backtest problem with trailing stop on a daily chart - Traders Hideout | futures io social trading
futures io futures trading


backtest problem with trailing stop on a daily chart
Updated: Views / Replies:233 / 6
Created: by alko Attachments:1

Welcome to futures io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Reply
 
Thread Tools Search this Thread
 

backtest problem with trailing stop on a daily chart

  #1 (permalink)
Trading Apprentice
Moscow, Russia
 
Futures Experience: Intermediate
Platform: MC
Favorite Futures: All
 
Posts: 20 since Aug 2016
Thanks: 5 given, 3 received

backtest problem with trailing stop on a daily chart

Hello all,

I have a strategy (as many of you) that uses daily bars for entries and trailing stops for exits. The problem with daily bars is that is you set stops too narrow then MC (I am using Multicharts and TS too) test trailing stops from four points on the bar OHLC during the backtest. So, if say the strategy is long, then MC checks L of the bar and from that defines whether my trailing stop worked or not. But of course it does not know how the bar was filled. The only solution to this problem I found was to create a chart with two data where data1 is 1 minute data for the instrument and data2 is daily data for the same instrument, thus i use data1 for execution and data2 for model calculations that defines entries and exists (another solution would be not to put stops too narrow but it does not look like appropriate solution to me). Also, it appears to me that if only stop loss is used (not trailing) then backtest would close the position at the appropriate price.

Question - what are other solutions to the trailing stop problem for backtest on the daily bars to make executions mirror live trading? Any suggestions/referrences are much appreciated.

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,813 since Dec 2013
Thanks: 1,551 given, 2,728 received
Forum Reputation: Legendary


Apologies if you already know this but since you mention TS, I thought I would mention it just in case.
In Tradestation there is a special feature purely to do what you want.


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
 
  #4 (permalink)
Trading Apprentice
Moscow, Russia
 
Futures Experience: Intermediate
Platform: MC
Favorite Futures: All
 
Posts: 20 since Aug 2016
Thanks: 5 given, 3 received


SMCJB View Post
Apologies if you already know this but since you mention TS, I thought I would mention it just in case.
In Tradestation there is a special feature purely to do what you want.


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

No worries as any help is much appreciated.
Yes, i have seen it and used it. The problem here is that 1 minute data for TS is limited. I am not sure why but for some instruments data is more less ok in terms of look back period for 1 minute and in some cases it is very short. For instance, when backtesting continious non-adjusted ES futures, i got the following message from TS:

- You strartegy will begin calculating on 09/28/2000 but the data required for Look-Inside-Bar Back-testing is only available starting on 08/25/2016. Strartegy calculation prior to 08/25/2016 will not use Look-Inside-Bar testing.

That is way too short. May be i need to load up the quotes first somehow, not sure about that. ?

Reply With Quote
 
  #5 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,813 since Dec 2013
Thanks: 1,551 given, 2,728 received
Forum Reputation: Legendary


alko View Post
For instance, when backtesting continious non-adjusted ES futures, i got the following message from TS:

- You strartegy will begin calculating on 09/28/2000 but the data required for Look-Inside-Bar Back-testing is only available starting on 08/25/2016. Strartegy calculation prior to 08/25/2016 will not use Look-Inside-Bar testing.

I'm not a TS expert but I've never seen that message before. @kevinkdog can u help?


Last edited by SMCJB; October 9th, 2016 at 03:23 PM. Reason: corrected kevinkdig
Reply With Quote
 
  #6 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,243 since Jul 2012
Thanks: 1,050 given, 4,081 received


SMCJB View Post
I'm not a TS expert but I've never seen that message before. @kevinkdog can u help?

It probably tried to run strategy before all data was loaded. I would trun off the strategy and turn it back on and see if the message returns - it should not.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:
 
  #7 (permalink)
Trading Apprentice
Moscow, Russia
 
Futures Experience: Intermediate
Platform: MC
Favorite Futures: All
 
Posts: 20 since Aug 2016
Thanks: 5 given, 3 received


kevinkdog View Post
It probably tried to run strategy before all data was loaded. I would trun off the strategy and turn it back on and see if the message returns - it should not.

Yes, you are absolutely right. I did not allow the data (minute data) to upload to a daily chart and set the model on. For some reason, it stops loading up data while model status is on.

Reply With Quote
The following user says Thank You to alko for this post:

Reply



futures io > > > backtest problem with trailing stop on a daily chart

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

FIO Journal Challenge featuring NinjaTrader ($2,000+ of prizes)

May

Prototyping Python Strategies (part 2) w/Ran Aroussi

Elite only

Ask Me Anything w/Raymond Deux @ NinjaTrader

May 3

An Afternoon with FIO member Softsoap

Elite only
 

Machine Learning & Data Mining Bias w/Kris Longmore @ Robot Wealth

Elite only

Brannigan Barrett (TBA)

Elite only

FIO member Gomi (TBA)

Elite only

FuturesTrader71 (TBA)

Elite only

EasyLanguage Programming w/Chris @ ABC Trading Group

Elite only

Portfolio Diversification w/Brendon Delate

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Have problem with trailing stop kissdish EasyLanguage Programming 5 August 14th, 2015 10:18 AM
Problem with Trailing Stop getting filled / Execution djvie11 EasyLanguage Programming 1 June 29th, 2015 01:39 PM
Fee's For Stop Loss / Trailing Stop rkersh409 Brokers and Data Feeds 3 May 29th, 2014 04:15 PM
Ninjatrader strategy for Trailing Stop and stop loss. skann NinjaTrader 2 August 20th, 2013 07:34 PM
Drawing trailing stop on chart protrader007 NinjaTrader Programming 6 July 22nd, 2011 12:47 AM


All times are GMT -4. The time now is 05:17 AM.

no new posts
Page generated 2017-04-29 in 0.11 seconds with 20 queries on phoenix via your IP 107.22.15.235