This is the script used (same as in the very first message).
It's "inflated" equity curve is just an 'automated' way to show that 'peeking' is consistent; and the magnitude is clear by comparing to a benchmark (Entry=0.5*atr; enterLong(); ) where Entry prices are correct.
Re: New Zorro version 2.30
[Re: jcl]
#481057 08/04/2005:4408/04/2005:44
Ok, do I understand it right: The problem was not that the entry stop happened 1 tick early, the problem was that your TMF opened the trade 1 tick early?
Re: New Zorro version 2.30
[Re: jcl]
#481058 08/04/2010:0208/04/2010:02
When a price exceeds a certain level (0.5*atr), a trade is entered by the tmf returning 2.
However, Zorro internally records the entry price from 1 tick before the entry time.
Quote
in tmf: 13:18:00, high = 1.14464, close = 1.14462 in tmf: 13:19:00, high = 1.14464, close = 1.14441 in tmf: 13:20:00, high = 1.14483, close = 1.14480 <--this is when a price exceed 1.14473 and the trade is entered by tmf returning 2 ---- long Entry Stop is hit!----open=1.14394, high=1.14483 close=1.14480 entStp=1.14473 [EUR/USD::L08101] Long 1@1.14441 x at 13:20:00
Trade :L080101 is entered at 13:20 with the price at 13:19.
Re: New Zorro version 2.30
[Re: jcl]
#481059 08/04/2010:1408/04/2010:14
Ok. I assumed it was an entry stop issue. We cannot confirm a TMF fill price from 1 tick earlier either, so possibly something else is wrong. But I think at least I understand now the problem and we can check it. Sorry for being dull.
Re: New Zorro version 2.30
[Re: jcl]
#481060 08/04/2010:4208/04/2010:42
The script cannot be simpler, and the logs are what they are.
Quote
We cannot confirm a TMF entry price from 1 tick earlier either
I see 0 downloads of my script; so not sure what exactly has been used to confirm the problem. May I pls ask you to actually run the provided script and post the same part of the log that I posted, for 19-01-07 13:00?
Last edited by Zheka; 08/04/2010:47.
Re: New Zorro version 2.30
[Re: jcl]
#481061 08/04/2011:0508/04/2011:05