I'm trying to figure out how a strategy can give a different signal around a trailing stop loss if it is run on two different days. Here is an example.
The first image is the chart from 6.4. You'll see that a short position was triggered, and the trailing s/l was triggered on the next bar:
When I run the same model two days later, the s/l isn't showing:
I would assume that since the price doesn't change, the results should remain the same.
The first image is the chart from 6.4. You'll see that a short position was triggered, and the trailing s/l was triggered on the next bar:
When I run the same model two days later, the s/l isn't showing:
I would assume that since the price doesn't change, the results should remain the same.
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QUOTE:
I would assume that since the price doesn't change, the results should remain the same.
Even considering that some indicators like ATR or EMA are "unstable", data range can vary if the starting date is not fixed, 100%-like position sizing is a double-edged sword (NSF) etc.?
Also, the Chikou Span is a potentially peeking indicator. I guess this may be the culprit. Let's add this to the topic title.
The cover trade was based on stop loss, not on the indicators. With that said, when I reloaded the strategy on the live chart window the cover signal re-appeared. Looking more closely at it, the box on the chart says it closes at a 1% stop loss. However, my s/l parameter in this case is much larger.
Even more odd is when I backtest the strategy, the cover signal does not appear. And the live chart shows long and short positions can be open simultaneously while the backtest will only open the opposite trade once a trade is closed.
Even more odd is when I backtest the strategy, the cover signal does not appear. And the live chart shows long and short positions can be open simultaneously while the backtest will only open the opposite trade once a trade is closed.
Not having (enough) details I can only make a shot in the dark. Go factor by factor to uncover the source of instability. Are there Portfolio Sync options enabled (Trading Preferences)? What unstable indicators does your strategy rely on? etc.
QUOTE:This tells me that:
Even more odd is when I backtest the strategy, the cover signal does not appear. And the live chart shows long and short positions can be open simultaneously while the backtest will only open the opposite trade once a trade is closed.
1. you have "Use Live Positions" enabled, and,
2. own a position in PTEN. \
Streaming charts and the Strategy Monitor will "Use Live Postions", but a backtest does not. And, your strategy is not compatible with that option if it allows more than one position (even on the same side of the trade) - like block strategies have more than one entry signal (Buy and Short).
If you don't want this block strategy to simultaneously be in 2 positions, you need to make sure that whatever condition(s) used to go short are also conditions used to exit the long, and vice-versa.
Thanks, gentlemen, I appreciate the feedback.
Cone, what is PTEN? And can I assume that "...you need to make sure that whatever condition(s) used to go short are also conditions used to exit the long, and vice-versa" applies to profit limit/stop losses as well as the indicators?
Cone, what is PTEN? And can I assume that "...you need to make sure that whatever condition(s) used to go short are also conditions used to exit the long, and vice-versa" applies to profit limit/stop losses as well as the indicators?
It's DFEN when you're eyes are going bad.
:D
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