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I’m having problems going from backtesting to live
I’m having problems going from back testing to live – has anyone seen anything similar to this?
I back tested an stEA that I developed. After determining that the EA worked as expected, I went live with it on a demo account.
The first live trade encountered did not perform as expected – there were two problems:
(a) the market order created appeared at the opening of a new bar as opposed to the close of the bar where the order was generated and
(b) a S/L order should have been created but was not. I turned off the EA and manually closed the trade with a loss of approximately 46 pips (the S/L order would have closed the trade with 10 pip loss).
I re-ran the back tests and got the results I expected. In fact when the back test got to the bar that triggered the live trade, a Sell Short was generated at the close of the bar and then the trade was then closed when the price had moved 10 pips against me. In back testing, if the price goes in the correct direction, the trade is closed out in three stages..
btw - IOG is on
EURUSD 10 minute chart
(only pertinent lines of code are shown below)
(declared within the class – outside any method)
private IMarketOrder enterLong, enterShort;
private IPriceOrder slLong, slShort;
(in Construct ())
enterShort = OrdersFactory.CreateMarketThisBar(new OrdersCreateParams(Lots.Variable, "entS", OrderAction.SellShort));
slShort = OrdersFactory.CreateStop (new OrdersCreateParams(Lots.Variable, "slS", OrderAction.BuyToCover, ExitInfo.Total));
in Execute ()if setup conditions are met:
stopLoss = Bars.High + 20*pips; // initial S/L – reset when order is opened
the next time Execute() is run, I check for open trades - I’m using StrategyInfo.MarketPosition to determine how many lots if any are open..
If three lots are open, do the following:
stopLoss = entryPrice + 10*pips;// reset S/L relative to entry price
If two lots are open:
stopLoss = entryPrice;// reset S/L to break even
If one lot is open:
stopLoss = recentLow + 10*pips;// trailing S/L @ 10pips
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Originally Posted by docgrace
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