Sorry, I don't get it.
I cite Kris from Robotwealth (I'm a member there): "If you look closely at the two 4-hour plots, you can see a number of trades that lasted for a single bar in the first plot, but which are absent altogether from the last one. Most of these seem to be winning trades, so their absence probably accounts for the difference. I have no explanation for why they are missing, but it does appear to be due to the granularity of the simulation. Definitely a question for the Zorro developers – this is pretty important!"
I looked into the log files and found some interesting differences. I set
StartDate = 20170101;
EndDate = 20170404;
The first strange difference is the date of the first respective trade, which Kris already mentioned:
H4: 2017.01.16 08:00
H1: 2017.01.13 14:00
M1: 2017.01.17 05:36
Here is a trade that was taken in H4 and H1, but not in M1:
H4: 18.01.2017 12:00 exit at the same bar
H1: 18.01.2017 13:00 exit at 15:00
M1: no trade
The trade looks legit on the chart, even if it's scary accurate. I dind't calculate my ATR Bands at this time yet, but I'm willing to do so if I have to to get this riddle solved.
The first trade that comes from the same signal is this short trade and fortunately, it's an interesting one with significant differences. It was very close to SL in between. I pencilled down the stops from the STEPWISE function, as I don't know how to let these write into the logfile yet:
H4: Entry 2017.01.17 04:00 @ 1.06499 Exit 2017.01.18 04:00 @ 1.06978 STOP 1.0730
H1: Entry 2017.01.17 05:00 @ 1.06489 Exit 2017.01.18 02:00 @ 1.06901 STOP 1.0729
M1: Entry 2017.01.17 05:36 @ 1.06466 Exit 2017.01.17 11:29 @ 1.07061 STOP 1.0724
The M1 trade was slightly different Entry with STEPWISE: Entry at 6:25 @ 1.0655
The highest HIGH between Entry and Exit of the trade was the 11:00 (UTC) BAR with 1.07196
M1 got stopped out even if it missed the SL with 4,4 PIPS (maybe due to different price data? I got the HIGH from tradingview.com)
H1 missed the STOP by 5,0 PIPS and didn't get stopped out (due to the 0,6 PIP difference or due to the Timeframe???)
However, I re-read the manual and found the section about BarPeriod and TimeFrame pretty easy to understand and straightfoward. If I set BarPeriod to H1 (60) and Timeframe to 240 / BarPeriod = 4, then my ATR should be calculated just as if I set BarPeriod = 240, as 4*60 = 240. Wrong???
I understand that the backtester will produce very different results with market orders, as it doesn't know how the signal and price will change during an H4 bar. But with pending orders, Entry, SL and TP should have the exact same values from my understanding, because these values only change at 00:00, 04:00, 08:00 and so on...
And even if the backtester can't tell the entry time down to the minute in H4 (of course not), it shouldn't have a hard time to come up with the exact same prices for entries and exits in such a liquid market (EURUSD).
I searched for the email of the helpdesk, but I couldn't find it.
