraHal

  Yes correct … without tick by tick then PRT always assumes that Profit Target was hit first (before Stop Loss) … hence one ends up with an ideal looking equity curve when in reality, with tick by tick, the correct equity curve will be like JS posted.

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  GraHal

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