Click here to Login

                                                   Trading System Simulation Errors


2010-05-05 12:54:07

I have analyzed results of the Trading System (TS)I created & spotted an errors in reported trades results;
It inflates te Profits by Adjusting OpenPrice of the security bought at Open and increases the close price at which a simulated trade/position was closed.

Environment I tested:
Portfolio selected consists of 9 ETFs (BGZ, BGU, FAS, FAZ, ERY, ERX, USO, OIL, RSX)
Period used 1/4/2010-5/5/2010

Ex. of numbers reported in simulated trade
ERY Position - 3400 shares opened on 4/5/2010
Adj. Open Price $8.00 (why $8.0 ? Opening price on that day was 9.08)
Curr. Price $9.33 (close price on 4/5/2010 - correct)
Position gets selected to close by rules in TS
On 5/5/2010 I get position closed with following values:
Adj. Open Price $8.00
Close Price $10.0 (ERY price never reached that level & Daily High in Quotes DB was only $9.93 for 5/5/2010, close $9.66, Open $9.72, Low $9.47))

That trade was added to report with Preturn $6800 which is not right as stock never traded on those 2 days between $8-10 that system used.

Are these simulator calculation going to be fixed soon or is there any other reson for those errors I encountered?

I can provde my TS rules & formuas I used Strategy, Ranking Optimize & MM as well as setings.

Thx in advance for any comment or suggestions to fix it.

2010-05-05 14:05:34


Best Answer

This is not a bug; you probably set the tick size field to 2.

The tick size or the minimum amount a security can increase or decrease is used in futures trading and it can be set globally or per-symbol.

Globally, it can be changed by updating a trading system then selecting (Settings -> Settings).
Per-Symbol, it can be changed by selecting a symbol then clicking on Symbol -> Update.

2010-05-18 08:53:30


Thank you QS for the fix. I had global Tick size = 1.0 . in Trading System Settings. Modifying it to 0.01 fixed the problem. Chaz

2010-05-18 13:53:53


You're Welcome. You can also update the tick size per-symbol.

No more messages


No html code. URLs turn into links automatically.

Type in the trading objects you want to include: - Add Objects
To add a trading object in your message, type in the object name, select it and then click on "Add Objects"


Trading Items
Benchmark Return in a Trading System Simulation
Vary the Start Date of a Trading System Simulation
Adaptive Trading System - Minimum Percent Winners and Percent Inv...
MAE and MFE of a Trading System
R Squared of a Trading System Equity Curve

How-to Lessons
How to add a metric in the trading system simulation report
How to debug a trading system using the money management tool
How to add custom position-based metrics to your trading system
How to optimize the number of positions in a trading system
How to set order type of a trading system programmatically

Related Forum Threads
Comp Function in Trading System Rules
Ranking System with Trading System Help, Revisited
Simulator Trading System Report
Trading System time period not including start day
Optimize ranking system within a trading system?

Blog Posts
True portfolio simulation applied to trading systems
How to build and backtest a robust stock trading system
Inverse Fisher Transform: Indicator, composite and trading system
Trading System Analysis: Backtesting report and custom measures
9 mistakes you should avoid when backtesting an end-of-day stock ...

Create an account
Affiliate Program
Contact Us
Trading Forum
How-to Lessons
About Us
Terms of Use

Copyright 2024
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Follow us on Google+
RSS Trading Items

Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.