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Re: Actual PIP Cost for backtesting
[Re: jcl]
#474253
10/02/18 10:00
10/02/18 10:00
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Joined: Feb 2018
Posts: 236 Italy
tradingest
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Joined: Feb 2018
Posts: 236
Italy
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It is normally not recommended to have variable pipcost in a strategy test, but if you still want it, a function for this is in the manual under "PIPCost". Why is not reccomended? For a backtest from 2010 to 2018 on EURUSD for example the pipCost change too much in the perdio considered. With PipCost equal within backtest period is not right. Are you agree with me?
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Re: Actual PIP Cost for backtesting
[Re: jcl]
#474259
10/02/18 11:57
10/02/18 11:57
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Joined: Feb 2018
Posts: 236 Italy
tradingest
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Member
Joined: Feb 2018
Posts: 236
Italy
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No. You normally do a backtest not for measuring the effect of the EUR/USD rate on your account, but for measuring the expected future performance of a strategy.
Of course, if you for some reason don't want to know the strategy performance, but your account growth in the past, adapting pipcost can make sense. In that case you must also adapt spread, rollover, and margin cost to their historical values. What if my strategy uses the Tradeprofit function? This one is based on amount and not pips. In this case it would make sense to have a real pipCost. Right? Does it exist any function like TradeProfit that works with pips? Thanks
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Re: Actual PIP Cost for backtesting
[Re: jcl]
#474265
10/02/18 20:10
10/02/18 20:10
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Joined: Feb 2018
Posts: 236 Italy
tradingest
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Posts: 236
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Thanks jcl the thread is more interesting. For example, the code below the annual profit on EURUSD asset is 1.6% +290.4p. What is the performance referred to by not having an initial capital? +290.4 What are they related to? What do they indicate?
// Trend Trading ///////////////////
#include <profile.c>
function run()
{
vars Price = series(price());
vars Trend = series(LowPass(Price,500));
Stop = 4*ATR(100);
vars MMI_Raw = series(MMI(Price,300));
vars MMI_Smooth = series(LowPass(MMI_Raw,500));
if(falling(MMI_Smooth)) {
if(valley(Trend))
enterLong();
else if(peak(Trend))
enterShort();
}
StartDate = 2010;
EndDate = 2018; // fixed simulation period 2009-2014
set(LOGFILE); // log all trades
PlotWidth = 800;
PlotHeight1 = 300;
ColorUp = ColorDn = ColorWin = ColorLoss = 0;
ColorDD = BLACK;
ColorEquity = GREY;
//plot("MMI_Raw",MMI_Raw,NEW,GREY);
//plot("MMI_Smooth",MMI_Smooth,0,BLACK);
//plotTradeProfile(-50);
}
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Re: Actual PIP Cost for backtesting
[Re: tradingest]
#474302
10/05/18 02:39
10/05/18 02:39
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Joined: Dec 2016
Posts: 71
firecrest
Junior Member
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Junior Member
Joined: Dec 2016
Posts: 71
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