Advanced Backtester not honoring the SL settings...
Posted: Fri May 29, 2020 6:25 pm
Hi Roman, I see that you would prefer that this forum be used for issues, and now that I am a one year full access member, I'll post here.
I did some further examination of previous backtests, and found that the bug is consistent in all reports I generated. The omission of the SL in the calculation of the statistics renders the functionality of testing stop losses inoperative, and as a result, causes the report itself to be erroneous, and could lead to faulty trade decisions.
I have not done testing on the Profit Target functionality. Hopefully the bug only exists in stop losses, and you can fix the code without too much difficulty. Worst theoretical loss in such a backtest should never be more than the stop loss.
Of course as traders we all know that the market could gap at open or run limit against us, such that the loss could be greater than the theoretical stop loss used in a backtest. However, we have to have an accurate point of reference, and right now this error makes that reference point nonexistent in the backtest.
Your quick attention to this matter would be greatly appreciated.
Todd
I did some further examination of previous backtests, and found that the bug is consistent in all reports I generated. The omission of the SL in the calculation of the statistics renders the functionality of testing stop losses inoperative, and as a result, causes the report itself to be erroneous, and could lead to faulty trade decisions.
I have not done testing on the Profit Target functionality. Hopefully the bug only exists in stop losses, and you can fix the code without too much difficulty. Worst theoretical loss in such a backtest should never be more than the stop loss.
Of course as traders we all know that the market could gap at open or run limit against us, such that the loss could be greater than the theoretical stop loss used in a backtest. However, we have to have an accurate point of reference, and right now this error makes that reference point nonexistent in the backtest.
Your quick attention to this matter would be greatly appreciated.
Todd