Hello community, I use WL8 with the build 35 version. Unfortunately I noticed that buy stop and sell stop orders of WL8 (build 35) are not always executed correctly and therefore the backtest is not correct.
To understand the problem with buy stop and sell stop orders in WL8, I have given a live example here.
First of all, if the market opening price for a buy stop order is higher, then the buy stop automatically becomes a market order.
The following signals were generated in WL8 on June 05, 2023:
In the following table I have listed the long and short orders and added the market open price on the next trading day and documented the expected result:
I noticed that WL8 simply did not execute certain orders, although the price at the market open would have made this necessary (see WL8 error).
On the actual trading day 06 June 2023, WL8 has not implemented all orders correctly: PLNT, PPL, OGE, MSTR.
How can I trust the backtest of WL8 with buy stop and sell stop orders if the signal conversion is not correct?
For the orders I used the following build blocks:
My backtest settings:
Any ideas or suggestions on where I can start troubleshooting here in WL8?
Regards Christian
To understand the problem with buy stop and sell stop orders in WL8, I have given a live example here.
First of all, if the market opening price for a buy stop order is higher, then the buy stop automatically becomes a market order.
The following signals were generated in WL8 on June 05, 2023:
In the following table I have listed the long and short orders and added the market open price on the next trading day and documented the expected result:
I noticed that WL8 simply did not execute certain orders, although the price at the market open would have made this necessary (see WL8 error).
On the actual trading day 06 June 2023, WL8 has not implemented all orders correctly: PLNT, PPL, OGE, MSTR.
How can I trust the backtest of WL8 with buy stop and sell stop orders if the signal conversion is not correct?
For the orders I used the following build blocks:
My backtest settings:
Any ideas or suggestions on where I can start troubleshooting here in WL8?
Regards Christian
Rename
The position sizing ($5,000 out of $50,000, MF 1:1) suggests the strategy can take up to 9 positions (the 10th may be practically difficult to enter). I notice 20 sell orders on another screenshot. There's some disconnect here. Anyway, my point is that orders in question like these might not have been taken simply due to position sizing constraints (not enough funds to execute the trade).
hm, I increase the values in the strategy settings
but I still get the same results as before
Where else can I search for the error?
Regards
but I still get the same results as before
Where else can I search for the error?
Regards
In order to test your assertion, I mocked up the following strategy and ran it on PLNT. I'm getting the stop order executed at market open as expected.
Sorry for the inconvenience but I guess that the orders I expected are now shown here as NFS, is still a little complicated for me to understand the NSF.
Regards Christian
Regards Christian
NSF simply means that the backtester did not have enough simulated capital to execute the entry.
If you decrease the position size and/or increase the margin factor, the number of NSF positions will decrease.
If you decrease the position size and/or increase the margin factor, the number of NSF positions will decrease.
Your Response
Post
Edit Post
Login is required