Frank Birch Veteran   Posts: 171 Joined: 3/25/2006 Location: UK  User Profile | Again, when multiple stops are triggered on the same bar, there's no current possible way for OT to know which stop was hit first on the vote line. Ok Barry I full understand this now, at least omni pilot takes us out. In real trading, on a single bar, price could hit your profit stop first then go back the other way & breach your loss stop, or vice versa. In back testing (aka Voteline, aka Port Sim) OT has no knowledge of price movement within a single bar, so it has to follow some kind of rule for when those cases occur. in the screen shots attached i have noticed that when price has advanced or declined and its just the tail of the the wick touching any exit and close is above or below any exit then the vote line works correctly its the full body price bar it cant handle. In OT, the rule is that when multiple stops are breached on a single bar, backtesting always chooses the stop nearest to the entry price. Here is where it gets interesting, I have gone through multiple charts in RT and found out of 61 trades over 2 months the THE TRADE PLAN GENERATED STOP has been activated? out of 61 trades 11 trades have used the trade plan generated stop? now then I then went over to the test profile and retested the same time period and its exactly the same in the test profile so where you say it takes the nearest stop activated it doesn't?? in the test profile its still using a trade plan generated stop? clearly when its a profitable trade. That being said, it doesn't look like that rule was followed in your example. If you look at the last screenshot showing the price it was hit, it shows price of 0.01 while it calculates the Gain/Loss at the actual price of 0.007372929. Most likely there's a bug with the 0.01 being rounded when it shouldn't be, which would you would see in cases like this. I bet that's what it is & I can report that. Ok that's one fault found great news. So this problem with the trade generated stop exists in both a real time profile and test profile now meaning the port folio simulation report is in correct by over 15% on any winning or losing trade that has a full bar? I've attached a screen shot for the same trade in a real time profile and test profile its clearly a winning trade. So in theory the equity curve attached should be 15% better on ROI and with less drawdown? I know I am a pain and I know your busy but there is a problem here I know. Regards Frank Birch  Attached file : 26-Dec-22 08-46-53 WICK.png (290KB - 124 downloads) Attached file : 26-Dec-22 08-48-45 FULL BODY.png (300KB - 135 downloads) Attached file : 26-Dec-22 09-07-31 same trade same result.png (324KB - 120 downloads) Attached file : 26-Dec-22 09-08-37 port sim.png (377KB - 121 downloads) Attached file : 26-Dec-22 09-18-56 2 months.png (376KB - 125 downloads) |
