PRT Premium backtests not working with stop

deletedaccount100622 · Mon, 01 Jun 2020 00:22:04 +0000

//////////////////////////////////////////////////////////////////////////////////////////////////////////// timeframe(30minutes, updateonclose) ONCE TrailStart = varts //30 Start trailing profits from this point ONCE ProfitPerCent = varpct //66.6% Profit to keep ONCE TrailStart2 = varts2 //30 Start trailing profits from this point ONCE ProfitPerCent2 = varpct2 //66.6% Profit to keep IF Not OnMarket THEN y1 = 0 ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG x1 = (close - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN //go ahead only if 30+ pips y1 = max(x1 * ProfitPerCent, y1) //y = % of max profit ENDIF IF y1 THEN //Place pending STOP order when y>0 SELL AT Tradeprice + (y1 * pipsize) STOP //convert pips to price ENDIF ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG x1 = (close - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart2 THEN //go ahead only if 30+ pips y1 = max(x1 * ProfitPerCent2, y1) //y = % of max profit ENDIF IF y1 THEN //Place pending STOP order when y>0 SELL AT Tradeprice + (y1 * pipsize) STOP //convert pips to price ENDIF endif if onmarket then if (CurrentDayOfWeek=5 and time>=closetimefriday) then sell at market exitshort at market endif endif SET STOP %LOSS vsl // Not used because the Flip Stop is lower, just in case. SET TARGET %PROFIT 3.8 Hi I have purchased access to PRT11 Premium so that I can perform longer back tests, for spot Forex this involves allocating a lot size. I have found that systems using stops that are just values are fine with the results matching those of IG.com with PRT V10.3 but the attached stop produces completely different exit results. I’m guessing it may be to do with the lot size but I need help from a greater mind as I am stuck Thanks Ruark

This topic has 22 replies, 4 voices, and was last updated 4 years ago by GraHal.

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06/04/2020 at 8:15 AM #134517

GraHal

GraHal wrote:

But then it’s not broker x and broker y data anyway … it’s IG PRT and PRT Premium … both running on broker x data??

I’ll correct myself … it was IG PRT running on IG data and PRT Premium running on Direct to Exchange data?

GraHal
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06/04/2020 at 8:37 AM #134523

GraHal

Robo Futures Trader wrote:

I have had a look and the spot in PRT Premium and IG are two different products

Would have been more useful if both sets of data were for same period. As it is, the IG data goes back to early Feb 20 and the Spot data goes back to early Nov 19.

Also would have been interesting to see the difference in values for volume, as it is, volume is on the Spot data only.

If anybody does a comparison again, it be most useful if both charts were set up the same.

GraHal
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06/04/2020 at 8:51 AM #134525

GraHal

Robo Futures Trader wrote:

and using stochastics as an example the indicators that are used for triggers are therefore different when calculated

Even allowing for the date scale on the Spot data being more squashed (due to longer period shown) it’s significant that …

IG Data – Stochastic flattens on 4 Mar 20 and crosses on 20 Mar 20.

Spot Data – Stochastic flattens on 20 Mar 20 and crosses on 30 Mar 20.

GraHal
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06/04/2020 at 10:07 AM #134529

GraHal

Robo Futures Trader wrote:

PRT Premium data gaps a lot

The gaps in the Spot data will be when the Spot market opens and takes account of the out of market hours price movements.

Was the bot you used on both data sets 24 hour working?

The only correct way to do a meaningful comparison would be with a market hours only working bot because the Spot data is only available during market hours.

GraHal
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06/06/2020 at 3:42 PM #134870

deletedaccount100622

Yes that was the case

deletedaccount100622
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06/06/2020 at 3:50 PM #134871

deletedaccount100622

This one is European market hours only with 100k bars for the same time periods

Its uses RSI Divergences, as you can see its not close, IG PRT data on the left PRT premium on the right

deletedaccount100622
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06/06/2020 at 5:15 PM #134887

Francesco

The question is: does the demo/live forward looks like the ig backtest or the v11 backtest?

Personally, my live trades always looks like the backtests with IG, so i’m doubtful about v11 one.

Francesco
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06/07/2020 at 3:11 PM #135043

GraHal

Robo Futures Trader wrote:

his one is European market hours only

But the Instrument you tested on is US Tech 100 and so the test needed to be undertaken when the US market is open in order to have full Spot market hours data while at the same time having comparable IG data?

GraHal
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