- ago
This might be a dumb newbie question, but I can't wrap my head around how this strategy of mine exits the market consistently at one or two bars. I'm attaching the screenshot below (I deleted some of my entry conditions just to keep my strategy private). This strategy is on daily bars and exits after one bar almost always, and never goes more than 2 bars.

Wouldn't the exit strategy listed below that the price would have to climb above the price of the close of the entry bar to exit? I feel like if the price continued dropping this wouldn't exit the position.

Help me understand where my brain isn't working here, Thanks!

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- ago
#1
QUOTE:
price would have to climb above the price of the close of the entry bar to exit?

No, it takes the close of the signal bar into the account. (The limit order is valid for signal bar + 1.)
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#2

Okay, but wouldn't that still leave room for my exits not to get hit since they are both triggered above that Close?

sorry for my malfunctioning brain...
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#3
The "Sell at stop 7.5% above Close" doesn't make great sense to do in a long strategy. Shouldn't it be "below" instead? Otherwise it simply triggers those premature exits after one bar.
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#4
That is exactly what I'm thinking, it doesn't make sense to me, but it was generated by the genetic evolver and does fantastic on the backtesting, but I'm hesitant to use it if I can't actually understand what is happening with the logic of it.
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Cone8
 ( 28.25% )
- ago
#5
The Evolver will try all kinds of crazy combinations if they work. Some of those unexpected combinations of orders, like the ones above, have cause changes in the backtester to ensure no peeking.

Make sure you're using at least Build 32, and wait for Build 33 before making an evaluation on a strategy like this. For that strategy, the Stop order should be executing at the open almost always on the bar after entry. If the limit order is filled, that's probably a problem that we already fixed (in Builds 32 and 33).
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- ago
#6
It looks like roughly 30% of my positions exit on the limit order. I'm using build 32, I'm a new user, so that's the only build I've ever had at this point.
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Glitch8
 ( 12.08% )
- ago
#7
We’re making a change to the backtester in build 33 to handle this case. Originally we left it to the strategy author to prioritize the exits, the earliest coded exit will exit first. But with the evolver in play now we feel we need to handle this case in a more realistic way. When you update to build 33 next week you’ll no doubt see the performance of this strategy decline to a more realistic approximation of what it would be like to trade it.
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Cone8
 ( 28.25% )
- ago
#8
I just checked the differences. Yes, this Stop/Limit condition was the one targeted for Build 33, so do not trust the results in Build 32. This strategy will almost always sell at the next day opening price unless there is a gap higher greater than 7.5%, and, if that's the case, the limit would sell at the open too.
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#9
I just tested this with some simple code for Build 33 and it still appears limit orders are filled some of the time when the opening price starts below the stop. I was under the assumption the stop order would be filled first and always and the limit order only if the next bar did not trigger the stop. Is this the case?
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Glitch8
 ( 12.08% )
- ago
#10
Do you happen to have Granular Processing enabled? If so, try with that setting disabled.
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#11
Hey Glitch, it’s disabled.
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Glitch8
 ( 12.08% )
- ago
#12
Are you absolutely sure this is Build 33? I've run this about 100 times with various DataSets and settings and cannot get it to fill with that limit over the stop!

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#13
So… wild, I just reinstalled build 33 and now it works!! I wonder if I had a bad install. I also tried with granular and I see the issue you mentioned before.
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#14
So I know granular doesn’t work on exits, but does that sort of work as a randomized tool for exits with limit/stops?
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Glitch8
 ( 12.08% )
- ago
#15
Glad it's working, and I need to enable the same logic for granular. Working on it for B34.
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#16
2 questions to follow up for me:

1. Why don't I want granular enabled? When I disable it, my backtest does 30% worse for APR.

2. Why would the stop be the exit always getting hit when the limit price is lower?

I'm sorry if these are basic questions.
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Glitch8
 ( 12.08% )
- ago
#17
Hi Moptop, WL8 added some logic to check if a stop/limit exits at market open and prioritizes those exits. However, this logic wasn't put into place for when granular processing is selected, so that's why you're seeing inflated results. In Build 34 we added the same prioritization to the granular processing too.
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