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Stop Loss and TICKS #472420
04/26/18 18:23
04/26/18 18:23
Joined: Dec 2017
Posts: 129
Halifax, NS
K
kujo Offline OP
Member
kujo  Offline OP
Member
K

Joined: Dec 2017
Posts: 129
Halifax, NS
Hi

I test the TICKS mode and run a simple script in which I buy long 13 FX pairs. Trades are closed because of Stop Loss only. I run the script with TICKS mode and without it and compare results. Trades' profits are the same in both cases, with and without TICKS. Only a couple of trades out of 611 has very small discrepancies. Other trades' profits are the same up to 5th decimal. I wonder if it's normal that the TICKS mode doesn’t affect exit prices in this particular case (Stop loss exit)?

Results:
--------------------------------------------------
Loss -1718$ MI -30.92$ DD 1718$ Capital 1530$
Trades 611 Win 1.3% Avg -79.6p Bars 8
AR -24% PF 0.00 SR 0.60 UI 0% R2 0.00
--------------------------------------------------
Loss -1706$ MI -30.71$ DD 1706$ Capital 1520$
Trades 611 Win 1.3% Avg -79.4p Bars 8
AR -24% PF 0.00 SR 0.61 UI 0% R2 0.00
--------------------------------------------------


Script:
Code:
function run()
{
        set(LOGFILE+OPENEND);
	//set(TICKS);
	Verbose =3;
	BarPeriod = 1440;
	StartDate = 2013;
	EndDate = 2017;
	
	while(asset(loop(Assets))) {
		Stop = 50*PIP;
		RollLong = 0; 
		if(NumOpenLong < 1) enterLong();
	}
}


Last edited by kujo; 04/26/18 19:50.
Re: Stop Loss and TICKS [Re: kujo] #472433
04/27/18 12:51
04/27/18 12:51
Joined: Aug 2017
Posts: 102
Spain
B
Brax Offline
Member
Brax  Offline
Member
B

Joined: Aug 2017
Posts: 102
Spain
As you are using daily bars and not using any TMFs or more sophisticated logic, it's normal for results to not differ very much.

If you were running and intraday system and other kind of logic, it'll surely differ.

From the manual, http://zorro-project.com/manual/en/mode.htm:

Quote:

TICKS should be used when trades enter and exit at the same bar, when stop loss, or takeprofit distances are small, or when trading is strongly affected by tick functions or TMFs.

Last edited by brax; 04/27/18 12:53.

Moderated by  Petra 

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