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Re: Additional testing to be undertaken... [Re: 1ND1G0] #471448
03/04/18 18:12
03/04/18 18:12
Joined: Feb 2017
Posts: 369
D
Dalla Offline
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Dalla  Offline
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D

Joined: Feb 2017
Posts: 369
It's not that strange. Probably from slippage, or gaps if your market is not trading around the clock

Re: Additional testing to be undertaken... [Re: Dalla] #471449
03/04/18 19:51
03/04/18 19:51
Joined: Dec 2013
Posts: 568
Fuerth, DE
Sphin Offline
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Sphin  Offline
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Posts: 568
Fuerth, DE
Quote:
The strategy is based on 60 minute bars, so I have been using M1 data rather than Tick. I have tried to only optimise relevant parameters.

set(TICKS) sometimes helps to get the stops closer in simulations.

Re: Additional testing to be undertaken... [Re: Sphin] #471450
03/04/18 21:00
03/04/18 21:00
Joined: Feb 2018
Posts: 25
1
1ND1G0 Offline OP
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1ND1G0  Offline OP
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Thanks, Dalla, Sphin - that helps clear that up.

Re: Additional testing to be undertaken... [Re: 1ND1G0] #471451
03/04/18 23:24
03/04/18 23:24
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Online
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AndrewAMD  Online
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Joined: Feb 2017
Posts: 1,718
Chicago
Aha! I figured out what I did wrong, instead of exiting a trade via TMF, set Stop.

Here's the percentage approach:
Code:
// to place a stop 1% away from the current price
Stop = price() * 1.0 / 100.;
enterLong();

Below is a before-and-after of applying a 0.5% stop to the Luxor system.




We do have outliers, but 99% of the issue has been addressed.

Quote:
set(TICKS) sometimes helps to get the stops closer in simulations
I did attempt this, I don’t think it eliminated my outlier.

I'm happy my theory was well-received, though.

Attached Files before.pngafter.png
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