Shame on PRT
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- This topic has 13 replies, 5 voices, and was last updated 8 years ago by Derek.
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08/24/2016 at 6:25 PM #12172
Hello, here JohnScher.
This little code i wrote with a little help
123456789101112131415161718192021222324252627282930//-------------------------------------------------------------------------// Hauptcode : test full Dax Long Trail8//-------------------------------------------------------------------------//-------------------------------------------------------------------------// Hauptcode : Test full Dax Short Trail8//-------------------------------------------------------------------------Set Stop Trailing 8trailingstop = 8if not onmarket thenMAXPRICE = closepriceexit = 0endif// Bedingungen zum Einstieg in Long-PositionenIF Time>080000 And Time<220000 AND Exponentialaverage [1] CROSSES OVER ExponentialAverage [6] THENBUY 1 CONTRACTS AT MARKETENDIFif longonmarket thenMAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current tradeif MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop thenpriceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price levelendifendifif onmarket and priceexit>0 thenEXITSHORT AT priceexit STOPSELL AT priceexit STOPendifWhat will i say
I copy the running code one to one from real trade to backtesting.
And I did running the code real. And same time I did running the code simultaneous in backtesting.
In backtesting there was no trade, in real yes!
So i checked 4 other codes for this.
Trades i did – i checked back with backtesting. I saw diffirences between real trade und backtesting.
Differences in points, differences in win or loose and differences in start or not start the trade.
Shame on PRT, shame on IG.
LET YOUR FINGER THEREOF.
08/25/2016 at 4:55 AM #1218608/25/2016 at 5:20 AM #1218708/25/2016 at 10:05 AM #1219108/25/2016 at 11:05 AM #1219308/25/2016 at 11:06 AM #1219408/25/2016 at 11:06 AM #1219508/25/2016 at 12:07 PM #12201What is the timeframe used already please?
About the fact that ProBacktest don’t give same results as real live trading, this is a subject already vastly debated and discussed in all different languages here. In backtest, there is no inside bar look of what is the price touched firstly: takeprofit or stoploss, so it’s always takeprofit which is first tested.
The “tick per tick” backtest is coming in the 10.3 version, which is still in Beta. I think it will be ready in the weeks/months to come, but this year for sure.
08/26/2016 at 4:18 PM #12252Nicolas.
to do a correct work together
check this code in backtesting and give the results here
check from 24.aug.16 14:48:08 to yet.
timeframe 1 hour, spread 2 , no brokerage fee
i did running this code in real.
So we the results in backtesting and i give the results by copy from real performance.
try?
//————————————————————————-
// Hauptcode : test full Dax Long Trail8
//————————————————————————-
//————————————————————————-
// Hauptcode : Test full Dax Short Trail8
//————————————————————————-
Set Stop Trailing 8
trailingstop = 8if not onmarket then
MAXPRICE = close
priceexit = 0
endif// Bedingungen zum Einstieg in Long-Positionen
IF Time>080000 And Time<220000 AND Exponentialaverage [1] CROSSES OVER ExponentialAverage [6] THEN
BUY 1 CONTRACTS AT MARKET
ENDIF//case LONG order
if longonmarket then
MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade
if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then
priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE – trailing stop price level
endif
endifif onmarket and priceexit>0 then
EXITSHORT AT priceexit STOP
SELL AT priceexit STOP
endif08/26/2016 at 4:59 PM #12255I don’t need to test to see where is the problem now that I know the timeframe tested. As I told you, the 8 points trailing stop is triggered in backtest because it does test the takeprofit before the stoploss. In backtest, there is no tick per tick test of the price movement, while of course it is not the same at all in real life.
This problem is a well known issue with the platform and you are not the first trader to encounter this behaviour 🙂
08/27/2016 at 9:24 AM #1227108/27/2016 at 11:08 AM #1227308/27/2016 at 4:23 PM #12312I believe this drawback with PRT is probably one of the first short-comings that each active client encounters. The problem lies perhaps not so much in the actual shortcoming, but in the insufficient PRT-documentation of the shortcoming, such that hours of work can be spent on something that ends up useless.
That said we are all looking forward to a future version with look-inside-bar (also calles tick-walk-forward) back-testing functionality.
08/27/2016 at 5:30 PM #12313 -
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